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Equations involving malliavin derivative: A chaos expansion approach
Book PartAbstract: We study equations involving the Malliavin derivative operator and the Wick product with a GaussianPalabras claves:Chaos expansion, Galerkin method, Generalized stochastic process, Malliavin derivative, Stochastic differential equation, Wick productAutores:Hermann Mena, Levajkovic T.Fuentes:scopusOn deterministic and stochastic linear quadratic control problems
Conference ObjectAbstract: The numerical treatment of linear quadratic regulator (LQR), linear quadratic Gaussian (LQG) designPalabras claves:LQG, LQR, RDEs, SRDEs, Stochastic ControlAutores:Hermann Mena, Levajkovic T.Fuentes:scopusOn the benefits of the LD<sup>LT</sup> factorization for large-scale differential matrix equation solvers
ArticleAbstract: We propose efficient algorithms for solving large-scale matrix differential equations. In particularPalabras claves:Large-scale, Low-rank, Lyapunov equations, Matrix differential equations, Riccati equationsAutores:Hermann Mena, Lang N., Saak J.Fuentes:scopus