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Applications quantitatives et geometriques du calcul de malliavin
6 references·0 citing·23 second hop
Applications quantitatives et geometriques du calcul de malliavin (1988)Applications quantitatives et geometrique…Flots et series de Taylor stochastiques (1989)Flots et series de Taylor sto…Methods de laplace et de la phase stationnaire sur l'espace de wiener (1988)Methods de laplace et de la p…Analysis of Wiener Functionals (Malliavin Calculus) and its Applications to Heat Kernels (1987)Analysis of Wiener Functional…Large Deviations and the Malliavin Calculus (1984)Large Deviations and the Mall…Applications of the Malliavin Calculus, Part I (1984)Applications of the Malliavin…Formule de Taylor stochastique et developpement asymptotique d’integrales de Feynmann (1982)Formule de Taylor stochastiqu…Lectures on Stochastic Differential Equations and Malliavin Calculus (1984)Precise asymptotics of certain Wiener functionals (1991)Maximum-likelihood estimation for diffusion processes via closed-form density expansions (2013)Short-time near-the-money skew in rough fractional volatility models (2018)Liens entre équations différentielles stochastiques et ordinaires (1977)On the Gap Between Deterministic and Stochastic Ordinary Differential Equations (1978)The algebra of iterated stochastic integrals (1994)n-covariation, generalized Dirichlet processes and calculus with respect to finite cubic variation processes (2003)Approximation of Expectation of Diffusion Process and Mathematical Finance (2018)Some Asymptotic Formulas for Wiener Integrals (1966)Small-diffusion asymptotics for discretely sampled stochastic differential equations (2003)Euler estimates for rough differential equations (2007)Flows driven by rough paths (2015)Stochastic calculus of variations and hypoelliptic operators (1978)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe (1992)The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims (2001)Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control (2005)Densities for rough differential equations under Hörmander’s condition (2010)Derivative formulas and gradient estimates for SDEs driven by α -stable processes (2012)An Asymptotic Expansion Approach to Pricing Financial Contingent Claims (1999)Itô’s stochastic calculus: Its surprising power for applications (2010)Functional Itô calculus and stochastic integral representation of martingales (2013)
this work references cited by second hop

References

  • 1984Large Deviations and the Malliavin Calculus405 cited
  • 1987Analysis of Wiener Functionals (Malliavin Calculus) and its Applications to Heat Kernels264 cited
  • 1984Applications of the Malliavin Calculus, Part I237 cited
  • 1989Flots et series de Taylor stochastiques120 cited
  • 1988Methods de laplace et de la phase stationnaire sur l'espace de wiener86 cited
  • 1982Formule de Taylor stochastique et developpement asymptotique d’integrales de Feynmann75 cited

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