Malliavin Calculus for Chaos Expansions of Generalized Stochastic Processes with Applications to Some Classes of Differential Equations

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Malliavin Calculus for Chaos Expansions of Generalized Stochastic Processes with Applications to Some Classes of Differential Equations

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Title: Malliavin Calculus for Chaos Expansions of Generalized Stochastic Processes with Applications to Some Classes of Differential Equations
Author: Levajković, Tijana
Abstract: In this dissertation we study the main properties of the operators of Malliavin calculus de ned on a set of singular generalized stochastic processes, which admit chaos expansion representation form in terms of orthogonal polynomial basis and having values in a certain weighted space of stochastic distributions in white noise framework. In the rst part of the dissertation we focus on white noise spaces and introduce the fractional Poissonian white noise space. All four types of white noise spaces obtained (Gaussian, Poissonian, fractional Gaussian and fractional Poissonian) can be identi ed through unitary mappings. As a contribution to the Malliavin di erential theory, theorems which characterize the operators of Malliavin calculus, extended from the space of square integrable random variables to the space of generalized stochastic processes were obtained. Moreover the connections with the corresponding fractional versions of these operators are emphasized and proved. Several examples of stochastic di erential equations involving the operators of the Malliavin calculus, solved by use of the chaos expansion method, have found place in the last part of the dissertation. Particularly, obtained results are applied to solving a generalized eigenvalue problem with the Malliavin derivative and a stochastic Dirichlet problem with a perturbation term driven by the Ornstein-Uhlenbeck operator.
URI: http://hdl.handle.net/123456789/3824
Date: 2011

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