Equations Involving Malliavin Calculus Operators: Applications and Numerical Approximation

Equations Involving Malliavin Calculus Operators: Applications and Numerical Approximation

English | 2017 | ISBN: 3319656775 | 132 Pages | PDF | 5.7 MB
This book provides a comprehensive and unified introduction to stochastic differential equations and related optimal control problems. The material is new and the presentation is reader-friendly. A major contribution of the book is the development of generalized Malliavin calculus in the framework of white noise analysis, based on chaos expansion representation of stochastic processes and its application for solving several classes of stochastic differential equations with singular data involving the main operators of Malliavin calculus. In addition, applications in optimal control and numerical approximations are discussed.

The book is divided into four chapters. The first, entitled White Noise Analysis and Chaos Expansions, includes notation and provides the reader with the theoretical background needed to understand the subsequent chapters.

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