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Results tagged with stochastic-calculus
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user 84961
Stochastic calculus provides a consistent theory of integration for stochastic processes and is used to model random systems. Its applications range from statistical physics to quantitative finance.
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Malliavin differentiability of solutions to SDEs
In Bass's book on Diffusions and Elliptic Operators, the author gives a brief introduction into Malliavin Calculus. He calls a functional $F:C([0,1],\mathbb{R})\rightarrow \mathbb{R}$ $L^p-$smooth if …
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4
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Malliavin Calculus: directional derivatives of cylinder functions exist in what sense?
Denote by $P_0(\mathbb{R}^d)$ the sets of continuous paths over $[0,1]$ started at $x=0$ with values in $\mathbb{R}^d$, we equip this space with the sup-norm and make it into a probability space by en …
- 213