The Malliavin Calculus and Related Topics
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Publication:3377363
DOI10.1007/3-540-28329-3zbMath1099.60003OpenAlexW1554577510MaRDI QIDQ3377363
Publication date: 22 March 2006
Published in: Probability, its Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/3-540-28329-3
greeksfractional Brownian motionstochastic partial differential equationsClark-Ocone formulamathematical financeSkorokhod integralWiener spaceanticipating stochastic calculus
Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)
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