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Malliavin calculus

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3839: 4091: 549: 2169: 3080: 1671: 2017: 275: 372: 2022: 2626: 2258: 1538: 3348: 2921: 1570: 1249: 349: 3702: 1334: 3797: 1016: 1142: 2341: 3184: 3570: 2460: 1442: 883: 1909: 653: 3489: 1901: 162: 1807: 2501: 1838: 1184: 544:{\displaystyle 0=\int _{-\infty }^{\infty }f'\,d\lambda =\int _{-\infty }^{\infty }(gh)'\,d\lambda =\int _{-\infty }^{\infty }gh'\,d\lambda +\int _{-\infty }^{\infty }g'h\,d\lambda .} 2886: 2835: 2726: 1279: 2164:{\displaystyle \quad q:L^{\infty -0}(\mathbb {R} ^{\mathbb {N} },{\mathcal {B}}(\mathbb {R} ^{\mathbb {N} }),\gamma ^{\mathbb {N} })\to L^{\infty -0}(\Omega ,{\mathcal {F}},P),} 3615: 2547: 2388: 1759: 1715: 1470: 1406: 1358: 2555: 2177: 2910: 1063: 2696: 1858: 1735: 1561: 3435: 3386: 2676: 2364: 579: 2786: 2649: 1691: 1378: 1043: 676: 1483: 3226: 3075:{\displaystyle \lim _{\varepsilon \to 0}{\frac {1}{\varepsilon }}(F(X+\varepsilon \varphi )-F(X))=\int _{0}^{1}F'(X,dt)\varphi (t)\ \mathrm {a.e.} \ X} 4061: 1666:{\displaystyle (\mathbb {R} ^{\mathbb {N} },{\mathcal {B}}(\mathbb {R} ^{\mathbb {N} }),\gamma ^{\mathbb {N} }=\otimes _{n\in \mathbb {N} }\gamma )} 4106: 3353:
Much of the work in the formal development of the Malliavin calculus involves extending this result to the largest possible class of functionals
3802:
where the integral is to be understood in the ItĂŽ sense. Thus this provides a method of extending the ItĂŽ integral to non adapted integrands.
3868: 46:. P. Malliavin first initiated the calculus on infinite dimensional space. Then, the significant contributors such as S. Kusuoka, D. Stroock, 1192: 3623: 4072:, Øksendal, Bernt, Proske, Frank (2009) "Malliavin Calculus for Lévy Processes with Applications to Finance", Universitext, Springer. 280: 1472:
as its Gaussian subspace. Properties of a Gaussian probability space that do not depend on the particular choice of basis are called
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A similar idea can be applied in stochastic analysis for the differentiation along a Cameron-Martin-Girsanov direction. Indeed, let
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Differentiating with respect to Δ on both sides and evaluating at Δ=0, one obtains the following integration by parts formula:
3091: 4077: 4014: 3501: 2012:{\displaystyle L^{\infty -0}(\Omega ,{\mathcal {F}},P)=\bigcap \limits _{p<\infty }L^{p}(\Omega ,{\mathcal {F}},P)\quad } 4049: 1411: 692: 591: 136:. His calculus enabled Malliavin to prove regularity bounds for the solution's density. The calculus has been applied to 3440: 270:{\displaystyle \int _{-\infty }^{\infty }f(x)\,d\lambda (x)=\int _{-\infty }^{\infty }f(x+\varepsilon )\,d\lambda (x)} 4032: 3995: 3951: 3926: 3890: 2747: 3861: 4135: 2393: 1863: 125: 70: 1764: 4177: 1812: 1147: 4172: 133: 78: 2840: 2465: 4162: 3708: 121: 66: 4182: 2791: 2701: 1254: 4113: 3406:
operator which is conventionally denoted ÎŽ is defined as the adjoint of the Malliavin derivative in the
117: 62: 4167: 1084: 1078: 3578: 3851: 2621:{\displaystyle \lim \limits _{\varepsilon \to 0}{\frac {\rho (\varepsilon h)-I}{\varepsilon }}=M_{h}} 2253:{\displaystyle \rho :{\mathcal {H}}\to \operatorname {End} (L^{\infty -0}(\Omega ,{\mathcal {F}},P))} 2510: 2369: 1740: 1696: 1451: 1387: 1339: 4066:. Lecture Notes, Dept. of Mathematics, University of Oslo (Zip file containing Thesis and addendum) 3855: 3847: 2504: 2743: 2737: 3946:. Grundlehren der mathematischen Wissenschaften. Berlin, Heidelberg: Springer. pp. 20–22. 3872: 1564: 24: 3921:. Grundlehren der mathematischen Wissenschaften. Berlin, Heidelberg: Springer. pp. 4–15. 2895: 1048: 2681: 1843: 1720: 1546: 3823: 3819: 3811: 3413: 3364: 3358: 2654: 2349: 1022: 557: 355: 149: 105: 101: 97: 89: 28: 8: 1187: 582: 41: 4003: 3827: 3403: 3397: 2756: 2634: 1676: 1363: 1028: 661: 47: 1533:{\displaystyle \mathbb {R} ^{\mathbb {N} }=\prod \limits _{i=1}^{\infty }\mathbb {R} } 4073: 4028: 4010: 3991: 3947: 3922: 4057: 129: 74: 23:
