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Malliavin's calculus and stochastic integral representations of functional of diffusion processes†
8 references·16 citing·37 second hop
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this work references cited by second hop

References

  • 1983Stochastic Differential Equations and Diffusion Processes3,836 cited
  • 1976Stochastic Differential Equations and Applications1,378 cited
  • 1977Stochastic differential equations and applications1,158 cited
  • 1978Stochastic calculus of variations and hypoelliptic operators524 cited
  • 1985Applications of the Malliavin calculus. II365 cited
  • 1981Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions270 cited
  • 1970The Representation of Functionals of Brownian Motion by Stochastic Integrals233 cited
  • 1980Derivatives of Wiener functionals and absolute continuity of induced measures178 cited

Cited by

  • 2001Equilibrium Positive Interest Rates: A Unified View100 cited
  • 1994Variance Reduction for Simulated Diffusions94 cited
  • 1997Adapted solution of a degenerate backward spde, with applications90 cited
  • 1994Dynamic spanning without probabilities74 cited
  • 2009A functional extension of the Ito formula72 cited
  • 1991An extension of clark' formula71 cited
  • 2004A characterization of hedging portfolios for interest rate contingent claims69 cited

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  • 2009Dynamic Asset Allocation: Portfolio Decomposition Formula and Applications64 cited
  • 2000STOCHASTIC DIFFERENTIAL EQUATIONS AND DIFFUSIONS57 cited
  • 1988Generalized multiple stochastic integrals and the representation of wiener functionals57 cited
  • 1997Differentiable measures and the Malliavin calculus54 cited
  • 1987Representation of the distributions on Wiener space and stochastic calculus of variations48 cited
  • 2006A guide to the stochastic calculus of variations37 cited
  • 2008Optimal consumption and investment under partial information34 cited
  • 2002Stochastic integral representations, stochastic derivatives and minimal variance hedging34 cited
  • 1998Anticipating Integrals for a Class of Martingales29 cited