scientific article; zbMATH DE number 785439
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Publication:4842684
zbMath0837.60050MaRDI QIDQ4842684
Publication date: 15 August 1995
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heat equationMalliavin calculusWiener measureHilbert transformsmoothnessMarkov random fieldstochastic partial differential equationItô formulastochastic integralsSkorokhod integralWiener spaceHörmander's theoremanticipating stochastic calculusMeyer's inequalitiesGirsanov theorems
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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I, Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion, ON WEIGHTEDL2(Ω)-SPACES, THEIR DUALS AND ITÔ INTEGRATION, GIRSANOV TRANSFORMATION AND ITS APPLICATION TO THE THEORY OF ENLARGEMENT OF FILTRATIONS, Hypoelliptic heat kernel inequalities on Lie groups, Various types of stochastic integrals with respect to fractional Brownian sheet and their applications, Some Norm Inequalities for Gaussian Wick Products, Stochastic volterra equations in the plane: smoothness of the law, Exact approximation rate of killed hypoelliptic diffusions using the discrete Euler scheme, Anticipative stochastic integration based on time-space chaos, The 1/\(H\)-variation of the divergence integral with respect to the fractional Brownian motion for \(H>1/2\) and fractional Bessel processes, An extension of the divergence operator for Gaussian processes, Representations and regularities for solutions to BSDEs with reflections, The explicit chaotic 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Approximation of Decoupled Forward‒Backward Stochastic Differential Equations Driven by Pure Jump Lévy Processes, Existence and regularity of a weak function-solution for some Landau equations with a stochastic approach., An Itô formula for generalized functionals of a fractional Brownian motion with arbitrary Hurst parameter., Approximating some Volterra type stochastic integrals with applications to parameter estimation., Conditional expansions and their applications., Approximation of quantiles of components of diffusion processes., Malliavin Monte Carlo Greeks for jump diffusions, Studying anticipation on financial markets by BSDE, General approximation schemes for option prices in stochastic volatility models, On a class of stochastic equations in hilbert spaces: solvability and smoothing properties, Stochastic integral representations, stochastic derivatives and minimal variance hedging, Efficient simulation of Greeks of multiasset European and Asian style options by Malliavin calculus and quasi-Monte Carlo methods, Asymptotic properties of Monte Carlo estimators of diffusion processes, Well-posedness of stochastic KdV-BO equation driven by fractional Brownian motion, Mean-field backward stochastic differential equations: A limit approach, Fractional stochastic Volterra equation perturbed by fractional Brownian motion, A fractional calculus interpretation of the fractional volatility model, Anticipating stochastic differential systems with memory, Annihilation-derivative, creation-derivative and representation of quantum martingales, Stationary distributions for diffusions with inert drift, Risk sharing and counter-cyclical variation in market correlations, A functional extension of the Ito formula, Stochastic delay differential equations driven by fractional Brownian motion with Hurst parameter \(H> \frac12\), Estimates for the density of a nonlinear Landau process, Fractional smoothness for the generalized local time of the indefinite Skorokhod integral, Monte Carlo estimation of a joint density using Malliavin calculus, and application to American options, A generalization of the Hull and White formula with applications to option pricing approximation, Malliavin calculus on the Wiener-Poisson space and its application to canonical SDE with jumps, Backward stochastic differential equations with singular terminal condition, When and how an error yields a Dirichlet form, Malliavin calculus of Bismut type without probability, A duality approach for the weak approximation of stochastic differential equations, Random rewards, fractional Brownian local times and stable self-similar processes, Ergodicity of truncated stochastic Navier Stokes with deterministic forcing and dispersion, Solutions to BSDEs driven by both standard and fractional Brownian motions, Computation of the kernels of Lévy functionals and applications, Analysis of nondegenerate Wiener-Poisson functionals and its applications to Itō's SDE with jumps, Canonical Lévy process 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