White-noise approach to Malliavin's calculus (Q579746): Difference between revisions
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Property / author: Juergen Potthoff / rank | |||
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Property / full work available at URL: https://doi.org/10.1016/0022-1236(87)90001-2 / rank | |||
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Property / OpenAlex ID: W2030864940 / rank | |||
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Latest revision as of 11:12, 18 June 2024
scientific article
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English | White-noise approach to Malliavin's calculus |
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White-noise approach to Malliavin's calculus (English)
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1987
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In this paper it is shown how the fundamental relation of the Malliavin calculus [see \textit{P. Malliavin, Proc. int. Symp. on stochastic differential equations, Kyoto 1976, 195-263 (1978; Zbl 0411.60060) and \textit{D. Stroock}}, Stochastic integrals, Proc. LMS Durham Symp. 1980, Lect. Notes Math. 851, 394-432 (1981; Zbl 0459.60052)] can be conveniently formulated and derived in the white noise calculus of \textit{T. Hida} [Brownian motion. (1980; Zbl 0432.60002)]. To this end the chain rule for Hida's \(\partial_ t\)-derivatives - formally speaking the Fréchet derivatives w.r.t. white noise at time t - is proved. As an illustration of the formalism some computations in Stroock's paper cited above are redone within the white noise framework, yielding conveniently the same results.
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chain rule
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Malliavin calculus
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Fréchet derivatives
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white noise
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