Malliavin calculus

Known as: Stochastic Calculus of Variations 
In probability theory and related fields, Malliavin calculus is a set of mathematical techniques and ideas that extend the mathematical field of… (More)
Wikipedia

Papers overview

Semantic Scholar uses AI to extract papers important to this topic.
2008
2008
We combine Stein’s method with Malliavin calculus in order to obtain explicit bounds in the multidimensional normal approximation… (More)
Is this relevant?
2008
2008
Using multiple stochastic integrals and the Malliavin calculus, we analyze the asymptotic behavior of quadratic variations for a… (More)
Is this relevant?
2006
2006
We derive and analyze Monte Carlo estimators of price sensitivities (“Greeks”) for contingent claims priced in a diffusion model… (More)
Is this relevant?
2006
2006
A new method is proposed to prove the absolute continuity of distributions of solutions of stochastic differential equations with… (More)
Is this relevant?
2004
2004
We introduce the forward integral with respect to a pure jump Lévy process and we prove an Itô formula for this integral. Then we… (More)
Is this relevant?
2003
2003
This article is an introduction to Malliavin Calculus for practitioners. We treat one specific application to the calculation of… (More)
  • figure 1
  • figure 2
  • figure 3
  • figure 4
  • figure 5
Is this relevant?
2002
2002
In this article, we give a brief informal introduction to Malliavin Calculus for newcomers. We apply these ideas to the… (More)
  • figure 1
  • figure 2
  • figure 3
  • figure 4
Is this relevant?
2002
2002
Recent work by Nualart and Schoutens (2000), where a kind of chaotic property for Ĺevy processes has been proved, has enabled us… (More)
Is this relevant?
Highly Cited
1999
Highly Cited
1999
This paper presents an original probabilistic method for the numerical computations of Greeks (i.e. price sensitivities) in… (More)
  • figure 1
  • figure 2
  • figure 3
  • figure 4
  • figure 5
Is this relevant?
1998
1998
and some initial condition. We use the Malliavin calculus in order to prove that, if the coefficients ' and are smooth and ' > 0… (More)
Is this relevant?