is a set of mathematical techniques and ideas that extend the mathematical field of
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Stochastic Analysis, Proceedings Taniguchi International Symposium Katata and Kyoto
3343:{\displaystyle F(X)=E(F(X))+\int _{0}^{1}E(D_{t}F\mid {\mathcal {F}}_{t})\,dX_{t}.} 683: 4043:
Malliavin Calculus, with applications to stochastic partial differential equations
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to be identified explicitly. A simplified version of this theorem is as follows:
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over the whole real line is that, for any real number Δ and integrable function
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and the integral appearing on the right hand side should be interpreted as an
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Kusuoka, S. and Stroock, D. (1987) "Applications of Malliavin Calculus III",
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Kusuoka, S. and Stroock, D. (1985) "Applications of Malliavin Calculus II",
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Kusuoka, S. and Stroock, D. (1981) "Applications of Malliavin Calculus I",
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Malliavin introduced Malliavin calculus to provide a stochastic proof that
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Malliavin Calculus for Monte Carlo Simulation with Financial Applications
3407: 1737:. A construction can be done as follows: choose an orthonormal basis in 4102: 32: 3437:
space, thus for u in the domain of the operator which is a subset of
1244:{\displaystyle {\mathcal {H}}\subset L^{2}(\Omega ,{\mathcal {F}},P)} 16:
Mathematical techniques used in probability theory and related fields
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An Introduction To Malliavin Calculus With Applications To Economics
3697:{\displaystyle \langle f,g\rangle =\int _{0}^{\infty }f(s)g(s)\,ds.} 4045:. EPFL Press, distributed by CRC Press, Taylor & Francis Group. 2366:
is extrinsic meaning it does not depend on the choice of basis for
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then yields the following analogue of the invariance principle:
344:{\displaystyle \int _{-\infty }^{\infty }f'(x)\,d\lambda (x)=0.} 2742:
One of the most useful results from Malliavin calculus is the
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denotes the multiplication operator by the random variable on
1480:. We denote the countably infinite product of real spaces as 1329:{\displaystyle {\mathcal {F}}=\sigma (H:H\in {\mathcal {H}})} 54:, I. Shigekawa, and so on finally completed the foundations. 3792:{\displaystyle \delta (u)=\int _{0}^{\infty }u_{t}\,dW_{t},} 2753:
Consider the standard Wiener measure on the canonical space
1011:{\displaystyle E(\langle DF(X),\varphi \rangle )=E{\Bigl }.} 3205:,1]) which may be viewed as the derivative of the function 1137:{\displaystyle X=(\Omega ,{\mathcal {F}},P,{\mathcal {H}})} 1408:
exists a canonical irreducible Gaussian probability space
4054:. Thesis, Department of Mathematics, Princeton University 3988:
Stochastic Calculus of Variations in Mathematical Finance
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with respect to a suitable parallel shift of the process
2336:{\displaystyle \rho (h)=q\circ \tau _{j(h)}\circ q^{-1}.} 3179:{\displaystyle F(X)=E(F(X))+\int _{0}^{1}H_{t}\,dX_{t},} 2174:
