Representation of the distributions on Wiener space and stochastic calculus of variations

DOI10.1016/0022-1236(87)90127-3zbMath0637.60069OpenAlexW2057384397MaRDI QIDQ5903557

Ali Süleyman Üstünel

Publication date: 1987

Published in: Journal of Functional Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0022-1236(87)90127-3

zbMATH Keywords

Itô integralMalliavin calculusWiener spaceItô-Integral

Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (12)

Solution of the Monge-Ampère equation on Wiener space for general log-concave measures ⋮ The covariation for Banach space valued processes and applications ⋮ Dirichlet spaces on \(H\)-convex sets in Wiener space ⋮ Variational calculation of Laplace transforms via entropy on Wiener space and applications ⋮ White noise analysis for Lévy processes. ⋮ The invertibility of adapted perturbations of identity on the Wiener space ⋮ Integral representation of renormalized self-intersection local times ⋮ Some covariance inequalities in Wiener space ⋮ A discrete-time Clark-Ocone formula for Poisson functionals ⋮ On the structure of independence on Wiener space ⋮ Probabilistic solution of the American options ⋮ Entropy, invertibility and variational calculus of adapted shifts on Wiener space

Cites Work

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• Lectures on stochastic differential equations and Malliavin calculus
• Generalized stochastic integrals and the Malliavin calculus
• De Rham-Hodge-Kodaira's decomposition on an abstract Wiener space
• Derivatives of Wiener functionals and absolute continuity of induced measures
• L'intégrale stochastique comme opérateur de divergence dans l'espace fonctionnel
• Malliavin's calculus and stochastic integral representations of functional of diffusion processes^†
• On a Generalization of a Stochastic Integral
• Correction Notes: Correction to "The Representation of Functionals of Brownian Motion by Stochastic Integrals"

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