In this paper, we define expectation of f∈F, i.e. E(f)=f(?), according to Wiener-Ito-Segal isomorphic relation between Guichardet-Fock space F and Wienerspace W. Meanwhile, we derive a formula for the expectation of ...In this paper, we define expectation of f∈F, i.e. E(f)=f(?), according to Wiener-Ito-Segal isomorphic relation between Guichardet-Fock space F and Wienerspace W. Meanwhile, we derive a formula for the expectation of random Hermite polynomial in Skorohod integral on Guichardet- Fock spaces. In particular, we prove that the anticipative Girsanov identities under the condition E(H<sub>x</sub>(δ(x),‖x‖<sup>2</sup>)),n≥1 on Guichardet-Fock spaces.展开更多
In this paper, we define expectation of f∈E, i.e. E(f)=f(?), accordingto Wiener-Ito-Segal isomorphic relation between Guichardet-Fock space F and Wienerspace W. Meanwhile, we prove a moment identity for the Skorohod ...In this paper, we define expectation of f∈E, i.e. E(f)=f(?), accordingto Wiener-Ito-Segal isomorphic relation between Guichardet-Fock space F and Wienerspace W. Meanwhile, we prove a moment identity for the Skorohod integrals aboutvacuum state.展开更多
We introduce anticipating quadrant and symmetric integrals in the plane, and establish the associated chain rules which are the same as the deterministic ones. In particular, we deduce the relation between quadrant in...We introduce anticipating quadrant and symmetric integrals in the plane, and establish the associated chain rules which are the same as the deterministic ones. In particular, we deduce the relation between quadrant integrals, symmetric integral, and Skorohod integral with respect to two-parameter Wiener processes.展开更多
This article attempts to give a short survey of recent progress on a class of elementary stochastic partial differential equations (for example, stochastic heat equations) driven by Gaussian noise of various covarianc...This article attempts to give a short survey of recent progress on a class of elementary stochastic partial differential equations (for example, stochastic heat equations) driven by Gaussian noise of various covariance structures. The focus is on the existence and uniqueness of the classical (square integrable) solution (mild solution, weak solution). It is also concerned with the Feynman-Kac formula for the solution;Feynman-Kac formula for the moments of the solution;and their applications to the asymptotic moment bounds of the solution. It also briefly touches the exact asymptotics of the moments of the solution.展开更多
This paper introdnces some concepts of conditional stability of stochasticVolterra equations with anticipating kernel. Snfficient conditions of these types of sta-bility are established via Lyapunov funciton.
In this paper we prove the existence and uniqueness of the solutions to the one-dimensional linear stochastic differential equation with Skorohod integral Xt（ω）=η（w）＋∫^t 0 asXs（ω）dWs＋∫^t 0 bsXs（ω）ds, t...In this paper we prove the existence and uniqueness of the solutions to the one-dimensional linear stochastic differential equation with Skorohod integral Xt（ω）=η（w）＋∫^t 0 asXs（ω）dWs＋∫^t 0 bsXs（ω）ds, t∈[0,1] where （Ws） is the canonical Wiener process defined on the standard Wiener space （W,H,u）, a is non-smooth and adapted, but η and b may be anticipating to the filtration generated by （Ws）. The intention of the paper is to eliminate the regularity of the diffusion coefficient a in the Malliavin sense, in the existing literature. The idea is to approach the non-smooth diffusion coefficient a by smooth ones.展开更多
文摘In this paper, we define expectation of f∈F, i.e. E(f)=f(?), according to Wiener-Ito-Segal isomorphic relation between Guichardet-Fock space F and Wienerspace W. Meanwhile, we derive a formula for the expectation of random Hermite polynomial in Skorohod integral on Guichardet- Fock spaces. In particular, we prove that the anticipative Girsanov identities under the condition E(H<sub>x</sub>(δ(x),‖x‖<sup>2</sup>)),n≥1 on Guichardet-Fock spaces.
文摘In this paper, we define expectation of f∈E, i.e. E(f)=f(?), accordingto Wiener-Ito-Segal isomorphic relation between Guichardet-Fock space F and Wienerspace W. Meanwhile, we prove a moment identity for the Skorohod integrals aboutvacuum state.
文摘We introduce anticipating quadrant and symmetric integrals in the plane, and establish the associated chain rules which are the same as the deterministic ones. In particular, we deduce the relation between quadrant integrals, symmetric integral, and Skorohod integral with respect to two-parameter Wiener processes.
基金supported by an NSERC granta startup fund of University of Alberta
文摘This article attempts to give a short survey of recent progress on a class of elementary stochastic partial differential equations (for example, stochastic heat equations) driven by Gaussian noise of various covariance structures. The focus is on the existence and uniqueness of the classical (square integrable) solution (mild solution, weak solution). It is also concerned with the Feynman-Kac formula for the solution;Feynman-Kac formula for the moments of the solution;and their applications to the asymptotic moment bounds of the solution. It also briefly touches the exact asymptotics of the moments of the solution.
基金Supported by Natural Science Foundation of Beijing (1022004)
文摘This paper introdnces some concepts of conditional stability of stochasticVolterra equations with anticipating kernel. Snfficient conditions of these types of sta-bility are established via Lyapunov funciton.
文摘In this paper we prove the existence and uniqueness of the solutions to the one-dimensional linear stochastic differential equation with Skorohod integral Xt（ω）=η（w）＋∫^t 0 asXs（ω）dWs＋∫^t 0 bsXs（ω）ds, t∈[0,1] where （Ws） is the canonical Wiener process defined on the standard Wiener space （W,H,u）, a is non-smooth and adapted, but η and b may be anticipating to the filtration generated by （Ws）. The intention of the paper is to eliminate the regularity of the diffusion coefficient a in the Malliavin sense, in the existing literature. The idea is to approach the non-smooth diffusion coefficient a by smooth ones.
