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Analysis on Wiener space and anticipating stochastic calculus · Study

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ChapterAnalysis on Wiener space and anticipating stochastic calculus

David Nualart1998

Chapter1998

Analysis on Wiener space and anticipating stochastic calculus

101 citations·0/0 files stored·Lecture notes in mathematics

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Stochastic processes and financial applications Mathematical and Theoretical Analysis Fuzzy Systems and Optimization

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2005Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control 1998Malliavin Calculus for White Noise Driven Parabolic SPDEs 2014Simulation of BSDEs by Wiener chaos expansion 2003An Anticipating Calculus Approach to the Utility Maximization of an Insider 2002Rate of convergence of a particle method to the solution of the McKean--Vlasov equation 2002Variance Reduction Methods for Simulation of Densities on Wiener Space 2006Discretization and Simulation of the Zakai Equation 2016Intermittency for the wave and heat equations with fractional noise in time

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Year1998

Typechapter

Published1998-01-01

VenueLecture notes in mathematics

ISSN-L0075-8434

Languageen

Citations101

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/bfb0092538

openalex_workW38489613

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