Calculating the Malliavin derivative of one stochastic mechanics problem
The Malliavin weight sampling method is a way to tracking the dynamics of a stochastic system. In this FYP, we aim to apply this MWS method to a specific stochastic problem. First, we construct a Malliavin weight in a rigorous and precise mathematical way. Then we apply this MWS to Kelvin-Voigt stoc...
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| Format: | Final Year Project |
| Language: | English |
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Nanyang Technological University
2019
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| Online Access: | https://hdl.handle.net/10356/136481 |
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| Institution: | Nanyang Technological University |
| Language: | English |