Malliavin calculus for fractional heat equation
Probability
2013-11-05 v2
Abstract
In this article, we give some existence and smoothness results for the law of the solution to a stochastic heat equation driven by a finite dimensional fractional Brownian motion with Hurst parameter . Our results rely on recent tools of Young integration for convolutional integrals combined with stochastic analysis methods for the study of laws of random variables defined on a Wiener space.
Keywords
Cite
@article{arxiv.1109.0422,
title = {Malliavin calculus for fractional heat equation},
author = {Aurélien Deya and Samy Tindel},
journal= {arXiv preprint arXiv:1109.0422},
year = {2013}
}
Comments
Dedicated to David Nualart on occasion of his 60th birthday