scientific article; zbMATH DE number 1014073

Publication date 27 May 1997

Malliavin calculus stochastic differential equation differential calculus infinite-dimensional space stochastic integral stochastic calculus quasi-sure analysis Gaussian probability space

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Probabilistic potential theory (60J45)

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Cited in

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Lipschitzian complete error calculus and Dirichlet forms
Dilatation vector fields on the loop group
Strong existence and higher order Fréchet differentiability of stochastic flows of fractional Brownian motion driven SDEs with singular drift
Hedging using simulation: a least squares approach
Higher order differentiability of solutions to backward stochastic differential equations
Causal transport plans and their Monge-Kantorovich problems
Stochastic representations of Feynman integration
Relatively compact criteria for Hilbert valued random fields on abstract Wiener space
On the quasi-everywhere regularity of the local time of one-dimensional diffusion process in Besov space
Smoothness of Itô maps and diffusion processes on path spaces (I)
Canonical Brownian motion on the diffeomorphism group of the circle
Isovectors for the Hamilton-Jacobi-Bellman equation, formal stochastic differentials and constants of motion in Euclidean quantum mechanics
Differential calculus for Dirichlet forms: The measure-valued gradient preserved by image
A functional modulus of continuity for Brownian motion
On the Dirichlet semigroup for Ornstein-Uhlenbeck operators in subsets of Hilbert spaces
One-dimensional SDEs with LPS-type singular drift coefficients and Hölder continuous diffusion coefficients
Sharp martingale inequalities and applications to Riesz transforms on manifolds, Lie groups and Gauss space
Absence of spectral gaps on a class of loop spaces
Local spectral gaps on loop spaces.
Kolmogorov equation associated to the stochastic reflection problem on a smooth convex set of a Hilbert space. II.
Integration by parts on Bessel bridges and related stochastic partial differential equations
Canonical representation for Gaussian processes
Malliavin calculus applied to finance
Error Calculus and Path Sensitivity in Financial Models
The operators of stochastic calculus
Surface measures and tightness of (r,p)-capacities on Poisson space
Localization of Wiener functionals of fractional regularity and applications
Sobolev differentiable stochastic flows for SDEs with singular coefficients: applications to the transport equation
Embedding the abstract Wiener space in a probability space
Brownian Chen series and Atiyah-Singer theorem
A spectral-based numerical method for Kolmogorov equations in Hilbert spaces
Sufficient conditions for the invertibility of adapted perturbations of identity on the Wiener space
Absolute continuity for some one-dimensional processes
Stochastic geodesics
Random fields and the geometry of Wiener space
Continuous sparse domination and dimensionless weighted estimates for the Bakry-Riesz vector
Affine statistical bundle modeled on a Gaussian Orlicz-Sobolev space
Maximal \(L^2\) regularity for Dirichlet problems in Hilbert spaces
Invariant and quasi-invariant measures for equations in hydrodynamics
Unique ergodicity for fractionally dissipated, stochastically forced 2D Euler equations
Schilder theorem for the Brownian motion on the diffeomorphism group of the circle
On a non-periodic modified Euler equation : Well-posedness and quasi-invariant measures
Towards an \(L^p\) potential theory for sub-Markovian semigroups: kernels and capacities
Pricing discrete barrier options under stochastic volatility
Eigenvalue asymptotics for the Schrödinger operators on the real and the complex hyperbolic spaces
Local times of self-intersection
Smooth densities for SDEs driven by subordinated Brownian motion with Markovian switching
Invariance principles for homogeneous sums: universality of Gaussian Wiener chaos
An intrinsic calculus of variations for functionals of laws of semi-martingales
Quasi-sure non-self-intersection for rough differential equations driven by fractional Brownian motion
Conditioned stochastic differential equations: theory, examples and application to finance.
\(C^{\infty}\)-regularization by noise of singular ODE's
On the Brownian-directed polymer in a Gaussian random environment
Stochastic Galerkin method for optimal control problem governed by random elliptic PDE with state constraints
BV functions and distorted Ornstein Uhlenbeck processes over the abstract Wiener space
Momentum maps and stochastic Clebsch action principles
Kernel representation formula: from complex to real Wiener-Itô integrals and vice versa
Nonparametric estimates of option prices via Hermite basis functions
Hörmander's theorem for semilinear SPDEs
From second-order differential geometry to stochastic geometric mechanics
Stein's method on Wiener chaos
Annihilation-derivative, creation-derivative and representation of quantum martingales
Martingale transforms and \(L^p\)-norm estimates of Riesz transforms on complete Riemannian manifolds
Stability and superstability of ternary homomorphisms and ternary derivations on ternary quasi-Banach algebras
Lévy's stochastic area and the principle of stationary phase
Feynman path integrals as analysis on path space by time slicing approximation
Stochastic calculus with respect to Gaussian processes
Heat equation derivative formulas for vector bundles
Multi-objective shape optimization of TESLA-like cavities: addressing stochastic Maxwell's eigenproblem constraints
A quasi-sure non-degeneracy property for the Brownian rough path
Stokes formula on the Wiener space and \(n\)-dimensional Nourdin-Peccati analysis
Change of variable formulas for non-anticipative functionals on path space
Density estimates for a random noise propagating through a chain of differential equations
Invariant measures for the non-periodic two-dimensional Euler equation
Rectifiable sets and coarea formula for metric-valued mappings
Mathematical Analysis of Random Noise
Surface measures generated by differentiable measures
Stochastic differential equations driven by loops in Carnot groups.
Conditioning and initial enlargement of filtration on a Riemannian manifold.
Integration by parts on the law of the reflecting Brownian motion
Short time full asymptotic expansion of hypoelliptic heat kernel at the cut locus
Optimal portfolio, partial information and Malliavin calculus
Wasserstein space over the Wiener space
\(L^{p}\)-theory of semi-linear SPDEs on general measure spaces and applications
Brownian measures on Jordan-Virasoro curves associated to the Weil-Petersson metric
Construction of Malliavin differentiable strong solutions of SDEs under an integrability condition on the drift without the Yamada-Watanabe principle
Stochastic finite elements: Computational approaches to stochastic partial differential equations
Transport equations and quasi-invariant flows on the Wiener space
A stochastic representation for backward incompressible Navier-Stokes equations
The stochastic reflection problem on an infinite dimensional convex set and BV functions in a Gelfand triple
Weak Levi-Civita connection for the damped metric on the Riemannian path space and vanishing of Ricci tensor in adapted differential geometry
Isotropic stochastic flow of homeomorphisms on \(S^{d}\) for the critical Sobolev exponent
Complex stochastic analysis in several parameters and applications
Average preserving variation processes in view of optimization
Fractional smoothness for the generalized local time of the indefinite Skorokhod integral
Stochastic parallel translations and diffusions on the Wasserstein space over \(\mathbb{T}\)
Surface measures in infinite dimension
A probabilistic approach to the Yang-Mills heat equation.
Solving SPDEs driven by colored noise: A chaos approach
Normal approximation on a finite Wiener chaos

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