Malliavin calculus for stochastic differential equations driven by a fractional Brownian motion
By David Nualart, Bruno Saussereau. 2009
143 citations recorded by the source corpus.
Subfields: Computational Theory and Mathematics, Finance, Mathematical Physics
View Paper: https://www.semanticscholar.org/paper/21de0ee8c642fca54c43043722b13a895968c54b
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Computational Theory and Mathematics
- Peter K. Friz
- Antoine Lejay
- Yaozhong Hu
- Yanghui Liu
- Nicolas Victoir
- T. Cass
- David Nualart
- Bruno Saussereau
In Finance
- Peter K. Friz
- Samy Tindel
- David Nualart
- Yaozhong Hu
- Nicolas Victoir
- T. Cass
- Antoine Lejay
- Martin Hairer
In Mathematical Physics
- David Nualart
- Yaozhong Hu
- Peter K. Friz
- Nicolas Victoir
- Samy Tindel
- Antoine Lejay
- Yanghui Liu
- T. Cass
Citations in the corpus
- Controlled differential equations as Young integrals: A simple approach (2010, background): “In addition, this result may serve as a base for dealing with Malliavin calculus for SDE driven by fractional Brownian motion [2, 32].”
- Densities for rough differential equations under Hormander's condition (2007, background): “In this setting of nice sample paths, existence of a density was established in [33] assuming ellipticity.”
- Non-degeneracy of Wiener functionals arising from rough differential equations (2007, background): “Existence of a density for Yt, t > 0, was established in [25] under condition (E).”
- On probability laws of solutions to differential systems driven by a fractional Brownian motion (2014, background): “Thanks to [13, 30] and [25], the solution X t is smooth in the Malliavin sense.”
- Transportation inequalities for stochastic differential equations driven by a fractional Brownian motion (2012, background): “Regularity (in the sense of Malliavin calculus) and absolute continuity of the law of the random variables Xt have since been investigated in [2, 19, 23, 26].”
- Rate of convergence and asymptotic error distribution of Euler approximation schemes for fractional diffusions (2014, methodology): “As before, we are able to find the equation of D2 r1,r2Vt; see Proposition 7 in [26].”
- Multidimensional Stochastic Processes as Rough Paths: Theory and Applications (2010, background): “A density result under the ellipticity condition on appeared in [32].”