Ito's formula for linear fractional PDEs.

Authors :: León, Jorge A.
Tindel, Samy
Source :: Stochastics: An International Journal of Probability & Stochastic Processes. Oct2008, Vol. 80 Issue 5, p427-450. 24p.
Publication Year :: 2008
Abstract: In this paper, we introduce a stochastic integral with respect to the solution X of the fractional heat equation on [0,1], interpreted as a divergence operator. This allows to use the techniques of the Malliavin calculus in order to establish an Ito-type formula for the process X. [ABSTRACT FROM AUTHOR]

Subjects :: *STOCHASTIC analysis
*INTEGRAL equations
*HEAT equation
*MALLIAVIN calculus
*MATHEMATICS

Language :: English
ISSN :: 17442508
Volume :: 80
Issue :: 5
Database :: Academic Search Index
Journal :: Stochastics: An International Journal of Probability & Stochastic Processes
Publication Type :: Academic Journal
Accession number :: 34294187
Full Text :: https://doi.org/10.1080/17442500701661687