Wiener chaos solutions of linear stochastic evolution equations
Probability
2007-05-23 v2
Abstract
A new method is described for constructing a generalized solution of a stochastic evolution equation. Existence, uniqueness, regularity and a probabilistic representation of this Wiener Chaos solution are established for a large class of equations. As an application of the general theory, new results are obtained for several types of the passive scalar equation.
Cite
@article{arxiv.math/0504558,
title = {Wiener chaos solutions of linear stochastic evolution equations},
author = {S. V. Lototsky and B. L. Rozovskii},
journal= {arXiv preprint arXiv:math/0504558},
year = {2007}
}
Comments
Published at http://dx.doi.org/10.1214/009117905000000738 in the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)