We obtain a new probabilistic representation for the solution of the heat equation in terms of a product for smooth random variables which is introduced and studied in this paper. This multiplication, expressed in terms of the Hida-Malliavin derivatives of the random variables involved, exhibits many useful properties that are to some extents opposite to some peculiar features of the Wick product

A new probabilistic representation for the solution of the heat equation

DA PELO, PAOLO;LANCONELLI, ALBERTO
2012

Abstract

We obtain a new probabilistic representation for the solution of the heat equation in terms of a product for smooth random variables which is introduced and studied in this paper. This multiplication, expressed in terms of the Hida-Malliavin derivatives of the random variables involved, exhibits many useful properties that are to some extents opposite to some peculiar features of the Wick product
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11586/20809
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