On generalized Malliavin calculus

S.V. Lototsky, B.L. Rozovskii and D. Seleši

Stochastic Processes and their Applications, 2012, vol. 122, issue 3, 808-843

Abstract: The Malliavin derivative, the divergence operator (Skorokhod integral), and the Ornstein–Uhlenbeck operator are extended from the traditional Gaussian setting to nonlinear generalized functionals of white noise. These extensions are related to the new developments in the theory of stochastic PDEs, in particular elliptic PDEs driven by spatial white noise and quantized nonlinear equations.

Keywords: Malliavin operators; Stochastic PDEs; Generalized stochastic processes (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1016/j.spa.2011.11.003

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