A Malliavin-type anticipative stochastic calculus

DOI10.1214/aop/1176991897zbMath0639.60058OpenAlexW2029871285MaRDI QIDQ1099881

Marc A. Berger

Publication date: 1988

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

Full work available at URL: https://doi.org/10.1214/aop/1176991897

zbMATH Keywords

Malliavin calculusextended stochastic integrals

Mathematics Subject Classification ID

Stochastic integrals (60H05) Continuity and singularity of induced measures (60G30)

Related Items (4)

Fubini theorem for anticipating stochastic integrals in Hilbert space ⋮ Stochastic integrals for nonprevisible, multiparameter processes ⋮ The term structure of Sharpe ratios and arbitrage-free asset pricing in continuous time ⋮ Differentiable measures and the Malliavin calculus

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