“The mathematical theory now known as Malliavin calculus was first introduced by Paul Malliavin .. as an infinite-dimensional integration by parts technique. The purpose of this calculus was to prove the results about the smoothness of densities of solutions of stochastic differential equations driven by Brownian motiion.”
“Malliavin’s work inspired many new results in stochastic analysis. Examples include filtering theorems (Michel ...), a deeper understanding of the Skorohod integral and the development of an anticipat...”
Malliavin calculus
“We present an approach that allows one to introduce a Malliavin type calculus for functionals of general Lévy processes and to obtain sufficient conditions for the absolute continuity of solutions of ...”
Malliavin calculus
“The Malliavin calculus refers to a part of Probability theory which can loosely be described as a type of calculus of variations for Brownian motion. It is intimately concerned with the interplay betw...”
Malliavin calculus
