CHAOS EXPANSION METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS INVOLVING THE MALLIAVIN DERIVATIVE-PART II


Tijana Levajković, Dora Seleši




We solve stochastic differential equations involving the Malliavin derivative and the fractional Malliavin derivative by means of a chaos expansion on a general white noise space (Gaussian, Poissonian, fractional Gaussian and fractional Poissonian white noise space). There exist unitary mappings between the Gaussian and Poissonian white noise spaces, which can be applied in solving SDEs.