Malliavin calculus and rough paths

DOI10.1016/J.BULSCI.2011.07.003zbMATH Open1229.60070OpenAlexW2069346785MaRDI QIDQ645936FDOQ645936

Peter Friz, Thomas Cass

Publication date: 11 November 2011

Published in: Bulletin des Sciences Mathématiques (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.bulsci.2011.07.003

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zbMATH Keywords

Malliavin calculusGaussian rough path[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=H%EF%BF%BD%EF%BF%BDrmander+theory&go=Go H��rmander theory]

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07)

Cites Work

• The Malliavin Calculus and Related Topics
• Differential equations driven by rough signals
• Euler estimates for rough differential equations
• Multidimensional Stochastic Processes as Rough Paths
• System Control and Rough Paths
• Integration of paths, geometric invariants and a generalized Baker-Hausdorff formula
• Stochastic integration with respect to Volterra processes
• A version of Hörmander's theorem for the fractional Brownian motion
• A generalized Fernique theorem and applications
• Non-degeneracy of Wiener functionals arising from rough differential equations
• A note on higher dimensional \(p\)-variation
• A variation embedding theorem and applications
• Densities for rough differential equations under Hörmander's condition
• Differential equations driven by Gaussian signals
• Title not available (Why is that?)
• Stochastic analysis, rough path analysis and fractional Brownian motions.
• Flow of diffeomorphisms induced by a geometric multiplicative functional
• Sample functions of the Gaussian process
• Title not available (Why is that?)
• A note on the notion of geometric rough paths
• A moment estimate of the derivative process in rough path theory
• Evolving communities with individual preferences
• Curvilinear integrals along enriched paths
• Title not available (Why is that?)
• A tree approach to \(p\)-variation and to integration

Cited In (3)

• A Stratonovich-Skorohod integral formula for Gaussian rough paths
• Skorohod and rough integration for stochastic differential equations driven by Volterra processes
• Malliavin calculus for regularity structures: the case of gPAM

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