Chaotic extensions and the lent particle method for Brownian motion

DOI10.1214/EJP.V18-1838zbMath1285.60051arXiv1201.3322MaRDI QIDQ388931

Laurent Denis, Nicolas Bouleau

Publication date: 17 January 2014

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1201.3322

zbMATH Keywords

Malliavin calculuschaotic expansionnormal martingale

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Martingales with continuous parameter (60G44) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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