Calculating the Malliavin derivative of one stochastic mechanics problem

• المؤلف الرئيسي: Lyu, Xingyu
• مؤلفون آخرون: Nicolas Privault
• التنسيق: Final Year Project
• اللغة: English
• منشور في: Nanyang Technological University 2019
• الموضوعات: Science; Science::Mathematics::Probability theory
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/136481
• المؤسسة: Nanyang Technological University

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...