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On the Malliavin differentiability of BSDEs
16 references·1 citing·30 second hop
On the Malliavin differentiability of BSDEs (2017)On the Malliavin differentiability of BSD…Malliavin calculus for backward stochastic differential equations and application to numerical solutions (2016)Malliavin calculus for backwa…Simulation of BSDEs by Wiener chaos expansion (2014)Simulation of BSDEs by Wiener…The stochastic Fubini theorem revisited (2011)The stochastic Fubini theorem…Path regularity and explicit convergence rate for BSDE with truncated quadratic growth (2009)Path regularity and explicit …Classical and Variational Differentiability of BSDEs with Quadratic Growth (2007)Classical and Variational Dif…The Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Backward stochastic different…Lp solutions of backward stochastic differential equations (2003)Lp solutions of backward stoc…Transformation of Measure on Wiener Space (2000)Transformation of Measure on …THE MALLIAVIN CALCULUS AND RELATED TOPICS (Probability and its Applications) (1997)THE MALLIAVIN CALCULUS AND RE…Backward Stochastic Differential Equations in Finance (1997)Backward Stochastic Different…Adapted solution of a backward stochastic differential equation (1990)Adapted solution of a backwar…The Malliavin calculus and its application to second order parabolic differential equations: Part II (1981)The Malliavin calculus and it…Derivatives of Wiener functionals and absolute continuity of induced measures (1980)Derivatives of Wiener functio…Stochastic calculus of variations and hypoelliptic operators (1978)Stochastic calculus of variat…Stochastic calculus of variation and hypoelliptic operators (1978)Stochastic calculus of variat…Malliavin derivative of random functions and applications to Lévy driven BSDEs (2016)Malliavin derivative of rando…Multiple Wiener Integral (1951)Malliavin's calculus and stochastic integral representations of functional of diffusion processes† (1984)Generalized stochastic integrals and the malliavin calculus (1986)Brownian Motion and Stochastic Calculus (1988)Solving forward-backward stochastic differential equations explicitly — a four step scheme (1994)Backward stochastic differential equations and partial differential equations with quadratic growth (2000)Brownian Motion and Stochastic Calculus (2007)Continuous Martingales and Brownian Motion (1999)Quadratic BSDEs with convex generators and unbounded terminal conditions (2007)Quadratic BSDEs with convex generators and unbounded terminal conditions (2008)Stochastic Differential Equations (2014)Brownian Motion and Stochastic Calculus. (1989)Log-Periodogram Regression of Time Series with Long Range Dependence (1995)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Stochastic Integration and Differential Equations : A New Approach (2014)The Pricing of Options and Corporate Liabilities (1973)Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)Theory of rational option pricing (2005)Partial Differential Equations (2010)Stochastic calculus with anticipating integrands (1988)Statistical aspects of the fractional stochastic calculus (2007)Density estimates for a random noise propagating through a chain of differential equations (2010)Densities for rough differential equations under Hörmander’s condition (2010)Multidimensional Stochastic Processes as Rough Paths (2010)Solving high-dimensional Hamilton–Jacobi–Bellman PDEs using neural networks: perspectives from the theory of controlled diffusions and measures on path space (2021)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Stochastic Calculus with Respect to Gaussian Processes (2001)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions (1981)Functional Itô calculus and stochastic integral representation of martingales (2013)
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References

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  • 2006The Malliavin Calculus and Related Topics2,548 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 2005Backward stochastic differential equations and quasilinear parabolic partial differential equations811 cited
  • 1978Stochastic calculus of variation and hypoelliptic operators569 cited
  • 1997THE MALLIAVIN CALCULUS AND RELATED TOPICS (Probability and its Applications)536 cited
  • 1978Stochastic calculus of variations and hypoelliptic operators524 cited
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  • 1980Derivatives of Wiener functionals and absolute continuity of induced measures178 cited
  • 2000Transformation of Measure on Wiener Space160 cited
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  • 2014Simulation of BSDEs by Wiener chaos expansion71 cited
  • 2009Path regularity and explicit convergence rate for BSDE with truncated quadratic growth64 cited
  • 2007Classical and Variational Differentiability of BSDEs with Quadratic Growth59 cited
  • 1981The Malliavin calculus and its application to second order parabolic differential equations: Part II

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57 cited
  • 2016Malliavin calculus for backward stochastic differential equations and application to numerical solutions53 cited
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    • 2016Malliavin derivative of random functions and applications to Lévy driven BSDEs15 cited