Itô calculus and Malliavin calculus

MaRDI QIDQ5436620zbMATH OpenFDO

Authors Shinzo Watanabe

Publication date 17 January 2008

zbMATH Keywords

Wiener spaceMalliavin CalculusIto Calculus

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Diffusion processes and stochastic analysis on manifolds (58J65)

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Cited in

(12)

• Geometric aspects of Malliavin's calculus on vector bundles
• MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES
• Itô's stochastic calculus: its surprising power for applications
• scientific article; zbMATH DE number 3998901 (Why is no real title available?)
• Extension of the ito calculus via the malliavin calculus
• Set-Indexed Itô Calculus Along Paths
• Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels
• Itō atlas, its application to mathematical finance and to exponentiation of infinite dimensional Lie algebras
• The Malliavin calculus
• Stochastic analysis as infinite-dimensional analysis
• Large deviation principle of Freidlin-Wentzell type for pinned diffusion processes
• Itô calculus without probability in idealized financial markets

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