MathOverflow is a question and answer site for professional mathematicians. Join them; it only takes a minute:

Sign up
Here's how it works:
  1. Anybody can ask a question
  2. Anybody can answer
  3. The best answers are voted up and rise to the top

I wonder if it is possible to define a Malliavin calculus w.r.t $G$-Brownian motion defined on a Sublinear Expectation Space available on this link. G–Brownian motion has a very rich and interesting new structure which nontrivially generalizes the classical one. Many interesting, attractive and challenging problems are also automatically provided within this new framework.

But Google does not provide any link on the Malliavin calculus in this new area.

Nevertheless all classical notions of stochastic calculus have been defined: Itô fomula, Girsanov theorem, white noise process, fractional Brownian motion etc..., except Malliavin calculus.

  1. What problems hinder this concept?
  2. Is for sublinearity of $G$-expectation which does not establish the integration by part formula? Any help is welcome. Thank's
share|cite|improve this question
@ Carlo Beenakker: Thank you very much for the link. However there are only the title. The file is not available on the net. – Zbigniew Jul 27 '13 at 11:56

Your Answer


By posting your answer, you agree to the privacy policy and terms of service.

Browse other questions tagged or ask your own question.