we get a canonical representation of the additive group
3565:{\displaystyle E(\langle DF,u\rangle )=E(F\delta (u)),} 1563:
be the canonical Gaussian measure, by transferring the
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in the domain of the Malliavin derivative, we require
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by replacing the derivative kernel used above by the "
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has a strong derivative kernel, in the sense that for
1083:
The toy model of Malliavin calculus is an irreducible
3731: 3626: 3581: 3504: 3443: 3416: 3367: 3229: 3094: 2924: 2898: 2843: 2794: 2759: 2704: 2684: 2657: 2637: 2558: 2513: 2468: 2396: 2372: 2352: 2273: 2180: 2025: 1912: 1866: 1846: 1815: 1767: 1743: 1723: 1699: 1679: 1573: 1549: 1486: 1454: 1414: 1390: 1384:. On the other hand, for any separable Hilbert space 1366: 1342: 1287: 1257: 1195: 1150: 1092: 1051: 1031: 897: 695: 664: 594: 560: 375: 283: 165: 1437:{\displaystyle \operatorname {Seg} ({\mathcal {G}})} 878:{\displaystyle E(F(X+\varepsilon \varphi ))=E\left.} 648:{\displaystyle \varphi (t)=\int _{0}^{t}h_{s}\,ds.} 4002: 3791: 3696: 3609: 3564: 3483: 3429: 3380: 3342: 3178: 3074: 2904: 2880: 2829: 2780: 2720: 2690: 2670: 2643: 2620: 2541: 2495: 2454: 2382: 2358: 2335: 2252: 2163: 2011: 1895: 1860:, denote the map into the Cameron-Martin space by 1852: 1832: 1801: 1753: 1729: 1709: 1685: 1665: 1555: 1532: 1464: 1436: 1400: 1372: 1352: 1328: 1273: 1243: 1178: 1136: 1057: 1037: 1010: 877: 670: 647: 573: 543: 343: 269: 1000: 942: 104:. The calculus has applications in, for example, 4154: 3860:but its sources remain unclear because it lacks 3484:{\displaystyle L^{2}([0,\infty )\times \Omega )} 2926: 3826:. The calculus has applications for example in 3707:The existence of this adjoint follows from the 2788:, equipped with its canonical filtration. For 132:'s original proof was based on the theory of 77:'s original proof was based on the theory of 31:. In particular, it allows the computation of 2455:{\displaystyle \rho (h+h')=\rho (h)\rho (h')} 1896:{\displaystyle j:{\mathcal {H}}\to \ell ^{2}} 1072: 3639: 3627: 3526: 3511: 1802:{\displaystyle \tau _{\alpha }(x)=x+\alpha } 928: 904: 1833:{\displaystyle \mathbb {R} ^{\mathbb {N} }} 3981:J. Faculty Sci. Univ. Tokyo Sect. 1A Math. 1717:will define a quasi-automorphism group on 1179:{\displaystyle (\Omega ,{\mathcal {F}},P)} 65:implies the existence and smoothness of a 19:In probability theory and related fields, 4005:The Malliavin calculus and related topics 3974:J. Faculty Sci. Uni. Tokyo Sect. 1A Math. 3941: 3916: 3891:Learn how and when to remove this message 3772: 3684: 3323: 3159: 2823: 2105: 2087: 2081: 2060: 2054: 1824: 1818: 1651: 1630: 1612: 1606: 1585: 1579: 1526: 1495: 1489: 1144:. This is a (complete) probability space 984: 855: 788: 635: 531: 492: 453: 408: 319: 251: 196: 138:stochastic partial differential equations 83:stochastic partial differential equations 3220:This may be more concisely expressed by 39:. Malliavin calculus is also called the 4107:"An Introduction to Malliavin Calculus" 4000: 3388:in the above statement of the result. 143: 111: 4155: 3986:Malliavin, Paul and Thalmaier, Anton. 2881:{\displaystyle E(F(X)^{2})<\infty } 2731: 2496:{\displaystyle h,h'\in {\mathcal {H}}} 1476:and such that do depend on the choice 4133: 3391: 1281:are mean zero Gaussian variables and 4101: 4009:(Second ed.). Springer-Verlag. 