The Beneš equation and stochastic calculus of variations

DOI10.1016/0304-4149(94)00058-2zbMath0836.60063OpenAlexW1995495978MaRDI QIDQ1893863

Laurent Decreusefond, Ali Süleyman Üstünel

Publication date: 7 August 1995

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(94)00058-2

zbMATH Keywords

Malliavin calculusBenes equationreflection theory

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07)

Cites Work

• The Malliavin calculus for pure jump processes and applications to local time
• Reflexion discontinue et systèmes stochastiques
• Dirichlet forms and analysis on Wiener space
• Calcul des variations stochastique et processus de sauts
• Fluctuation theory in continuous time
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