Diffusions, their derivatives and expansions in Wiener chaos
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Publication:2503512
DOI10.1016/S0167-6911(02)00346-8zbMath1157.60326MaRDI QIDQ2503512
Publication date: 21 September 2006
Published in: Systems \& Control Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0167-6911(02)00346-8
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60H07: Stochastic calculus of variations and the Malliavin calculus
Cites Work
- Integration by parts, homogeneous chaos expansions and smooth densities
- Chaos expansion for the solutions of stochastic differential equations
- An introduction to analysis on Wiener space
- Wiener–Hermite expansion of a process generated by an Itô stochastic differential equation
- Malliavin's calculus and stochastic integral representations of functional of diffusion processes†
- On the integral representation of functionals of ltd processest
- Diffusions and Elliptic Operators
- The Representation of Functionals of Brownian Motion by Stochastic Integrals
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