3832: 3575:where the inner product is that on 2830:{\displaystyle F:C\to \mathbb {R} } 2721:{\displaystyle h\in {\mathcal {H}}} 1958: 1505: 1274:{\displaystyle H\in {\mathcal {H}}} 148:The usual invariance principle for 81:. The calculus has been applied to 13: 3757: 3655: 3601: 3475: 3466: 3410:case when the Hilbert space is an 3309: 3059: 3053: 2875: 2746:, which allows the process in the 2713: 2685: 2488: 2375: 2233: 2225: 2211: 2189: 2144: 2136: 2122: 2071: 2038: 1994: 1986: 1968: 1940: 1932: 1918: 1875: 1746: 1724: 1702: 1596: 1520: 1457: 1426: 1393: 1345: 1318: 1290: 1266: 1227: 1219: 1198: 1162: 1154: 1126: 1110: 1102: 515: 510: 476: 471: 431: 426: 395: 390: 297: 292: 228: 223: 179: 174: 57:Malliavin calculus is named after 14: 4194: 4083: 2888:which is Lipschitz and such that 2748:martingale representation theorem 27:from deterministic functions to 4089: 3837: 3822:to compute the sensitivities of 3610:{\displaystyle L^{2}[0,\infty )} 3193:is the previsible projection of 2346:One can show that the action of 1021:Here, the left-hand side is the 126:stochastic differential equation 100:to compute the sensitivities of 71:stochastic differential equation 61:whose ideas led to a proof that 3805: 2728:(acting on the endomorphisms). 2026: 2008: 354:This can be used to derive the 3935: 3910: 3741: 3735: 3681: 3675: 3669: 3663: 3604: 3592: 3556: 3553: 3547: 3538: 3529: 3508: 3478: 3469: 3457: 3454: 3320: 3287: 3263: 3260: 3254: 3248: 3239: 3233: 3128: 3125: 3119: 3113: 3104: 3098: 3046: 3040: 3034: 3019: 2990: 2987: 2981: 2972: 2957: 2951: 2933: 2869: 2860: 2853: 2847: 2819: 2816: 2804: 2775: 2763: 2590: 2581: 2567: 2542:{\displaystyle (\rho (h))_{h}} 2530: 2526: 2520: 2514: 2449: 2438: 2432: 2426: 2417: 2400: 2383:{\displaystyle {\mathcal {H}}} 2309: 2303: 2283: 2277: 2247: 2244: 2222: 2203: 2194: 2155: 2133: 2114: 2111: 2093: 2076: 2049: 2005: 1983: 1951: 1929: 1880: 1784: 1778: 1754:{\displaystyle {\mathcal {H}}} 1710:{\displaystyle {\mathcal {H}}} 1660: 1618: 1601: 1574: 1465:{\displaystyle {\mathcal {G}}} 1431: 1421: 1401:{\displaystyle {\mathcal {G}}} 1353:{\displaystyle {\mathcal {H}}} 1323: 1301: 1238: 1216: 1173: 1151: 1131: 1099: 956: 950: 931: 919: 913: 901: 746: 740: 723: 720: 705: 699: 604: 598: 446: 436: 332: 326: 316: 310: 264: 258: 248: 236: 209: 203: 193: 187: 134:partial differential equations 79:partial differential equations 1: 3903: 2651:is the identity operator and 1336:. If one chooses a basis for 3818:; this operation is used in 3709:Riesz representation theorem 96:; this operation is used in 7: 2560: 120:implies the existence of a 10: 4199: 3395: 2735: 1809:denote the translation on 1085:Gaussian probability space 1079:Gaussian probability space 1076: 1073:Gaussian probability space 4136:"The Malliavin Calculus" 4134:Zhang, H. (2004-11-11). 4041:Sanz-SolĂ©, Marta (2005) 3942:Malliavin, Paul (1997). 3917:Malliavin, Paul (1997). 3846:This article includes a 3718:It can be shown that if 3711:for linear operators on 2905:{\displaystyle \varphi } 1693:, the additive group of 1058:{\displaystyle \varphi } 4128:Lecture Notes, 43 pages 4001:Nualart, David (2006). 3875:more precise citations. 2691:{\displaystyle \Omega } 2505:infinitesimal generator 1853:{\displaystyle \alpha } 1730:{\displaystyle \Omega } 1673:into a numerical model 1556:{\displaystyle \gamma } 1186:together with a closed 1025:of the random variable 581:be a square-integrable 358:formula since, setting 4178:Calculus of variations 4094:Quotations related to 4048:Schiller, Alex (2009) 4025:The Malliavin Calculus 3793: 3698: 3611: 3566: 3485: 3431: 3382: 3344: 3180: 3076: 2906: 2882: 2831: 2782: 2722: 2692: 2672: 2645: 2622: 2543: 2497: 2456: 2384: 2360: 2337: 2254: 2165: 2013: 1897: 1854: 1834: 1803: 1755: 1731: 1711: 1687: 1667: 1565:Cameron-Martin theorem 1557: 1534: 1524: 1466: 1438: 1402: 1374: 1354: 1330: 1275: 1245: 1180: 1138: 1059: 1039: 1012: 879: 672: 649: 575: 545: 345: 271: 156:, the following holds 