2005/04/30 by Sergey V. Lototsky, S. V. Lototsky, B. L. Rozovskii +1
Decision Sciences · Economics, Econometrics and Finance · Mathematics · Physics and Astronomy · #Probabilistic and Robust Engineering Design #Quantum chaos and dynamical systems #Stochastic processes and financial applications #math.PR #msc:35R60 #msc:60H15 #msc:60H40
paper · pdf · doi:10.1214/009117905000000738
published as Annals of Probability 2006, Vol. 34, No. 2, 638-662 · Published at http://dx.doi.org/10.1214/009117905000000738 in the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)
openalex publication_date 2006/03/01 · arxiv created 2006/05/25 · arxiv updated 2009/12/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
A new method is described for constructing a generalized solution of a stochastic evolution equation. Existence, uniqueness, regularity and a probabilistic representation of this Wiener Chaos solution are established for a large class of equations. As an application of the general theory, new results are obtained for several types of the passive scalar equation.