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The Malliavin calculus
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The Malliavin calculus (1987)The Malliavin calculusClosed-Form Expansion, Conditional Expectation, and Option Valuation (2013)Closed-Form Expansion, Condit…Non-degeneracy of Wiener functionals arising from rough differential equations (2009)Non-degeneracy of Wiener func…A functional extension of the Ito formula (2009)A functional extension of the…Smooth densities for solutions to stochastic differential equations with jumps (2008)Smooth densities for solution…Smooth Densities for Degenerate Stochastic Delay Equations with Hereditary Drift (1995)Smooth Densities for Degenera…Transformation of Wiener measure under anticipative flows (1992)Transformation of Wiener meas…The Malliavin calculus and stochastic delay equations (1991)The Malliavin calculus and st…Stochastic calculus of variations and hypoelliptic operators (1978)Stochastic calculus with anticipating integrands (1988)A duality approach for the weak approximation of stochastic differential equations (2006)Stochastic Differential Equations (2006)Weak Convergence of the Euler Scheme for Stochastic Differential Delay Equations (2008)The Malliavin Calculus and Related Topics (1995)Stochastic Analysis (1997)The Malliavin Calculus and Related Topics (2006)An infinite-dimensional approach to path-dependent Kolmogorov equations (2016)An infinite-dimensional approach to path-dependent Kolmogorov equations (2016)Path-dependent equations and viscosity solutions in infinite dimension (2018)On stationary solutions of a stochastic differential equation (1964)Applications of the Malliavin calculus. II (1985)Stochastic Differential Equations (2003)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Pricing Multi-Asset Cross Currency Options (2012)On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model (2014)Asymptotic Expansion Approach in Finance (2015)On nonlinear transformations of Gaussian measures (1974)L'intégrale stochastique comme opérateur de divergence dans l'espace fonctionnel (1982)Generalized stochastic integrals and the malliavin calculus (1986)Skorohod stochastic differential equations of diffusion type (1992)Transformation of the Wiener measure under non-invertible shifts (1994)Wick Approximation of Quasilinear Stochastic Differential Equations (1996)Differential equations driven by rough signals (1998)Rough path limits of the Wong–Zakai type with a modified drift term (2009)0 A MILSTEIN-TYPE SCHEME WITHOUT LEVY AREA TERMS FOR SDES DRIVEN BY FRACTIONAL BROWNIAN MOTION (2013)Malliavin calculus for regularity structures: The case of gPAM (2016)Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions (1981)Densities for SDEs driven by degenerate $\alpha$-stable processes (2014)Regularity of density for SDEs driven by degenerate Lévy noises (2015)A parametrix approach for some degenerate stable driven SDEs (2016)
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  • 2009A functional extension of the Ito formula72 cited
  • 2009Non-degeneracy of Wiener functionals arising from rough differential equations52 cited
  • 2013Closed-Form Expansion, Conditional Expectation, and Option Valuation44 cited
  • 1991The Malliavin calculus and stochastic delay equations40 cited
  • 2008Smooth densities for solutions to stochastic differential equations with jumps40 cited
  • 1992Transformation of Wiener measure under anticipative flows32 cited
  • 1995Smooth Densities for Degenerate Stochastic Delay Equations with Hereditary Drift29 cited

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