Integration by parts, homogeneous chaos expansions and smooth densities

DOI10.1214/aop/1176991504zbMath0671.60050OpenAlexW1998195970MaRDI QIDQ1119268

Robert J. Elliott, Michael Kohlmann

Publication date: 1989

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

Full work available at URL: https://doi.org/10.1214/aop/1176991504

zbMATH Keywords

Malliavin calculusstochastic flowschaos expansionmartingale representation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Stochastic calculus of variations and the Malliavin calculus (60H07) Martingales and classical analysis (60G46)

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