Journal of the Mathematical Society of Japan
Online ISSN : 1881-1167
Print ISSN : 0025-5645
ISSN-L : 0025-5645
An exercise in Malliavin's calculus
Daniel W. Stroock
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2015 Volume 67 Issue 4 Pages 1785-1799

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Abstract

This note has two goals. First, for those who have heard the term but do not know what it means, it provides a gentle introduction to Malliavin's calculus as it applies to degenerate parabolic partial differential equations. Second, it applies that theory to generalizations of Kolmogorov's example of a highly degenerate operator which is nonetheless hypoelliptic.

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© 2015 The Mathematical Society of Japan
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