The Ornstein-Uhlembeck equation and a related Malliavin calculus

DOI10.1007/S00009-007-0109-YzbMath1195.60074OpenAlexW1988497023MaRDI QIDQ2462205

Alberto Lanconelli

Publication date: 26 November 2007

Published in: Mediterranean Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00009-007-0109-y

zbMATH Keywords

Malliavin calculusWick productGirsanov's theoremOrnstein-Uhlembeck process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Stochastic calculus of variations and the Malliavin calculus (60H07)

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