Martingale representation and the Malliavin calculus (Q1826205)
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scientific article; zbMATH DE number 4122970
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| English | Martingale representation and the Malliavin calculus |
scientific article; zbMATH DE number 4122970 |
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Martingale representation and the Malliavin calculus (English)
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1989
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A new approach to Malliavin calculus for stochastic differential equations is presented based on the idea of martingale representation of stochastic integrals. The presentation is very interesting although the reader must know some results about partial SDEs. The main idea is not very far from \textit{J.-M. Bismut}'s one [Z. Wahrscheinlichkeitstheor. Verw. Geb. 56, 469-505 (1981; Zbl 0445.60049)] but gives another point of view on the integration by parts formula.
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Malliavin calculus
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martingale representation of stochastic integrals
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integration by parts formula
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0.7984229326248169
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0.7820761799812317
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