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Stochastic analysis and regularity properties of certain partial differential operators. (English) Zbl 0567.60064

Proc. Int. Congr. Math., Warszawa 1983, Vol. 2, 1107-1116 (1984).
[For the entire collection see Zbl 0553.00001.]
The paper presents a short and interesting review on the Malliavin calculus. The main ideas of this theory are explained in a condensed and explicit form. The role of a covariance Malliavin matrix is discussed. Some applications to ergodic problems (not so usual in this theory) are treated.
Reviewer: A.Yu.Veretennikov

MSC:

60H20 Stochastic integral equations
60G30 Continuity and singularity of induced measures
28D99 Measure-theoretic ergodic theory

Citations:

Zbl 0553.00001