Application of Malliavin calculus to a class of stochastic differential equations

DOI10.1007/BF01198319zbMath0685.60057MaRDI QIDQ1826212

Nguyen Minh Duc, David Nualart, Marta Sanz-Solé

Publication date: 1990

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

zbMATH Keywords

Malliavin calculusinfinite dimensional Brownian motionHörmander's theoremthe densityexistence and smoothness of

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (4)

Regularization by noise for the point vortex model of mSQG equations ⋮ Differentiable measures and the Malliavin calculus ⋮ Malliavin calculus with time dependent coefficients applied to a class of stochastic differential equations ⋮ Existence of a smooth density for the filter in nonlinear filtering with infinite dimensional noise

Cites Work

• Generalized stochastic integrals and the Malliavin calculus
• Stochastic calculus with anticipating integrands
• Time reversal for infinite-dimensional diffusions
• Generalized multiple stochastic integrals and the representation of wiener functionals
• Martingales dépendant d'un paramètre: une formule d'Ito
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