On a new probabilistic representation for the solution of the heat equation
Probability
2010-02-24 v1
Abstract
We obtain a new probabilistic representation for the solution of the heat equation in terms of a product for smooth random variables which is introduced and studied in this paper. This multiplication, expressed in terms of the Hida-Malliavin derivatives of the random variables involved, exhibits many useful properties which are to some extents opposite to some peculiar features of the Wick product.
Keywords
Cite
@article{arxiv.1002.4269,
title = {On a new probabilistic representation for the solution of the heat equation},
author = {Paolo Da Pelo and Alberto Lanconelli},
journal= {arXiv preprint arXiv:1002.4269},
year = {2010}
}
Comments
14 pages