Calculating the Malliavin derivative of one stochastic mechanics problem

• Main Author: Lyu, Xingyu
• Other Authors: Nicolas Privault
• Format: Final Year Project
• Language: English
• Published: Nanyang Technological University 2019
• Subjects: Science; Science::Mathematics::Probability theory
• Online Access: https://hdl.handle.net/10356/136481
• Institution: 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...