Articlebronze1989

Integration by Parts, Homogeneous Chaos Expansions and Smooth Densities

34 citations0/0 files storedThe Annals of Probability

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Stochastic processes and financial applications Probability and Statistical Research Stochastic processes and statistical mechanics

Abstract

By iterating a martingale representation result a homogeneous chaos expansion is obtained. Using the martingale representation, the integration-by-parts formula of the Malliavin calculus is derived using properties of stochastic flows. The infinite-dimensional calculus of variations is not required.

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