SZodixStudyAcademic Library

Dashboard Shelves Open access My library Inbox Notes Write Learn Alerts

More

Ask your library Notifications Quick cite Review

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Representation formulas for Malliavin derivatives of diffusion processes · Study

ArticleShelves

ArticleRepresentation formulas for Malliavin derivatives of diffusion processes

Jerome B. Detemple2005

Article2005

Representation formulas for Malliavin derivatives of diffusion processes

Jerome B. Detemple · René García · Marcel Rindisbacher

35 citations·0/0 files stored·Finance and Stochastics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Probability and Risk Models Fuzzy Systems and Optimization

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 35 citations exist upstream.

References

2016Numerical solution of stochastic differential equations 2006The Malliavin Calculus and Related Topics 2006Stochastic Differential Equations 1999Applications of Malliavin calculus to Monte Carlo methods in finance 1998Asymptotic error distributions for the Euler method for stochastic differential equations 2003A Monte Carlo Method for Optimal Portfolios 1991A generalized clark representation formula, with application to optimal portfolios 2004On the Malliavin approach to Monte Carlo approximation of conditional expectations

Cited by

2008Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2002Optimal portfolio choice for unobservable and regime-switching mean returnsarticle · 4 shared references 2005Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Controlarticle · 4 shared references 2006Efficient stochastic sensitivity analysis of discrete event systemsarticle · 4 shared references 2004Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equationsarticle · 3 shared references 2004A numerical scheme for BSDEsarticle · 3 shared references 2008An Examination of Heterogeneous Beliefs with a Short-Sale Constraint in a Dynamic Economyarticle · 3 shared references

Details

Year2005

Typearticle

Published2005-06-06

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations35

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1007/s00780-004-0151-6

openalex_workW2006431489

Links

Imported from OpenAlex (CC0) — nothing here is generated.