Malliavin derivatives and derivatives of functionals of the Wiener process with respect to a scale parameter

DOI10.1214/aop/1176993013zbMath0562.60067OpenAlexW1989454384MaRDI QIDQ1056993

Moshe Zakai

Publication date: 1985

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176993013

zbMATH Keywords

Malliavin calculusOrnstein-Uhlenbeck processMalliavin derivatives

Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic analysis (60H99)

Related Items (4)

Generalized stochastic integrals and the Malliavin calculus ⋮ Chaos expansion for the solutions of stochastic differential equations ⋮ Differentiable measures and the Malliavin calculus ⋮ The Malliavin calculus

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