Malliavin calculus is a stochastic calculus of variations on the Wiener space. The main results of this theory are currently having influence on research developments at the cross section of probability and infinite-dimensional analysis. On the applied level, Malliavin calculus is used, for example, in the study by probabilistic methods of mathematical models in finance. This book presents some applications of Malliavin calculus to stochastic partial differential equations driven by Gaussian noises. The first five chapters are devoted to an introduction of the calculus itself, based on a general Gaussian space. In the last chapters of the book, recent research on regularity of the solution of stochastic partial differential equations, and existence and smoothness of their probability laws, are discussed. Book jacket.

Developed in the 1970s to study the existence and smoothness of density for the probability laws of random vectors, Malliavin calculus--a stochastic calculus of variation on the Wiener space--has proven fruitful in many problems in probability theory, particularly in probabilistic numerical methods in financial mathematics. This book presents applications of Malliavin calculus to the analysis of probability laws of solutions to stochastic partial differential equations driven by Gaussian noises that are white in time and coloured in space. The first five chapters introduce the calculus itself based on a general Gaussian space, going from the simple, finite-dimensional setting to the infinite-dimensional one. The final three chapters discuss recent research on regularity of the solution of stochastic partial differential equations and the existence and smoothness of their probability laws. About the author: Marta Sanz-Solé is Professor at the Faculty of Mathematics, University of Barcelona. She is a leading member of the research group on stochastic analysis at Barcelona, and in 1998 she received the Narcis Monturiol Award of Scientific and Technological Excellence from the autonomous government of Catalonia.

Stochastic calculus is a branch of mathematics that operates on stochastic processes. It allows a consistent theory of integration to be defined for integrals of stochastic processes with respect to stochastic processes. It is used to model systems that behave randomly. The best-known stochastic process to which stochastic calculus is applied is the Wiener process, the Wiener process has been widely applied in financial mathematics and economics to model the evolution in time of stock prices and bond interest rates. The Malliavin calculus extends the calculus of variations from functions to stochastic processes. The Malliavin calculus is also called the stochastic calculus of variations. In particular, it allows the computation of derivatives of random variables. Malliavin's ideas led to a proof that H�rmander's condition implies the existence and smoothness of a density for the solution of a stochastic differential equation; H�rmander's original proof was based on the theory of partial differential equations. The calculus has been applied to stochastic partial differential equations as well. The calculus allows integration by parts with random variables; this operation is used in mathematical finance to compute the sensitivities of financial derivatives. The calculus has applications in, for example, stochastic filtering. This book emphasizes on differential stochastic equations and Malliavin calculus.

In this book the author presents a self-contained account of Harnack inequalities and applications for the semigroup of solutions to stochastic partial and delayed differential equations. Since the semigroup refers to Fokker-Planck equations on infinite-dimensional spaces, the Harnack inequalities the author investigates are dimension-free. This is an essentially different point from the above mentioned classical Harnack inequalities. Moreover, the main tool in the study is a new coupling method (called coupling by change of measures) rather than the usual maximum principle in the current literature.

This book presents in thirteen refereed survey articles an overview of modern activity in stochastic analysis, written by leading international experts. The topics addressed include stochastic fluid dynamics and regularization by noise of deterministic dynamical systems; stochastic partial differential equations driven by Gaussian or Lévy noise, including the relationship between parabolic equations and particle systems, and wave equations in a geometric framework; Malliavin calculus and applications to stochastic numerics; stochastic integration in Banach spaces; porous media-type equations; stochastic deformations of classical mechanics and Feynman integrals and stochastic differential equations with reflection. The articles are based on short courses given at the Centre Interfacultaire Bernoulli of the Ecole Polytechnique Fédérale de Lausanne, Switzerland, from January to June 2012. They offer a valuable resource not only for specialists, but also for other researchers and Ph.D. students in the fields of stochastic analysis and mathematical physics. Contributors: S. Albeverio M. Arnaudon V. Bally V. Barbu H. Bessaih Z. Brzeźniak K. Burdzy A.B. Cruzeiro F. Flandoli A. Kohatsu-Higa S. Mazzucchi C. Mueller J. van Neerven M. Ondreját S. Peszat M. Veraar L. Weis J.-C. Zambrini

Taking readers with a basic knowledge of probability and real analysis to the frontiers of a very active research discipline, this textbook provides all the necessary background from functional analysis and the theory of PDEs. It covers the main types of equations (elliptic, hyperbolic and parabolic) and discusses different types of random forcing. The objective is to give the reader the necessary tools to understand the proofs of existing theorems about SPDEs (from other sources) and perhaps even to formulate and prove a few new ones. Most of the material could be covered in about 40 hours of lectures, as long as not too much time is spent on the general discussion of stochastic analysis in infinite dimensions. As the subject of SPDEs is currently making the transition from the research level to that of a graduate or even undergraduate course, the book attempts to present enough exercise material to fill potential exams and homework assignments. Exercises appear throughout and are usually directly connected to the material discussed at a particular place in the text. The questions usually ask to verify something, so that the reader already knows the answer and, if pressed for time, can move on. Accordingly, no solutions are provided, but there are often hints on how to proceed. The book will be of interest to everybody working in the area of stochastic analysis, from beginning graduate students to experts in the field.

Thanks to the driving forces of the Itô calculus and the Malliavin calculus, stochastic analysis has expanded into numerous fields including partial differential equations, physics, and mathematical finance. This book is a compact, graduate-level text that develops the two calculi in tandem, laying out a balanced toolbox for researchers and students in mathematics and mathematical finance. The book explores foundations and applications of the two calculi, including stochastic integrals and differential equations, and the distribution theory on Wiener space developed by the Japanese school of probability. Uniquely, the book then delves into the possibilities that arise by using the two flavors of calculus together. Taking a distinctive, path-space-oriented approach, this book crystallizes modern day stochastic analysis into a single volume.

The Malliavin calculus was developed to provide a probabilistic proof of Hormander's hypoellipticity theorem. The theory has expanded to encompass other significant applications. The main application of the Malliavin calculus is to establish the regularity of the probability distribution of functionals of an underlying Gaussian process. In this way, one can prove the existence and smoothness of the density for solutions of various stochastic differential equations. More recently, applications of the Malliavin calculus in areas such as stochastic calculus for fractional Brownian motion, central limit theorems for multiple stochastic integrals, and mathematical finance have emerged. The first part of the book covers the basic results of the Malliavin calculus. The middle part establishes the existence and smoothness results that then lead to the proof of Hormander's hypoellipticity theorem. The last part discusses the recent developments for Brownian motion, central limit theorems, and mathematical finance.

The Euler and Navier–Stokes equations are the fundamental mathematical models of fluid mechanics, and their study remains central in the modern theory of partial differential equations. This volume of articles, derived from the workshop 'PDEs in Fluid Mechanics' held at the University of Warwick in 2016, serves to consolidate, survey and further advance research in this area. It contains reviews of recent progress and classical results, as well as cutting-edge research articles. Topics include Onsager's conjecture for energy conservation in the Euler equations, weak-strong uniqueness in fluid models and several chapters address the Navier–Stokes equations directly; in particular, a retelling of Leray's formative 1934 paper in modern mathematical language. The book also covers more general PDE methods with applications in fluid mechanics and beyond. This collection will serve as a helpful overview of current research for graduate students new to the area and for more established researchers.