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It��'s formula for linear fractional PDEs

Authors :
Leon, Jorge A.
Tindel, Samy
Publication Year :
2006
Publisher :
arXiv, 2006.

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 It��-type formula for the process X.<br />23 p

Details

Database :
OpenAIRE
Accession number :
edsair.doi...........d1c6a39882357da40857d1b602cebadc
Full Text :
https://doi.org/10.48550/arxiv.math/0610753