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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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Calculus of variations
H-derivativeMalliavin derivativeStochastic control

Papers overview

Semantic Scholar uses AI to extract papers important to this topic.
2014
2014
Stochastic differential equations with Sobolev diffusion and singular drift
In this paper we study properties of solutions to stochastic differential equations with Sobolev diffusion coefficients and… 
2014
2014
Analysis of volatility feedback and leverage effects on the ISE30 index using high frequency data
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
Quadratic hedging of weather and catastrophe risk by using short term climate predictions
The extent to which catastrophic weather events occur strongly depends on global climate conditions such as average sea surface… 
2008
2008
Plenary lecture IV: Malliavin calculus of Bismut type in semi-group theory
The talk is dovided in 5 parts. In the first part, we translate Malliavin Calculus of Bismut type in semi group theory, giving a… 
2003
2003
Conditional expansions and their applications
1998
1998
Essays on Lookback and Barrier Options - A Malliavin Calculus Approach
This thesis consists of four theoretical essays on contingent claim analysis and its connection to Malliavin calculus. The first… 
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… 
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… 
1989
1989
The existence of smooth densities for the prediction filtering and smoothing problems
Using a simple martingale representation result, a partial integration-by-parts formula is obtained. Quoting the results of… 
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