Displaying similar documents to “Simplified Malliavin calculus”

On mild solutions of gradient systems in Hilbert spaces

Andrzej Rozkosz (2013)

Open Mathematics

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We consider the Cauchy problem for an infinite-dimensional Ornstein-Uhlenbeck equation perturbed by gradient of a potential. We prove some results on existence and uniqueness of mild solutions of the problem. We also provide stochastic representation of mild solutions in terms of linear backward stochastic differential equations determined by the Ornstein-Uhlenbeck operator and the potential.

Forward-backward stochastic differential equations and PDE with gradient dependent second order coefficients

Romain Abraham, Olivier Riviere (2006)

ESAIM: Probability and Statistics

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We consider a system of fully coupled forward-backward stochastic differential equations. First we generalize the results of Pardoux-Tang [7] concerning the regularity of the solutions with respect to initial conditions. Then, we prove that in some particular cases this system leads to a probabilistic representation of solutions of a second-order PDE whose second order coefficients depend on the gradient of the solution. We then give some examples in dimension 1 and dimension 2 for...