Malliavin calculus for Markov chains using perturbations of time

DOI10.1080/17442508.2016.1148150MaRDI QIDQ2833703zbMATH OpenOpenAlexFDO

Authors Laurent Denis, Tuyet Nguyen Mai

Publication date 25 November 2016

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508.2016.1148150

zbMATH Keywords

Malliavin calculuscontinuous-time Markov chainstochastic differential equationDirichlet formGreeksintegration-by-parts formula

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Continuous-time Markov processes on discrete state spaces (60J27) Stochastic models in economics (91B70)

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Cited in

(4)

• Calcul de Malliavin et probabilité invariante d'une chaîne de Markov. (Malliavin calculus and invariant measure of a Markov chain)
• Malliavin calculus for marked binomial processes and applications
• Integration by parts formula for exit times of one dimensional diffusions
• AN IMPROVEMENT OF MARKOVIAN INTEGRATION BY PARTS FORMULA AND APPLICATION TO SENSITIVITY COMPUTATION

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