124:for the solution of a 69:for the solution of a 25:calculus of variations 3824:financial derivatives 3794: 3699: 3612: 3567: 3486: 3432: 3430:{\displaystyle L^{2}} 3383: 3381:{\displaystyle D_{t}} 3345: 3181: 3077: 2907: 2883: 2832: 2783: 2723: 2693: 2673: 2671:{\displaystyle M_{h}} 2646: 2623: 2544: 2498: 2457: 2385: 2361: 2359:{\displaystyle \rho } 2338: 2255: 2166: 2014: 1898: 1855: 1835: 1804: 1756: 1732: 1712: 1688: 1668: 1558: 1535: 1504: 1467: 1439: 1403: 1375: 1355: 1331: 1276: 1246: 1181: 1139: 1060: 1040: 1013: 880: 673: 650: 576: 574:{\displaystyle h_{s}} 546: 346: 272: 118:Hörmander's condition 102:financial derivatives 63:Hörmander's condition 4173:Mathematical finance 4023:Bell, Denis. (2007) 3828:stochastic filtering 3820:mathematical finance 3812:integration by parts 3810:The calculus allows 3729: 3624: 3579: 3502: 3441: 3414: 3365: 3359:Malliavin derivative 3227: 3092: 2922: 2896: 2841: 2792: 2757: 2702: 2682: 2655: 2635: 2556: 2511: 2466: 2394: 2370: 2350: 2271: 2178: 2023: 1910: 1864: 1844: 1813: 1765: 1741: 1721: 1697: 1677: 1571: 1547: 1484: 1452: 1412: 1388: 1364: 1340: 1285: 1255: 1193: 1148: 1090: 1049: 1029: 1023:Malliavin derivative 895: 693: 662: 592: 558: 373: 356:integration by parts 281: 163: 150:Lebesgue integration 144:Invariance principle 112:Overview and history 106:stochastic filtering 98:mathematical finance 90:integration by parts 88:The calculus allows 29:stochastic processes 4163:Stochastic calculus 3944:Stochastic Analysis 3919:Stochastic Analysis 3761: 3659: 3283: 3217:,1] of its domain. 3148: 3010: 2744:Clark–Ocone theorem 2738:Clark–Ocone theorem 2732:Clark–Ocone formula 973: 854: 839: 777: 624: 583:predictable process 519: 480: 435: 399: 301: 232: 183: 42:stochastic calculus 4183:Malliavin calculus 4096:Malliavin calculus 4058:Øksendal, Bernt K. 3848:list of references 3789: 3747: 3694: 3645: 3607: 3562: 3481: 3427: 3404:Skorokhod integral 3398:Skorokhod integral 3392:Skorokhod integral 3378: 3340: 3269: 3213:over the portion ( 3176: 3134: 3072: 2996: 2940: 2902: 2878: 2827: 2778: 2718: 2688: 2668: 2641: 2618: 2574: 2539: 2493: 2452: 2380: 2356: 2333: 2250: 2161: 2009: 1972: 1893: 1850: 1830: 1799: 1751: 1727: 1707: 1683: 1663: 1553: 1530: 1462: 1434: 1398: 1370: 1350: 1326: 1271: 1241: 1176: 1134: 1055: 1035: 1008: 959: 875: 840: 825: 763: 668: 645: 610: 571: 541: 502: 463: 418: 382: 341: 284: 267: 215: 166: 21:Malliavin calculus 4168:Integral calculus 4149:Thesis, 100 pages 4078:978-3-540-78571-2 4016:978-3-540-28328-7 3990:, Springer 2005, 3901: 3900: 3893: 3068: 3051: 2949: 2925: 2781:{\displaystyle C} 2644:{\displaystyle I} 2603: 2559: 1957: 1686:{\displaystyle X} 1373:{\displaystyle X} 1045:in the direction 1038:{\displaystyle F} 813: 671:{\displaystyle X} 4190: 4148: 4146: 4145: 4140: 4127: 4125: 4124: 4118: 4112:. Archived from 4111: 4093: 4070:Di Nunno, Giulia 4020: 4008: 3969:1982, pp 271–306 3958: 3957: 3939: 3933: 3932: 3914: 3896: 3889: 3885: 3882: 3876: 3871:this article by 3862:inline citations 3841: 3840: 3833: 3816:random variables 3798: 3796: 3795: 3790: 3785: 3784: 3771: 3770: 3760: 3755: 3722:is adapted then 3703: 3701: 3700: 3695: 3658: 3653: 3616: 3614: 3613: 3608: 3591: 3590: 3571: 3569: 3568: 3563: 3490: 3488: 3487: 3482: 3453: 3452: 3436: 3434: 3433: 3428: 3426: 3425: 3387: 3385: 3384: 3379: 3377: 3376: 3349: 3347: 3346: 3341: 3336: 3335: 3319: 3318: 3313: 3312: 3299: 3298: 3282: 3277: 3185: 3183: 3182: 3177: 3172: 3171: 3158: 3157: 3147: 3142: 3081: 3079: 3078: 3073: 3066: 3065: 3049: 3018: 3009: 3004: 2950: 2942: 2939: 2911: 2909: 2908: 2903: 2887: 2885: 2884: 2879: 2868: 2867: 2836: 2834: 2833: 2828: 2826: 2787: 2785: 2784: 2779: 2727: 2725: 2724: 2719: 2717: 2716: 2697: 2695: 