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Title:
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Expansion of the density: a Wiener-chaos approach
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Author:
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Márquez, David (Márquez Carreras); Sanz, Marta
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Other authors:
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Universitat de Barcelona |
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Abstract:
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We prove a Taylor expansion of the density pε(y) of a Wiener functional Fε with Wiener-chaos decomposition Fε=y+∑∞n=1εnIn(fn), ε∈(0,1]. Using Malliavin calculus, a precise description of the coefficients in the development in terms of the multiple integrals In(fn) is provided. This general result is applied to the study of the density in two examples of hyperbolic stochastic partial differential equations with linear coefficients, where the driving noise has been perturbed by a coefficient ε. |
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Subject(s):
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-Equacions diferencials estocàstiques
-Càlcul de Malliavin
-Probabilitats
-Malliavin calculus
-Probabilities
-Stochastic differential equations |
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Rights:
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(c) ISI/BS, International Statistical Institute, Bernoulli Society, 1999
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Document type:
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Article
Article - Published version |
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Published by:
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Bernoulli Society for Mathematical Statistics and Probability
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