Wiener chaos solutions of linear stochastic evolution equations

By Sergey V. Lototsky, Boris L. Rozovskii. 2005

60 citations recorded by the source corpus.

A new method is described for constructing a generalized solution of a stochastic evolution equation. Existence, uniqueness, regularity and a probabilistic representation of this Wiener Chaos solution are established for a large class of equations. As an application of the general theory, new results are obtained for several types of the passive scalar equation.

Subfields: Finance, Statistical and Nonlinear Physics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/80416472951a13c863d5f00a793b19eb01726455

Citations in the corpus

• Stochastic Differential Equations: A Wiener Chaos Approach (2005, unknown): “This section presents the results from [ 29 ] and [28] about the stochastic transport equation.”