scientific article; zbMATH DE number 1014073

Publication date 27 May 1997

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

Mathematics Subject Classification ID

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

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Cited in

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A non-parametric calibration of the HJM geometry: An application of Itô calculus to financial statistics
The calculus of variations for processes with independent increments
Measure-valued flows given consistent exchangeable families
A change of variable formula for the 2D fractional Brownian motion of Hurst index bigger or equal to 1/4
A transfer principle for multivalued stochastic differential equations
Probabilistic solution of the American options
Generalized Hyers-Ulam stability for general additive functional equations in quasi-\(\beta \)-normed spaces
Density minoration of a strongly non-degenerated random variable
Second order Poincaré inequalities and CLTs on Wiener space
Entropy, invertibility and variational calculus of adapted shifts on Wiener space
Refined functional equations stemming from cubic, quadratic and additive mappings
On the uniform integrability of the Radon-Nikodym densities for Wiener measure
Asymptotic ergodicity of the process of conditional law in some problem of nonlinear filtering
Finite dimensional approximations to Wiener measure and path integral formulas on manifolds
Dilatation vector fields on the loop group
Explicit stochastic analysis of Brownian motion and point measures on Riemannian manifolds
Absence of spectral gaps on a class of loop spaces
Path continuity of fractional Dirichlet functionals
Local spectral gaps on loop spaces.
A probabilistic approach to the Yang-Mills heat equation.
A Bismut type formula for the Hessian of heat semigroups.
Finite dimensional approximation of Riemannian path space geometry.
White noise analysis for Lévy processes.
Noncommutative Sobolev spaces, \(C^\infty\) algebras and Schwartz distributions associated with semicircular systems
An analogue of Yi's theorem to holomorphic mappings
BV functions and distorted Ornstein Uhlenbeck processes over the abstract Wiener space
A probabilistic Weitzenböck formula on Riemannian path space
The notion of convexity and concavity on Wiener space
Frame bundle of Riemannian path space and Ricci tensor in adapted differential geometry
Integration by parts on Bessel bridges and related stochastic partial differential equations
Lipschitzian complete error calculus and Dirichlet forms
Large deviations for stochastic flows and their applications
Tangent processes on Wiener space
Construction of Malliavin differentiable strong solutions of SDEs under an integrability condition on the drift without the Yamada-Watanabe principle
Weak Milstein scheme without commutativity condition and its error bound
The Bismut-Elworthy-Li formula for mean-field stochastic differential equations
Functions near some \((\alpha _1,\alpha _2)\)-double Jordan derivations in \(p\)-Banach algebras
A fixed point approach to Ulam-Hyers stability of duodecic functional equation in quasi-\(\beta\)-normed spaces
A second-order weak approximation of SDEs using a Markov chain without Lévy area simulation
Local times of self-intersection
Maximum principle for the Laplacian with respect to a measure in a domain of the Hilbert space
Smooth densities for SDEs driven by subordinated Brownian motion with Markovian switching
A functional directional derivative in infinite dimensional spaces and its application to \(\overline{\partial}\)-equations
Geometry of foliations on the Wiener space and stochastic calculus of variations
Transportation cost inequalities on path and loop groups
Some remarks about the positivity of random variables on a Gaussian probability space
From the Peierls bracket to the Feynman functional integral
Conditioned stochastic differential equations: theory, examples and application to finance.
Multiscale expansion of invariant measures for SPDEs
Numerical approximation for a white noise driven SPDE with locally bounded drift
On the Brownian-directed polymer in a Gaussian random environment
The divergence of Banach space valued random variables on Wiener space
Invariant measures for the non-periodic two-dimensional Euler equation
Integration by parts formula and logarithmic Sobolev inequality on the path space over loop groups
Stochastic calculus of variations and Harnack inequality on Riemannian path spaces
Isovectors for the Hamilton-Jacobi-Bellman equation, formal stochastic differentials and constants of motion in Euclidean quantum mechanics
Malliavin calculus applied to finance
Surface measures and tightness of (r,p)-capacities on Poisson space
Canonical Brownian motion on the diffeomorphism group of the circle
H-C^1 maps and elliptic SPDEs with polynomial and exponential perturbations of Nelson's Euclidean free field
Integration of Brownian vector fields.
Isotropic Lévy processes on Riemannian manifolds.
Stochastic differential equations driven by loops in Carnot groups.
The strong solution of the Monge-Ampère equation on the Wiener space for log-concave densities
Conditioning and initial enlargement of filtration on a Riemannian manifold.
Eigenvalue asymptotics for the Schrödinger operators on the hyperbolic plane
Canonical Brownian motion on the space of univalent functions and resolution of Beltrami equations by a continuity method along stochastic flows
Eigenvalue asymptotics for the Schrödinger operators on the real and the complex hyperbolic spaces
Smoothness of the intensity measure density for interacting branching diffusions with immigra\-tions
Solving stochastic differential equations on \(\text{Homeo}(S^1\))
On Wiener functionals of order 2 associated with soliton solutions of the KdV equation
Asymptotic behavior of divergences and Cameron-Martin theorem on loop spaces.
Pricing discrete barrier options under stochastic volatility
Smoothness of densities for area-like processes of fractional Brownian motion
Functional Itō calculus and stochastic integral representation of martingales
Invariance principles for homogeneous sums: universality of Gaussian Wiener chaos
Ingredients for a general purpose stochastic finite elements implementation
Embedding the abstract Wiener space in a probability space
Lévy's stochastic area and the principle of stationary phase
Stochastic Galerkin method for optimal control problem governed by random elliptic PDE with state constraints
Categorical geometry and integration without points
Jordan \((\theta, \phi)\)-derivations on Hilbert \(C^\ast\)-modules
Estimates of the difference between two probability densities of Wiener functionals and its application
Functional inequalities on path space of sub-Riemannian manifolds and applications
High order weak approximation for irregular functionals of time-inhomogeneous SDEs
Time-periodic measures, random periodic orbits, and the linear response for dissipative non-autonomous stochastic differential equations
Enhanced dissipation, hypoellipticity for passive scalar equations with fractional dissipation
A weak approximation method for irregular functionals of hypoelliptic diffusions
Heat flow regularity, Bismut-Elworthy-Li's derivative formula, and pathwise couplings on Riemannian manifolds with Kato bounded Ricci curvature
Stochastic variational principles for dissipative equations with advected quantities
The fractional smoothness of integral functionals driven by Brownian motion
Stochastic geodesics
Quasi-sure non-self-intersection for rough differential equations driven by fractional Brownian motion
A higher order weak approximation of McKean-Vlasov type SDEs
Strong solutions of stochastic differential equations with generalized drift and multidimensional fractional Brownian initial noise
Complex Wiener-Itô chaos decomposition revisited
Geometry on the Wasserstein space over a compact Riemannian manifold
A probabilistic proof of a priori L^p estimates for a class of divergence form elliptic operators
Strong existence and higher order Fréchet differentiability of stochastic flows of fractional Brownian motion driven SDEs with singular drift
Higher-order pathwise theory of fluctuations in stochastic homogenization

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