2694: 2689: 2677: 2675: 2674: 2669: 2667: 2666: 2650: 2648: 2647: 2642: 2627: 2625: 2624: 2619: 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1500: 1499: 1498: 1492: 1471: 1469: 1468: 1463: 1461: 1460: 1443: 1441: 1440: 1435: 1430: 1429: 1407: 1405: 1404: 1399: 1397: 1396: 1379: 1377: 1376: 1371: 1359: 1357: 1356: 1351: 1349: 1348: 1335: 1333: 1332: 1327: 1322: 1321: 1294: 1293: 1280: 1278: 1277: 1272: 1270: 1269: 1250: 1248: 1247: 1242: 1231: 1230: 1215: 1214: 1202: 1201: 1185: 1183: 1182: 1177: 1166: 1165: 1143: 1141: 1140: 1135: 1130: 1129: 1114: 1113: 1064: 1062: 1061: 1056: 1044: 1042: 1041: 1036: 1017: 1015: 1014: 1009: 1004: 1003: 997: 996: 983: 982: 972: 967: 946: 945: 884: 882: 881: 876: 871: 867: 866: 862: 853: 848: 838: 833: 824: 823: 814: 806: 801: 800: 787: 786: 776: 771: 684:Girsanov theorem 677: 675: 674: 669: 654: 652: 651: 646: 634: 633: 623: 618: 580: 578: 577: 572: 570: 569: 550: 548: 547: 542: 527: 518: 513: 491: 479: 474: 452: 434: 429: 407: 398: 393: 350: 348: 347: 342: 309: 300: 295: 276: 274: 273: 268: 231: 226: 182: 177: 94:random variables 37:random variables 4198: 4197: 4193: 4192: 4191: 4189: 4188: 4187: 4153: 4152: 4143: 4141: 4138: 4122: 4120: 4116: 4109: 4086: 4017: 3983:, 34 pp 391–442 3962: 3961: 3954: 3940: 3936: 3929: 3915: 3911: 3906: 3897: 3886: 3880: 3877: 3866: 3852:related reading 3842: 3838: 3808: 3780: 3776: 3766: 3762: 3756: 3751: 3730: 3727: 3726: 3654: 3649: 3625: 3622: 3621: 3586: 3582: 3580: 3577: 3576: 3503: 3500: 3499: 3448: 3444: 3442: 3439: 3438: 3421: 3417: 3415: 3412: 3411: 3400: 3394: 3372: 3368: 3366: 3363: 3362: 3331: 3327: 3314: 3308: 3307: 3306: 3294: 3290: 3278: 3273: 3228: 3225: 3224: 3167: 3163: 3153: 3149: 3143: 3138: 3093: 3090: 3089: 3052: 3011: 3005: 3000: 2941: 2929: 2923: 2920: 2919: 2897: 2894: 2893: 2863: 2859: 2842: 2839: 2838: 2822: 2793: 2790: 2789: 2758: 2755: 2754: 2740: 2734: 2712: 2711: 2703: 2700: 2699: 2683: 2680: 2679: 2662: 2658: 2656: 2653: 2652: 2636: 2633: 2632: 2612: 2608: 2577: 2575: 2563: 2557: 2554: 2553: 2533: 2529: 2512: 2509: 2508: 2487: 2486: 2475: 2467: 2464: 2463: 2441: 2409: 2395: 2392: 2391: 2374: 2373: 2371: 2368: 2367: 2351: 2348: 2347: 2321: 2317: 2299: 2295: 2272: 2269: 2268: 2232: 2231: 2210: 2206: 2188: 2187: 2179: 2176: 2175: 2143: 2142: 2121: 2117: 2104: 2103: 2099: 2086: 2085: 2080: 2079: 2070: 2069: 2059: 2058: 2053: 2052: 2037: 2033: 2024: 2021: 2020: 1993: 1992: 1977: 1973: 1961: 1939: 1938: 1917: 1913: 1911: 1908: 1907: 1887: 1883: 1874: 1873: 1865: 1862: 1861: 1845: 1842: 1841: 1823: 1822: 1817: 1816: 1814: 1811: 1810: 1772: 1768: 1766: 1763: 1762: 1745: 1744: 1742: 1739: 1738: 1722: 1719: 1718: 1701: 1700: 1698: 1695: 1694: 1678: 1675: 1674: 1650: 1643: 1639: 1629: 1628: 1624: 1611: 1610: 1605: 1604: 1595: 1594: 1584: 1583: 1578: 1577: 1572: 1569: 1568: 1548: 1545: 1544: 1525: 1519: 1508: 1494: 1493: 1488: 1487: 1485: 1482: 1481: 1456: 1455: 1453: 1450: 1449: 1425: 1424: 1413: 1410: 1409: 1392: 1391: 1389: 1386: 1385: 1382:numerical model 1365: 1362: 1361: 1360:then one calls 1344: 1343: 1341: 1338: 1337: 1317: 1316: 1289: 1288: 1286: 1283: 1282: 1265: 1264: 1256: 1253: 1252: 1226: 1225: 1210: 1206: 1197: 1196: 1194: 1191: 1190: 1161: 1160: 1149: 1146: 1145: 1125: 1124: 1109: 1108: 1091: 1088: 1087: 1081: 1075: 1050: 1047: 1046: 1030: 1027: 1026: 999: 998: 992: 988: 978: 974: 968: 963: 941: 940: 896: 893: 892: 849: 844: 834: 829: 819: 815: 805: 796: 792: 782: 778: 772: 767: 759: 755: 736: 732: 694: 691: 690: 663: 660: 659: 629: 625: 619: 614: 593: 590: 589: 565: 561: 559: 556: 555: 520: 514: 506: 484: 475: 467: 445: 430: 422: 400: 394: 386: 374: 371: 370: 302: 296: 288: 282: 279: 278: 227: 219: 178: 170: 164: 161: 160: 146: 114: 52:Shinzo Watanabe 17: 12: 11: 5: 4196: 4186: 4185: 4180: 4175: 4170: 4165: 4151: 4150: 4130: 4129: 4105:(2005-04-10). 