Malliavin Calculus with Applications to Stochastic Partial Differential Equations

By M. Sanz-Solé. 2005

131 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/0250c59d86c6cecc151e5a860da0de60763314c5

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Robert C. Dalang
2. Arnulf Jentzen
3. Davar Khoshnevisan
4. M. Roeckner
5. Giuseppe Da Prato
6. E. Nualart
7. Yimin Xiao
8. Peter E. Kloeden

In Management Science and Operations Research

1. Giuseppe Da Prato
2. Davar Khoshnevisan
3. Robert C. Dalang
4. Arnulf Jentzen
5. Yimin Xiao
6. Sotirios Sabanis

Citations in the corpus

• Hitting probabilities for systems of non-linear stochastic heat equations with multiplicative noise (2007, background): “3 Elements of Malliavin calculus In this section, we introduce, following Nualart [11] (see also [13]), some elements of Malliavin calculus.”
• Stochastic Analysis in Discrete and Continuous Settings: With Normal Martingales (2009, unknown): “[53], [65], [67], [76], [87], [88], [96], [132], [138], [147], [150], [151].”
• A mild Itô formula for SPDEs (2010, background): “, the books [95, 21, 35, 22, 12, 19, 96, 14, 89, 61, 47] and lecture notes [105, 57, 67, 90, 1, 24, 40] and the references therein).”