Derivatives of diffusions with applications in finance

zbMath1099.60511MaRDI QIDQ1884214

Tadeusz Banek

Publication date: 26 October 2004

Published in: Bulletin of the Polish Academy of Sciences. Technical Sciences (Search for Journal in Brave)

zbMATH Keywords

Malliavin calculusdiffusion processeschaos expansionderivative operators

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

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