Malliavin's calculus and stochastic integral representations of functional of diffusion processes†

Recommendations

scientific article; zbMATH DE number 4192798
The Wiener space derivative for functionals of diffusions on manifolds
A Haussmann-Clark-Ocone formula for functionals of diffusion processes with Lipschitz coefficients
Brownian excursions, stochastic integrals, and representation of Wiener functionals
scientific article; zbMATH DE number 3965115

Cites work

scientific article; zbMATH DE number 3814700 (Why is no real title available?)
scientific article; zbMATH DE number 3780265 (Why is no real title available?)
scientific article; zbMATH DE number 3505982 (Why is no real title available?)
scientific article; zbMATH DE number 3567644 (Why is no real title available?)
Functionals of Itô Processes as Stochastic Integrals
Functionals of diffusion processes as stochastic integrals
Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions
On the integral representation of functionals of ltd processest
The Malliavin calculus and its application to second order parabolic differential equations: Part I
The Malliavin calculus, a functional analytic approach

Cited in

(66)

An extension of the Clark–Haussmann formula and applications
A Haussmann-Clark-Ocone formula for functionals of diffusion processes with Lipschitz coefficients
Anticipating integrals and martingales on the Poisson space
Brownian excursions, stochastic integrals, and representation of Wiener functionals
Martingale representation for Poisson processes with applications to minimal variance hedging
A new approach to the martingale representation theorem
Clark representation for local times of self-intersection of Gaussian integrators
A discrete-time Clark-Ocone formula for Poisson functionals
Weitzenböck and Clark-Ocone Decompositions for Differential Forms on the Space of Normal Martingales
scientific article; zbMATH DE number 3998901 (Why is no real title available?)
On volatility of prices in arbitrage-free markets
Space-Time Stochastic Calculus and White Noise
Itô's lemma without non-anticipatory conditions
Extension of the ito calculus via the malliavin calculus
Optimal consumption and investment under partial information
On martingale representations of non-smooth Brownian functionals
Generalized multiple stochastic integrals and the representation of wiener functionals
Adapted solution of a degenerate backward SPDE, with applications
The Clark-Ocone formula for vector valued Wiener functionals
Solving forward-backward stochastic differential equations explicitly -- a four step scheme
A functional extension of the Ito formula
Functional Itō calculus and stochastic integral representation of martingales
Martingales on Riemannian manifolds with prescribed limit
Martingale representation and hedging policies
Some covariance inequalities in Wiener space
Stochastic functional linear models and Malliavin calculus
scientific article; zbMATH DE number 1254157 (Why is no real title available?)
Stochastic calculus with anticipating integrands
Four step scheme for general Markovian forward-backward SDEs
Stochastic integral representations, stochastic derivatives and minimal variance hedging
Approximation of expectation of diffusion processes based on Lie algebra and Malliavin calculus
Applications of the Quadratic Covariation Differentiation Theory: Variants of the Clark-Ocone and Stroock's Formulas
On the stochastic integral representation of Brownian functionals
A generalized clark representation formula, with application to optimal portfolios
Differentiable measures and the Malliavin calculus
Dynamic spanning without probabilities
An extension of the Clark-Ocone formula under benchmark measure for Lévy processes
A discrete-time Clark-Ocone formula and its application to an error analysis
A TAYLOR FORMULA TO PRICE AND HEDGE EUROPEAN CONTINGENT CLAIMS
The existence of invariant measures for C[0,1]-valued diffusions
Hedging of the European option with nonsmooth payment function
Martingale structure of Skorohod integral processes
Representation of the distributions on Wiener space and stochastic calculus of variations
A Girsanov transformed Clark-Ocone-Haussmann type formula for \(L^1\)-pure jump additive processes and its application to portfolio optimization
Diffusions, their derivatives and expansions in Wiener chaos
The Wiener space derivative for functionals of diffusions on manifolds
A martingale bound for the entropy associated with a trimmed filtration on \(\mathbb{R}^d\)
Modeling Variance Risk Premium
Singular optimal controls for stochastic recursive systems under convex control constraint
Generalized holomorphic processes and differentiability
Solvability of the Schrödinger equation by stochastic integration of magnetic fields
Integration by parts and martingale representation for a Markov chain
Spatial ergodicity for SPDEs via Poincaré-type inequalities
Representation formulas for Malliavin derivatives of diffusion processes
Optimal investment under dynamic risk constraints and partial information
Malliavin calculus for difference approximations of multidimensional diffusions: Truncated local limit theorem
A simplified proof of the representation of functionals of diffusions
The fractional and mixed-fractional CEV model
A representation theorem for smooth Brownian martingales
RANDOM FIELDS: NON-ANTICIPATING DERIVATIVE AND DIFFERENTIATION FORMULAS
De Rham-Hodge decomposition and vanishing of harmonic forms by derivation operators on the Poisson space
On One Integral Representation of Functionals of Brownian Motion
Weak approximation of martingale representations
A characterization of hedging portfolios for interest rate contingent claims.
The Malliavin calculus and hypoelliptic differential operators
A generalized Haussmann's formula

This page was built for publication: Malliavin's calculus and stochastic integral representations of functional of diffusion processes^†

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3330239)