Stochastic Calculus of Variations and Hypoelliptic Operators

Malliavin, P. (1976). Stochastic Calculus of Variations and Hypoelliptic Operators. Proceedings of the International Symposium on Stochastic Differential Equations, 195-263.

Type

Conference paper

Intellectual base

Primary research

Year

1976

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Cited by

1 citation across 1 artifact.

Domain-specific

• Malliavin Derivative
  • Malliavin derivatives support density and smoothness results for stochastic differential equations, probabilistic proofs of hypoellipticity, sensitivity formulas, anticipating stochastic calculus, Gaussian approximation, and variance or option-Greek estimation.

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