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Malliavin derivative
In mathematics, the Malliavin derivative is a notion of derivative in the Malliavin calculus. Intuitively, it is the notion of derivative appropriate…
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Related topics
3 relations
Fréchet derivative
H-derivative
Malliavin calculus
Papers overview
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2017
2017
Calculating the Malliavin Derivative of some numerical model using the Malliavin Weight Sampling method
P. Hauseux
,
J. Hale
,
S. Bordas
2017
Corpus ID: 125848391
The Malliavin calculus suggests a methodology, called the Malliavin Weight Sampling method, for computing the derivative of an…
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2017
2017
Multi-dimensional BSDEs whose terminal values are bounded and have bounded Malliavin derivatives
Shi-Qi Song
2017
Corpus ID: 56109262
We consider a class of multi-dimensional BSDEs on a finite time horizon (containing the Lipschitzian-quadratic BSDEs), whose…
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Review
2016
Review
2016
Computation of Greeks using Malliavin calculus
Mhlanga Fj
2016
Corpus ID: 108299063
The valuation of derivatives (in the classical sense) of financial options with respect to different parameters appearing in the…
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2016
2016
The Malliavin derivative and compactness: application to a degenerate PDE-SDE coupling
A. Zhigun
2016
Corpus ID: 119133470
Compactness is one of the most versatile tools in the analysis of nonlinear PDEs and systems. Usually, compactness is established…
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2012
2012
On Malliavin calculus and approximation of stochastic integrals for Lévy processes
Eija Laukkarinen
2012
Corpus ID: 126280770
The Malliavin derivative for a Lévy process (Xt) can be defined on the space D1,2 using a chaos expansion or in the case of a…
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2011
2011
MALLIAVIN DIFFERENTIABILITY OF TIME-ADVANCED
Olivier Menoukeu-Pamen
2011
Corpus ID: 56461543
We consider a time-advanced backward stochastic differential equations (ABSDEs). We study Malliavin differentiability of…
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2009
2009
Efficient numerical solution of the variance-optimal hedging problem in geometric Lévy models
B. Vesenmayer
2009
Corpus ID: 124537647
The aim of this thesis is to develop a numerical algorithm for the computation of the variance-optimal hedging error for a…
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2009
2009
USING WEIGHTS FOR THE DESCRIPTION OF STATES OF BOSON SYSTEMS
V. Liebscher
2009
Corpus ID: 20307344
For a locally normal state of a boson system we construct, based on the Skorokhod integral and Malliavin derivative respectively…
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2007
2007
Malliavin calculus and Clark-Ocone formula for functionals of a square-integrable L\'evy process
Bruno R'emillard
,
Jean-François Renaud
2007
Corpus ID: 67830293
In this paper, we construct a Malliavin derivative for functionals of square-integrable L\'evy processes and derive a Clark-Ocone…
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2006
2006
On the Quadratic Wiener Functional Associated with the Malliavin Derivative of the Square Norm of Brownian Sample Path on Interval
S. Taniguchi
2006
Corpus ID: 17723075
Exact expressions of the stochastic oscillatory integrals with the phase function, which is the quadratic Wiener functional…
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