dc.contributor.author
Márquez, David (Márquez Carreras)
dc.contributor.author
Sanz-Solé, Marta
dc.date.issued
2012-04-10T08:20:23Z
dc.date.issued
2012-04-10T08:20:23Z
dc.identifier
https://hdl.handle.net/2445/23364
dc.description.abstract
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.
dc.format
application/pdf
dc.format
application/pdf
dc.publisher
Bernoulli Society for Mathematical Statistics and Probability
dc.relation
Reproducció del document publicat a: https://projecteuclid.org/euclid.bj/1173147906
dc.relation
Bernoulli, 1999, vol. 5, núm. 2, p. 257-274
dc.relation
https://projecteuclid.org/euclid.bj/1173147906
dc.rights
(c) ISI/BS, International Statistical Institute, Bernoulli Society, 1999
dc.rights
info:eu-repo/semantics/openAccess
dc.source
Articles publicats en revistes (Matemàtiques i Informàtica)
dc.subject
Equacions diferencials estocàstiques
dc.subject
Càlcul de Malliavin
dc.subject
Malliavin calculus
dc.subject
Stochastic differential equations
dc.title
Expansion of the density: a Wiener-chaos approach
dc.type
info:eu-repo/semantics/article
dc.type
info:eu-repo/semantics/publishedVersion
