Martingale representation and the Malliavin calculus

DOI10.1007/BF01447650zbMath0685.60043OpenAlexW1977834368MaRDI QIDQ1826205

Michael Kohlmann, Robert J. Elliott

Publication date: 1989

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01447650

zbMATH Keywords

Malliavin calculusintegration by parts formulamartingale representation of stochastic integrals

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35) Martingales with continuous parameter (60G44)

Related Items (2)

A stochastic flows approach for asset allocation with hidden economic environment ⋮ Differentiable measures and the Malliavin calculus

Cites Work

• The Malliavin calculus
• Integration by parts, homogeneous chaos expansions and smooth densities
• The Malliavin calculus, a functional analytic approach
• [https://portal.mardi4nfdi.de/wiki/Publication:3889862 Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions]
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