4103:Friz, Peter K. 4099: 4085: 4084:External links 4082: 4081: 4080: 4067: 4055: 4046: 4039: 4021: 4015: 3998: 3984: 3977: 3970: 3960: 3959: 3952: 3934: 3927: 3908: 3907: 3905: 3902: 3899: 3898: 3856:external links 3845: 3843: 3836: 3807: 3804: 3800: 3799: 3788: 3783: 3779: 3775: 3769: 3765: 3759: 3754: 3750: 3746: 3743: 3740: 3737: 3734: 3713:Hilbert spaces 3705: 3704: 3693: 3690: 3687: 3683: 3680: 3677: 3674: 3671: 3668: 3665: 3662: 3657: 3652: 3648: 3644: 3641: 3638: 3635: 3632: 3629: 3606: 3603: 3600: 3597: 3594: 3589: 3585: 3573: 3572: 3561: 3558: 3555: 3552: 3549: 3546: 3543: 3540: 3537: 3534: 3531: 3528: 3525: 3522: 3519: 3516: 3513: 3510: 3507: 3480: 3477: 3474: 3471: 3468: 3465: 3462: 3459: 3456: 3451: 3447: 3424: 3420: 3396:Main article: 3393: 3390: 3375: 3371: 3351: 3350: 3339: 3334: 3330: 3326: 3322: 3317: 3311: 3305: 3302: 3297: 3293: 3289: 3286: 3281: 3276: 3272: 3268: 3265: 3262: 3259: 3256: 3253: 3250: 3247: 3244: 3241: 3238: 3235: 3232: 3187: 3186: 3175: 3170: 3166: 3162: 3156: 3152: 3146: 3141: 3137: 3133: 3130: 3127: 3124: 3121: 3118: 3115: 3112: 3109: 3106: 3103: 3100: 3097: 3083: 3082: 3071: 3064: 3061: 3058: 3055: 3048: 3045: 3042: 3039: 3036: 3033: 3030: 3027: 3024: 3021: 3017: 3014: 3008: 3003: 2999: 2995: 2992: 2989: 2986: 2983: 2980: 2977: 2974: 2971: 2968: 2965: 2962: 2959: 2956: 2953: 2948: 2945: 2938: 2935: 2932: 2928: 2901: 2877: 2874: 2871: 2866: 2862: 2858: 2855: 2852: 2849: 2846: 2825: 2821: 2818: 2815: 2812: 2809: 2806: 2803: 2800: 2797: 2777: 2774: 2771: 2768: 2765: 2762: 2736:Main article: 2733: 2730: 2715: 2710: 2707: 2698:associated to 2687: 2665: 2661: 2640: 2629: 2628: 2615: 2611: 2607: 2602: 2598: 2595: 2592: 2589: 2586: 2583: 2580: 2572: 2569: 2566: 2562: 2536: 2532: 2528: 2525: 2522: 2519: 2516: 2490: 2485: 2481: 2478: 2474: 2471: 2451: 2447: 2444: 2440: 2437: 2434: 2431: 2428: 2425: 2422: 2419: 2415: 2412: 2408: 2405: 2402: 2399: 2377: 2355: 2344: 2343: 2332: 2327: 2324: 2320: 2316: 2311: 2308: 2305: 2302: 2298: 2294: 2291: 2288: 2285: 2282: 2279: 2276: 2260:acting on the 2249: 2246: 2243: 2240: 2235: 2230: 2227: 2224: 2219: 2216: 2213: 2209: 2205: 2202: 2199: 2196: 2191: 2186: 2183: 2172: 2171: 2160: 2157: 2154: 2151: 2146: 2141: 2138: 2135: 2130: 2127: 2124: 2120: 2116: 2113: 2107: 2102: 2098: 2095: 2089: 2083: 2078: 2073: 2068: 2062: 2056: 2051: 2046: 2043: 2040: 2036: 2032: 2029: 2007: 2004: 2001: 1996: 1991: 1988: 1985: 1980: 1976: 1970: 1967: 1964: 1960: 1956: 1953: 1950: 1947: 1942: 1937: 1934: 1931: 1926: 1923: 1920: 1916: 1890: 1886: 1882: 1877: 1872: 1869: 1849: 1826: 1820: 1798: 1795: 1792: 1789: 1786: 1783: 1780: 1775: 1771: 1748: 1726: 1704: 1682: 1662: 1659: 1653: 1649: 1646: 1642: 1638: 1632: 1627: 1623: 1620: 1614: 1608: 1603: 1598: 1593: 1587: 1581: 1576: 1552: 1528: 1522: 1517: 1514: 1511: 1507: 1503: 1497: 1491: 1459: 1433: 1428: 1423: 1420: 1417: 1395: 1369: 1347: 1325: 1320: 1315: 1312: 1309: 1306: 1303: 1300: 1297: 1292: 1268: 1263: 1260: 1251:such that all 1240: 1237: 1234: 1229: 1224: 1221: 1218: 1213: 1209: 1205: 1200: 1175: 1172: 1169: 1164: 1159: 1156: 1153: 1133: 1128: 1123: 1120: 1117: 1112: 1107: 1104: 1101: 1098: 1095: 1077:Main article: 1074: 1071: 1054: 1034: 1019: 1018: 1007: 1002: 995: 991: 987: 981: 977: 971: 966: 962: 958: 955: 952: 949: 944: 939: 936: 933: 930: 927: 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4131: 4119:on 2007-04-17 4115: 4108: 4104: 4100: 4097: 4092: 4088: 4087: 4079: 4075: 4071: 4068: 4065: 4064: 4059: 4056: 4053: 4052: 4047: 4044: 4040: 4038: 4034: 4033:0-486-44994-7 4030: 4026: 4022: 4018: 4012: 4007: 4006: 3999: 3997: 3996:3-540-43431-3 