Diffusions, their derivatives and expansions in Wiener chaos

DOI10.1016/S0167-6911(02)00346-8zbMATH Open1157.60326OpenAlexW2051882067MaRDI QIDQ2503512FDOQ2503512

Tadeusz Banek

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

zbMATH Keywords

Chaos expansionDerivative operatorsDiffusions processesThe Malliavin calculus

Mathematics Subject Classification ID

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

Cites Work

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Cited In (5)

• Дифузiї, породженi вiнеровим процесом
• Wiener chaos and the Cox–Ingersoll–Ross model
• Expansion of the density: A Wiener-chaos approach
• Title not available (Why is that?)
• Chaos expansion methods for stochastic differential equations involving the Malliavin derivative, Part II

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