The Malliavin Calculus and Related Topics

By D. Rodón. 2006

1,436 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/a1967551cf7097226e2cebc75a957c945e517979

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Citations in the corpus

Stein’s method and exact Berry–Esseen asymptotics for functionals of Gaussian fields (2008, background): “It is well known (again, see [21], Chapter 1, or [13]) that any random variable F belonging to L2(X) admits the chaotic expansion”
A central limit theorem for the Euler characteristic of a Gaussian excursion set (2016, methodology): “Standard references for this matter are Nualart’s [26] and Major’s [22] books for instance.”
Monte Carlo Gradient Estimation in Machine Learning (2019, methodology): “Oates et al. (2017) demonstrated the feasibility of this approach using kernel-based non-parametric control variates.”
Fractional Backward Stochastic Differential Equations and Fractional Backward Variational Inequalities (2011, background): “For a deeper discussion we refer the reader to [3], [5], [7], [8] and [13].”
Multivariate normal approximation using Stein's method and Malliavin calculus (2008, background): “The reader is referred to [14] for a complete discussion of this subject.”
Malliavin calculus for backward stochastic differential equations and application to numerical solutions (2011, methodology): “MR1894066 [14] Nualart, D. (2006).”
Consistent price systems and face-lifting pricing under transaction costs (2008, methodology): “For a thorough treatment of FBM, we refer the reader to the monograph [31].”
Approximate and trajectory controllability of fractional stochastic differential equation with non‐instantaneous impulses and Poisson jumps (2020, background): “For Ψ2L(2)([0,T]), it is well known from [30] that the integral of the function Ψ w.”
BSDEs with terminal conditions that have bounded Malliavin derivative (2012, background): “4 of Nualart [18] that h(X T ) is in D 1,2 t and for all i = 1, .”