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Application of Malliavin calculus to a class of stochastic differential equations
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  • Published: December 1990

Application of Malliavin calculus to a class of stochastic differential equations

  • Nguyen Minh Duc1,
  • D. Nualart2 &
  • M. Sanz2 

Probability Theory and Related Fields volume 84, pages 549–571 (1990)Cite this article

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  • 8 Citations

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Summary

In this article we deal with stochastic differential equations driven by an infinite dimensional Brownian motion. Under some non-degeneracy conditions, the existence and smoothness of the density for the law of the solution is proved.

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References

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Author information

Authors and Affiliations

  1. Institute of Computer Science and Cybernetics, Nghia Do-Tu Liem, Hanoi, R.S. Vietnam

    Nguyen Minh Duc

  2. Facultat de Matemàtiques, Universitat de Barcelona, Gran Via 585, E-08007, Barcelona, Spain

    D. Nualart & M. Sanz

Authors
  1. Nguyen Minh Duc
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  2. D. Nualart
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  3. M. Sanz
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Additional information

The work of Nguyen Minh Duc was done during a stay at the University of Barcelona (Spain)

The work of D. Nualart and M. Sanz has been supported by the Grant of the C.Y.C.I.T. number PB86-0238

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Minh Duc, N., Nualart, D. & Sanz, M. Application of Malliavin calculus to a class of stochastic differential equations. Probab. Th. Rel. Fields 84, 549–571 (1990). https://doi.org/10.1007/BF01198319

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  • Received: 21 March 1989

  • Revised: 19 September 1989

  • Issue Date: December 1990

  • DOI: https://doi.org/10.1007/BF01198319

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Keywords

  • Differential Equation
  • Stochastic Process
  • Brownian Motion
  • Probability Theory
  • Mathematical Biology
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