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Published in:
2013 | OriginalPaper | Chapter
Nonhomogeneous First-order Linear Malliavin Type Differential Equation
Authors : Tijana Levajković, Dora Seleši
Published in: Pseudo-Differential Operators, Generalized Functions and Asymptotics
Publisher: Springer Basel
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In this paper we solve a nonhomogeneous first-order linear equation involving the Malliavin derivative operator with stochastic coefficients by use of the chaos expansion method. We prove existence and uniqueness of a solution in a certain weighted space of generalized stochastic distributions and represent the obtained solution in the Wiener-ItÔ chaos expansion form.