Calculating the Malliavin derivative of some stochastic mechanics problems

@inproceedings{Hauseux2017CalculatingTM,
  title={Calculating the Malliavin derivative of some stochastic mechanics problems},
  author={Paul Hauseux and Jack S. Hale and St{\'e}phane P. A. Bordas},
  booktitle={PloS one},
  year={2017}
}
The Malliavin calculus is an extension of the classical calculus of variations from deterministic functions to stochastic processes. In this paper we aim to show in a practical and didactic way how to calculate the Malliavin derivative, the derivative of the expectation of a quantity of interest of a model with respect to its underlying stochastic… CONTINUE READING