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A simple version of the Malliavin calculus in dimension one

Part of the Lecture Notes in Mathematics book series (LNM,volume 939)

Keywords

  • Brownian Motion
  • Stochastic Differential Equation
  • Coupling Coefficient
  • Maximal Function
  • Standard Brownian Motion

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References

  1. K. Bichteler, Stochastic integration and LP-theory of semimartingales, Ann. Prob. 9/1 (1981), 49–89.

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  2. K. Bichteler, Stochastic integrators with stationary independent increments, to appear.

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  3. J.-M. Bismut, Martingales, the Malliavin Calculus and Hörmander’s theorems, Proc. of the Durham Conference on Stochastic Integration (1980), Springer Lecture Notes in Math. No. 851, 1981.

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  4. D. Fonken, The Malliavin Calculus in dimension one, Thesis 1981.

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  5. P. Malliavin, Stochastic calculus of variation and hypoelliptic operators, Proc. of the International Symposium on Stochastic Differential Equations (Kyoto 1976) Tokyo, 1978.

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  6. P.-A. Meyer, Stochastic flows on manifolds, Seminaire de Probabilites No. XV, Springer Lecture Notes in Math. No. 850, 1981.

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  7. D. Stroock, The Malliavin Calculus and its application to second order parabolic differential equations: Part I, Math. Systems Theory 14 (1981), 25–65.

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© 1982 Springer-Verlag

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Bichteler, K., Fonken, D. (1982). A simple version of the Malliavin calculus in dimension one. In: Chao, JA., Woyczyński, W.A. (eds) Martingale Theory in Harmonic Analysis and Banach Spaces. Lecture Notes in Mathematics, vol 939. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0096254

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  • DOI: https://doi.org/10.1007/BFb0096254

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-11569-4

  • Online ISBN: 978-3-540-39284-2

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