Diffusions, their derivatives and expansions in Wiener chaos
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Publication:2503512
DOI10.1016/S0167-6911(02)00346-8zbMATH Open1157.60326OpenAlexW2051882067MaRDI QIDQ2503512FDOQ2503512
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
Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
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Cited In (7)
- Дифузiї, породженi вiнеровим процесом
- Wiener chaos and the Cox–Ingersoll–Ross model
- Title not available (Why is that?)
- Derivatives of diffusions with applications in finance
- 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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