Cristin-resultat-ID: 1250546
Sist endret: 24. juni 2015, 15:14
Resultat
Vitenskapelig artikkel
2015

Quasi-linear stochastic partial differential equations with irregular coefficients - Malliavin regularity of the solutions.

Bidragsytere:
  • Torstein Kastberg Nilssen

Tidsskrift

Stochastics and Partial Differential Equations: Analysis and Computations
ISSN 2194-0401
e-ISSN 2194-041X
NVI-nivå 1

Om resultatet

Vitenskapelig artikkel
Publiseringsår: 2015
Open Access

Importkilder

Scopus-ID: 2-s2.0-84979850454

Beskrivelse Beskrivelse

Tittel

Quasi-linear stochastic partial differential equations with irregular coefficients - Malliavin regularity of the solutions.

Sammendrag

We study quasi-linear stochastic partial differential equations with discontinuous drift coefficients. Existence and uniqueness of a solution is already known under weaker conditions on the drift, but we are interested in the regularity of the solution in terms of Malliavin calculus. We prove that when the drift is bounded and measurable the solution is directional Malliavin differentiable.

Bidragsytere

Torstein Nilssen

Bidragsyterens navn vises på dette resultatet som Torstein Kastberg Nilssen
  • Tilknyttet:
    Forfatter
    ved Stokastisk, finans og risiko ved Universitetet i Oslo
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