Extension of the ito calculus via the malliavin calculus

DOI10.1080/17442508808833498zbMath0641.60063OpenAlexW2022882565MaRDI QIDQ3782541

Ali Süleyman Üstünel

Publication date: 1988

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508808833498

zbMATH Keywords

tempered distributionItô formulaItô stochastic differential equationSkorokhod integralgeneralized stochastic processesdistributions on Wiener space

Mathematics Subject Classification ID

Generalized stochastic processes (60G20) Stochastic integrals (60H05)

Related Items

The Itô formula for anticipative processes with nonmonotonous time scale via the Malliavin calculus, Probabilistic solution of the American options, Differentiable measures and the Malliavin calculus

Cites Work

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• L'intégrale stochastique comme opérateur de divergence dans l'espace fonctionnel
• Malliavin's calculus and stochastic integral representations of functional of diffusion processes^†
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• [https://portal.mardi4nfdi.de/wiki/Publication:3889862 Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions]
• The Malliavin calculus and its application to second order parabolic differential equations: Part I