The Malliavin calculus

DOI10.1007/BF00580703zbMath0553.60053MaRDI QIDQ802208

Moshe Zakai

Publication date: 1985

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

zbMATH Keywords

Malliavin calculusmultiple Wiener-Itô integralsWiener chaos decomposition

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Random operators and equations (aspects of stochastic analysis) (60H25) Diffusion processes and stochastic analysis on manifolds (58J65) Continuity and singularity of induced measures (60G30)

Related Items (29)

Quantum and non-causal stochastic calculus ⋮ Non-exponential decay of the heat kernel ⋮ A relative compactness criterion in Wiener-Sobolev spaces and application to semi-linear stochastic PDEs ⋮ Generalized stochastic integrals and the Malliavin calculus ⋮ Stochastic calculus with anticipating integrands ⋮ Random nonlinear wave equations: Smoothness of the solutions ⋮ The exponential space of an \(L^ 2\)-stochastic process with independent increments ⋮ Alternative to beta coefficients in the context of diffusions ⋮ Stochastic calculus of variations for stochastic partial differential equations ⋮ Time reversal for infinite-dimensional diffusions ⋮ Computation of the kernels of Lévy functionals and applications ⋮ Hyperbolic stochastic differential equations: Absolute continuity of the law of the solution at a fixed point ⋮ A Regularity Condition for Non-Markovian Solutions of Stochastic Differential Equations in the Plane ⋮ Stochastic calculus and Schrödinger semigroups admitting a ground state ⋮ Local times of self-intersection ⋮ Optimal estimation of Eulerian velocity field given Lagrangian observations ⋮ On the moments of certain stochastic integrals ⋮ Filtrage approche et calcul stochastique non causal ⋮ Non-commutative symmetric Markov semigroups ⋮ The existence of smooth densities for the prediction filtering and smoothing problems ⋮ Martingale representation and the Malliavin calculus ⋮ A change of variables formula for Stratonovich integrals and existence of solutions for two-points stochastic boundary value problems ⋮ Chaos expansion for the solutions of stochastic differential equations ⋮ Differentiable measures and the Malliavin calculus ⋮ Malliavin calculus for two-parameter Wiener functionals ⋮ Malliavin calculus for two-parameter Wiener functionals ⋮ Malliavin calculus with time dependent coefficients applied to a class of stochastic differential equations ⋮ On the connection between the Malliavin covariance matrix and Hörmander's condition ⋮ Existence of a smooth density for the filter in nonlinear filtering with infinite dimensional noise

Cites Work

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• Large deviations and the Malliavin calculus
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• On the transformation of some classes of martingales by a change of law
• The Malliavin calculus, a functional analytic approach
• Diffusions conditionnelles. I. Hypoellipticité partielle
• Derivatives of Wiener functionals and absolute continuity of induced measures
• Régularité des lois conditionnelles en théorie du filtrage non-linéaire et calcul des variations stochastique
• Occupation densities
• Diffusions on an infinite dimensional torus
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• [https://portal.mardi4nfdi.de/wiki/Publication:3889862 Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions]
• The Malliavin calculus and its application to second order parabolic differential equations: Part I
• Calcul des variations stochastique et processus de sauts
• The First Variation of an Indefinite Wiener Integral

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