Stochastic calculus of variations in mathematical finance.
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Publication:2386499
DOI10.1007/3-540-30799-0zbMath1124.91035OpenAlexW1674151627MaRDI QIDQ2386499
Paul Malliavin, Anton Thalmaier
Publication date: 29 August 2005
Published in: Springer Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/3-540-30799-0
Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Stochastic calculus of variations and the Malliavin calculus (60H07) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)
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