Malliavin calculus for Markov chains using perturbations of time

DOI10.1080/17442508.2016.1148150zbMath1352.60077OpenAlexW2470593987MaRDI QIDQ2833703

Tuyet Nguyen Mai, Laurent Denis

Publication date: 25 November 2016

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2016.1148150

zbMATH Keywords

stochastic differential equationMalliavin calculusDirichlet formcontinuous-time Markov chainGreeksintegration-by-parts formula

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Stochastic calculus of variations and the Malliavin calculus (60H07) Continuous-time Markov processes on discrete state spaces (60J27) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items

AN IMPROVEMENT OF MARKOVIAN INTEGRATION BY PARTS FORMULA AND APPLICATION TO SENSITIVITY COMPUTATION