Abstract
The first part of this paper contains a rigorous and detailed development of the Malliavin calculus and its relation to stochastic integral equations. The second part is devoted to examples of applications of this machinery to the study of solutions to the Fokker-Planck equation, associated with diffusions. The applications given are by no means exhaustive, but instead they have been chosen to demonstrate the scope of Malliavin's ideas in the hope of stimulating further investigations into this subject.
Similar content being viewed by others
References
G. B. Folland, “Subelliptic Estimates and Function Spaces on NilPotent Lie Groups,”Arkiv. f. Mat. 13 (1975), pp. 161–207.
I. I. Gihman, and A. V. Skorokod,Stochastic Differential Equations, Springer-Verlag, Berlin (1972).
L. Hörmander, “Hypoelliptic Second Order Differential Equations,”Acta Math. 119 (1967), pp. 147–171.
N. Ikada and S. Watenabe,Stochastic Differential Equations and Diffusion Processes (to appear).
M. Kac, “Distribution of Certain Wiener Functionals,”T.A.M.S., vol. 65 (1949), pp. 1–13.
P. Malliavin, “C k-Hypoellipticity with Degeneracy” (Parts I and II),Stochastic Analysis, edited by Friedman and Pinsky, Academic Press (1978), pp. 199–214 and pp. 327–340.
P. Malliavin, “Stochastic Calculus of Variation and Hypoelliptic Operators,” Proc. of the International Symposium on Stochastic Differential Equations (Kyoto 1976) Tokyo, 1978.
H. P. McKean,Stochastic Integrals, Academic Press, N.Y. (1969).
L. P. Rochchild and E. M. Stein, “Hypoelliptic Differential Operators and Nilpotent Groups,”Acta Math. 137 (1976), pp. 247–320.
D. Stroock and R. Holley, “Generalized Ornstein-Uhlenbeck Processes and Infinite Particle Branching Brownian Motions,”Publ. of R.I.M.S., Kyoto Univ., vol. 14 no. 3, pp. 741–788.
D. Stroock and S. R. S. Varadhan,Multidimensional Diffusion Processes, Springer-Verlag, New York (1979).
D. Stroock and M. Yor, On Extremal Solutions of Martingale Problems,Ann. Ecole Norm. Sup. to appear.
H. Kunita and S. Watanabe, “On Square Integrable Martingales,”Nagoya Math. J. 30 (1967), pp. 209–245.
Author information
Authors and Affiliations
Additional information
Research partially supported by N. S. F. Grant MCS 77–14881 A01.
Rights and permissions
About this article
Cite this article
Stroock, D.W. The Malliavin calculus and its application to second order parabolic differential equations: Part II. Math. Systems Theory 14, 141–171 (1981). https://doi.org/10.1007/BF01752393
Revised:
Issue Date:
DOI: https://doi.org/10.1007/BF01752393