A nonsmooth chain rule for malliavin's derivative operator

DOI10.1080/07362999708809480zbMath0884.60060OpenAlexW1985356851MaRDI QIDQ4349659

Ying Hu

Publication date: 19 March 1998

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362999708809480

zbMATH Keywords

Malliavin calculusdifferentiation of Lipschitz functionsgradient on the Wiener space

Mathematics Subject Classification ID

Stochastic analysis (60H99)

Cites Work

• Stochastic calculus with anticipating integrands
• Time reversal for infinite-dimensional diffusions
• Dirichlet forms and analysis on Wiener space
• Integration by parts and time reversal for diffusion processes
• Optimization and nonsmooth analysis
• A generalized Haussmann's formula

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