Diffusions, their derivatives and expansions in Wiener chaos

DOI10.1016/S0167-6911(02)00346-8MaRDI QIDQ2503512zbMATH OpenOpenAlexFDO

Authors 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)

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• Integration by parts, homogeneous chaos expansions and smooth densities
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Cited in

(8)

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• Chaos expansion methods for stochastic differential equations involving the Malliavin derivative, Part II
• Representation formulas for Malliavin derivatives of diffusion processes

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