The Malliavin calculus and stochastic delay equations

DOI10.1016/0022-1236(91)90052-7zbMath0738.60056OpenAlexW1969479518MaRDI QIDQ1178828

Salah-Eldin A. Mohammed, Denis R. Bell

Publication date: 26 June 1992

Published in: Journal of Functional Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0022-1236(91)90052-7

zbMATH Keywords

Malliavin calculusstochastic delay equationsmooth density

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items

Governing equations for probability densities of stochastic differential equations with discrete time delays, Discrete-time approximations of stochastic delay equations: the Milstein scheme., Density estimates for solutions of stochastic functional differential equations, A duality approach for the weak approximation of stochastic differential equations, A Stochastic Calculus for Systems with Memory, Density bounds for solutions to differential equations driven by Gaussian rough paths, Feynman-Kac formula for BSDEs with jumps and time delayed generators associated to path-dependent nonlinear Kolmogorov equations, A Hörmander condition for delayed stochastic differential equations, On Generalized Regular Stochastic Differential Delay Systems with Time Invariant Coefficients, Smoothness of densities for path-dependent SDEs under Hörmander's condition, Hypoelliptic heat kernel inequalities on Lie groups, Weak approximation of stochastic differential delay equations for bounded measurable function, Weak Convergence of the Euler Scheme for Stochastic Differential Delay Equations, Differentiable measures and the Malliavin calculus, Stochastic delay equations with hereditary drift: Estimates of the density

Cites Work

• Stochastic calculus with anticipating integrands
• The Malliavin calculus, a functional analytic approach
• On the solution of stochastic ordinary differential equations via small delays
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item