Perturbation analysis and Malliavin calculus

DOI10.1214/AOAP/1028903536zbMath0952.60050OpenAlexW1965672316MaRDI QIDQ1296743

Laurent Decreusefond

Publication date: 1 March 2000

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1028903536

zbMATH Keywords

sensitivity analysisMalliavin calculus

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic calculus of variations and the Malliavin calculus (60H07) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (7)

Efficient and superefficient estimators of filtered Poisson process intensities ⋮ New results on delay-dependent stability analysis and stabilization for stochastic time-delay systems ⋮ Monte Carlo methods for sensitivity analysis of Poisson-driven stochastic systems, and applications ⋮ Perturbation analysis of Poisson processes ⋮ Maximum Likelihood Estimation in Partially Observed Stochastic Differential System Driven by a Fractional Brownian Motion ⋮ A Markov Model for the Spread of Viruses in an Open Population ⋮ Local Malliavin calculus for Lévy processes and applications

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