Representation formulas for Malliavin derivatives of diffusion processes

DOI10.1007/s00780-004-0151-6zbMath1088.60057OpenAlexW2006431489MaRDI QIDQ2488484

Jérôme B. Detemple, Marcel Rindisbacher, René Garcia

Publication date: 24 May 2006

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-004-0151-6

zbMATH Keywords

Doss transformationmultivariate diffusions

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Diffusion processes (60J60) Stochastic calculus of variations and the Malliavin calculus (60H07)

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