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Equations involving malliavin calcul...

Levajkovic, Tijana.

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Equations involving malliavin calculus operators = applications and numerical approximation /

Record Type:	Electronic resources : Monograph/item
Title/Author:	Equations involving malliavin calculus operators/ by Tijana Levajkovic, Hermann Mena.
Reminder of title:	applications and numerical approximation /
Author:	Levajkovic, Tijana.
other author:	Mena, Hermann.
Published:	Cham :Springer International Publishing : : 2017.,
Description:	x, 132 p. :ill., digital ;24 cm.
Contained By:	Springer eBooks
Subject:	Stochastic differential equations. -
Online resource:	http://dx.doi.org/10.1007/978-3-319-65678-6
ISBN:	9783319656786

Equations involving malliavin calculus operators = applications and numerical approximation /
Levajkovic, Tijana.

Equations involving malliavin calculus operatorsapplications and numerical approximation /[electronic resource] :by Tijana Levajkovic, Hermann Mena. - Cham :Springer International Publishing :2017. - x, 132 p. :ill., digital ;24 cm. - SpringerBriefs in mathematics,2191-8198. - SpringerBriefs in mathematics..

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. In Chapter 2, Generalized Operators of Malliavin Calculus, the Malliavin derivative operator, the Skorokhod integral and the Ornstein-Uhlenbeck operator are introduced in terms of chaos expansions. The main properties of the operators, which are known in the literature for the square integrable processes, are proven using the chaos expansion approach and extended for generalized and test stochastic processes. Chapter 3, Equations involving Malliavin Calculus operators, is devoted to the study of several types of stochastic differential equations that involve the operators of Malliavin calculus, introduced in the previous chapter. Fractional versions of these operators are also discussed. Finally, in Chapter 4, Applications and Numerical Approximations are discussed. Specifically, we consider the stochastic linear quadratic optimal control problem with different forms of noise disturbances, operator differential algebraic equations arising in fluid dynamics, stationary equations and fractional versions of the equations studied - applications never covered in the extant literature. Moreover, numerical validations of the method are provided for specific problems."

ISBN: 9783319656786

Standard No.: 10.1007/978-3-319-65678-6doiSubjects--Topical Terms:

621860
Stochastic differential equations.

LC Class. No.: QA274.2

Dewey Class. No.: 519.22

Equations involving malliavin calculus operators = applications and numerical approximation /
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100 1 $a Levajkovic, Tijana. $3 3259167
245 1 0 $a Equations involving malliavin calculus operators $h [electronic resource] : $b applications and numerical approximation / $c by Tijana Levajkovic, Hermann Mena.
260 $a Cham : $b Springer International Publishing : $b Imprint: Springer, $c 2017.
300 $a x, 132 p. : $b ill., digital ; $c 24 cm.
490 1 $a SpringerBriefs in mathematics, $x 2191-8198
520 $a 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. In Chapter 2, Generalized Operators of Malliavin Calculus, the Malliavin derivative operator, the Skorokhod integral and the Ornstein-Uhlenbeck operator are introduced in terms of chaos expansions. The main properties of the operators, which are known in the literature for the square integrable processes, are proven using the chaos expansion approach and extended for generalized and test stochastic processes. Chapter 3, Equations involving Malliavin Calculus operators, is devoted to the study of several types of stochastic differential equations that involve the operators of Malliavin calculus, introduced in the previous chapter. Fractional versions of these operators are also discussed. Finally, in Chapter 4, Applications and Numerical Approximations are discussed. Specifically, we consider the stochastic linear quadratic optimal control problem with different forms of noise disturbances, operator differential algebraic equations arising in fluid dynamics, stationary equations and fractional versions of the equations studied - applications never covered in the extant literature. Moreover, numerical validations of the method are provided for specific problems."
650 0 $a Stochastic differential equations. $3 621860
650 0 $a Malliavin calculus. $3 648160
650 1 4 $a Mathematics. $3 515831
650 2 4 $a Probability Theory and Stochastic Processes. $3 891080
650 2 4 $a Functional Analysis. $3 893943
650 2 4 $a Partial Differential Equations. $3 890899
650 2 4 $a Calculus of Variations and Optimal Control; Optimization. $3 898674
650 2 4 $a Numerical Analysis. $3 892626
700 1 $a Mena, Hermann. $3 3259168
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830 0 $a SpringerBriefs in mathematics. $3 1566700
856 4 0 $u http://dx.doi.org/10.1007/978-3-319-65678-6
950 $a Mathematics and Statistics (Springer-11649)