The Wiener space derivative for functionals of diffusions on manifolds

DOI10.1088/0951-7715/1/1/010MaRDI QIDQ3787173zbMATH OpenOpenAlexFDO

Authors Mark H. A. Davis

Publication date 1988

Published in Nonlinearity (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1088/0951-7715/1/1/010

zbMATH Keywords

Clark-Haussmann formuladiffusion processstochastic flow theorystochastic integralWiener space derivative

Mathematics Subject Classification ID

Diffusion processes and stochastic analysis on manifolds (58J65)

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(9)

• A Haussmann-Clark-Ocone formula for functionals of diffusion processes with Lipschitz coefficients
• A simplified proof of the representation of functionals of diffusions
• The Dirichlet-Ferguson diffusion on the space of probability measures over a closed Riemannian manifold
• A class of anticipative tangent processes on the Wiener space
• Malliavin's calculus and stochastic integral representations of functional of diffusion processes^†
• An extension of clark' formula
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• Derivative formulas in measure on Riemannian manifolds

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