DENSITIES OF DISTRIBUTIONS OF SOLUTIONS TO DELAY STOCHASTIC DIFFERENTIAL EQUATIONS WITH DISCONTINUOUS INITIAL DATA (PART II)
Journal: International Journal of Engineering Sciences & Research Technology (IJESRT) (Vol.5, No. 3)Publication Date: 2016-03-30
Authors : Tagelsir A. Ahmed; Van Casteren; Jan A.;
Page : 530-542
Keywords : : Stochastic Diffe rential Equations; Malliavin Calculus; Euler Scheme for delay SDE’s; Integration by Parts; Densities of Distributions.;
Abstract
In the present work we have gone a step forward towards integration by part of higher order Malliavin derivatives by formulating and extending some formulas and results on Malliavin calculus and ordinary stochastic differential equations to include delay stochastic differential equations as well as ordinary SDE’s. Here we have also stated clearly what we mean by the Malliavin derivatives and densities of distributions of the solutions process for delay stochastic differential equations which we are considering.
Other Latest Articles
- MODIFIED AODV PROTOCOL FOR ENERGY EFFICIENT ROUTING IN MANET
- INDIAN SIGN LANGUAGE RECOGNITION WITH IMPLEMENTATION OF SPEEDED UP ROBUST FEATURES ALGORITHM
- EXPERIMENTAL INVESTIGATION OF HEAT TRANSFER FROM ANNULAR FINS OF CIRCULAR AND ELLIPTICAL CROSS SECTION
- ANALYTICITY OF TWO DIMENSIONAL FRACTIONAL FOURIER - MELLIN TRANSFORM
- EXPERIMENTAL VALIDATION AND CFD PREDICTION OF NATURAL CONVECTION IN A VE RTICAL PIPE USING FLUENT 14.5 SOLVER
Last modified: 2016-03-16 18:26:36