Chaos expansion methods for stochastic differential equations involving the Malliavin derivative, Part I
2011 ◽
Vol 90
(104)
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pp. 65-84
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Keyword(s):
We consider Gaussian, Poissonian, fractional Gaussian and fractional Poissonian white noise spaces, all represented through the corresponding orthogonal basis of the Hilbert space of random variables with finite second moments, given by the Hermite and the Charlier polynomials. There exist unitary mappings between the Gaussian and Poissonian white noise spaces. We investigate the relationship of the Malliavin derivative, the Skorokhod integral, the Ornstein-Uhlenbeck operator and their fractional counterparts on a general white noise space.
1964 ◽
Vol 19
(2)
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pp. 635-652
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2011 ◽
Vol 90
(104)
◽
pp. 85-98
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Keyword(s):
1983 ◽
Vol 41
◽
pp. 194-195
Keyword(s):
1970 ◽
Vol 28
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pp. 156-157
1991 ◽
Vol 49
◽
pp. 236-237
Keyword(s):
1985 ◽
Vol 49
(4)
◽
pp. 207-213
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1985 ◽
Vol 49
(8)
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pp. 573-578
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Keyword(s):
1993 ◽
Vol 2
(3)
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pp. 52-55
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Keyword(s):