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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… 
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Related topics

Related topics

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Broader (1)

Calculus of variations
H-derivativeMalliavin derivativeStochastic control

Papers overview

Semantic Scholar uses AI to extract papers important to this topic.
2017
2017
Lévy Laplacians in Hida Calculus and Malliavin Calculus
Some connections between different definitions of Lévy Laplacians in the stochastic analysis are considered. Two approaches are… 
Review
2016
Review
2016
Computation of Greeks using Malliavin calculus
The valuation of derivatives (in the classical sense) of financial options with respect to different parameters appearing in the… 
2013
2013
SPDEs with Polynomial Growth Coecients and Malliavin Calculus Method
In this paper we study the existence and uniqueness of theL 2p (R d ;R 1 ) L 2 (R d ;R d ) valued solutions of backward doubly… 
Review
2009
Review
2009
Stein's method, Malliavin calculus and infinite-dimensional Gaussian analysis
This expository paper is a companion of the four one-hour tutorial lectures given in the occasion of the special month Progress… 
2009
2009
Application of Malliavin Calculus to Stochastic Partial Differential Equations
The Malliavin calculus is an infinite dimensional calculus on a Gaussian space, which is mainly applied to establish the… 
2008
2008
ENTIRE FUNCTIONS OF ORDER ≤ 1 , WITH BOUNDS ON BOTH AXES
Results are proved on the existence of a not identically vanishing entire function f , of order ≤ 1 , and satisfying log |f(x… 
Review
1997
Review
1997
A Review of White Noise Analysis from a Probabilistic Standpoint
The main notions and tools from white noise analysis are set up on the basis of the calculus of Gaussian random variables and the… 
1997
1997
DENSITY OF SEMIMARTINGALE DERIVEN BY CANONICAL STOCHASTIC DIFFERENTIAL EQUATION
The existence and the smoothness of density of random variables which are solutions of the canonical stochastic differential… 
1992
1992
INFINITE DIMENSIONAL MALLIAVIN CALCULUS AND ITS APPLICATION
In this paper we study the infinite dimensional Malliavin calculus, and apply it to determingwhen the solution of an infinite… 
1985
1985
THE MALLIAVIN CALCULUS AND ITS APPLICATIONS
Malliavin calculus has been one of the most attractive topics in the domain of stochastic analysis in recent years.It is… 
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