A Short Review of the Malliavin Calculus in Hilbert Spaces

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• 作者：Raphael Kruse (13)
  
• 刊名：Lecture Notes in Mathematics
• 出版年：2014
• 出版时间：2014
• 年：2014
• 卷：2093
• 期：1
• 页码：109-127
• 全文大小：244KB
• 作者单位：Raphael Kruse (13)
  
  13. Department of Mathematics, Bielefeld University, Bielefeld, Germany
  
• ISSN：1617-9692

文摘

So far, the Malliavin calculus has been rarely used in articles covering the numerical analysis of stochastic processes, in particular for SPDEs, and we find it appropriate to provide a gentle and self-contained introduction into this theory.