Expansion of the density: a Wiener-chaos approach
Márquez-Carreras, David ; Sanz-Solé, Marta
Bernoulli, Tome 5 (1999) no. 6, p. 257-274 / Harvested from Project Euclid
Text on Project Euclid
PDF
Alt PDF
We prove a Taylor expansion of the density [math] of a Wiener functional [math] with Wiener-chaos decomposition [math] , [math] . Using Malliavin calculus, a precise description of the coefficients in the development in terms of the multiple integrals [math] 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 [math] .
Publié le : 1999-04-14
Classification:  Malliavin calculus,  probability densities,  stochastic partial differential equations,  Wiener functionals 
@article{1173147906,
     author = {M\'arquez-Carreras, David and Sanz-Sol\'e, Marta},
     title = {Expansion of the density: a Wiener-chaos approach},
     journal = {Bernoulli},
     volume = {5},
     number = {6},
     year = {1999},
     pages = { 257-274},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1173147906}
}

Márquez-Carreras, David; Sanz-Solé, Marta. Expansion of the density: a Wiener-chaos approach. Bernoulli, Tome 5 (1999) no. 6, pp.  257-274. http://gdmltest.u-ga.fr/item/1173147906/