3993: 3989: 3985: 3982: 3978: 3975: 3971: 3968: 3964: 3963: 3955: 3953:3-540-57024-1 3949: 3945: 3938: 3930: 3928:3-540-57024-1 3924: 3920: 3913: 3909: 3895: 3892: 3884: 3874: 3870: 3864: 3863: 3857: 3853: 3849: 3844: 3835: 3834: 3831: 3829: 3825: 3821: 3817: 3813: 3803: 3786: 3781: 3777: 3773: 3767: 3763: 3752: 3748: 3744: 3738: 3732: 3725: 3724: 3723: 3721: 3716: 3714: 3710: 3691: 3688: 3685: 3678: 3672: 3666: 3660: 3650: 3646: 3642: 3636: 3633: 3630: 3620: 3619: 3618: 3598: 3595: 3587: 3583: 3559: 3550: 3544: 3541: 3535: 3532: 3523: 3520: 3517: 3514: 3505: 3498: 3497: 3496: 3494: 3472: 3463: 3460: 3449: 3445: 3422: 3418: 3409: 3405: 3399: 3389: 3373: 3369: 3360: 3356: 3337: 3332: 3328: 3324: 3315: 3303: 3300: 3295: 3291: 3284: 3279: 3274: 3270: 3266: 3257: 3251: 3245: 3242: 3236: 3230: 3223: 3222: 3221: 3218: 3216: 3212: 3208: 3204: 3200: 3196: 3192: 3173: 3168: 3164: 3160: 3154: 3150: 3144: 3139: 3135: 3131: 3122: 3116: 3110: 3107: 3101: 3095: 3088: 3087: 3086: 3069: 3062: 3056: 3043: 3037: 3031: 3028: 3025: 3022: 3015: 3012: 3006: 3001: 2997: 2993: 2984: 2978: 2975: 2969: 2966: 2963: 2960: 2954: 2946: 2943: 2936: 2930: 2918: 2917: 2916: 2915: 2899: 2891: 2872: 2864: 2856: 2850: 2844: 2813: 2810: 2807: 2801: 2798: 2795: 2772: 2769: 2766: 2760: 2751: 2749: 2745: 2739: 2729: 2708: 2705: 2663: 2659: 2638: 2613: 2609: 2605: 2600: 2596: 2593: 2587: 2584: 2578: 2570: 2564: 2552: 2551: 2550: 2534: 2523: 2517: 2506: 2483: 2479: 2476: 2472: 2469: 2445: 2442: 2435: 2429: 2423: 2420: 2413: 2410: 2406: 2403: 2397: 2353: 2330: 2325: 2322: 2318: 2314: 2306: 2300: 2296: 2292: 2289: 2286: 2280: 2274: 2267: 2266: 2265: 2263: 2262:endomorphisms 2241: 2238: 2228: 2217: 2214: 2207: 2200: 2197: 2184: 2181: 2158: 2152: 2149: 2139: 2128: 2125: 2118: 2100: 2096: 2066: 2044: 2041: 2034: 2030: 2027: 2002: 1999: 1989: 1978: 1974: 1965: 1962: 1954: 1948: 1945: 1935: 1924: 1921: 1914: 1906: 1905: 1904: 1888: 1884: 1870: 1867: 1847: 1796: 1793: 1790: 1787: 1781: 1773: 1769: 1680: 1657: 1647: 1644: 1640: 1636: 1625: 1621: 1591: 1566: 1550: 1541: 1515: 1512: 1509: 1501: 1479: 1475: 1447: 1418: 1415: 1383: 1367: 1313: 1310: 1307: 1304: 1298: 1295: 1261: 1258: 1235: 1232: 1222: 1211: 1207: 1203: 1189: 1170: 1167: 1157: 1121: 1118: 1115: 1105: 1096: 1093: 1086: 1080: 1070: 1068: 1052: 1032: 1024: 1005: 993: 989: 985: 979: 975: 969: 964: 960: 953: 947: 937: 934: 925: 922: 916: 910: 907: 898: 891: 890: 889: 872: 868: 863: 859: 856: 850: 845: 841: 835: 830: 826: 820: 816: 810: 807: 802: 797: 793: 789: 783: 779: 773: 768: 764: 760: 756: 752: 749: 743: 737: 733: 729: 726: 717: 714: 711: 708: 702: 696: 689: 688: 687: 685: 681: 665: 642: 639: 636: 630: 626: 620: 615: 611: 607: 601: 595: 588: 587: 586: 584: 566: 562: 538: 535: 532: 528: 524: 521: 507: 503: 499: 496: 493: 488: 485: 481: 468: 464: 460: 457: 454: 449: 442: 439: 423: 419: 415: 412: 409: 404: 401: 387: 383: 379: 376: 369: 368: 367: 366:, it implies 365: 361: 357: 338: 335: 329: 323: 320: 313: 306: 303: 289: 285: 261: 255: 252: 245: 242: 239: 233: 220: 216: 212: 206: 200: 197: 190: 184: 171: 167: 159: 158: 157: 155: 151: 141: 139: 135: 131: 127: 123: 119: 109: 107: 103: 99: 95: 91: 86: 84: 80: 76: 72: 68: 64: 60: 55: 53: 49: 45: 44:of variations 43: 38: 34: 30: 26: 22: 4142:. Retrieved 4121:. Retrieved 4114:the original 4098:at Wikiquote 4062: 4050: 4042: 4024: 4004: 3987: 3980: 3976:, 32 pp 1–76 3973: 3966: 3943: 3937: 3918: 3912: 3887: 3878: 3867:Please help 3859: 3809: 3806:Applications 3801: 3719: 3717: 3706: 3574: 3492: 3401: 3354: 3352: 3219: 3214: 3210: 3206: 3202: 3198: 3194: 3190: 3188: 3084: 2913: 2889: 2752: 2741: 2630: 2503:and for the 2345: 2264:by defining 2173: 1542: 1477: 1473: 1445: 1381: 1082: 1067:ItĂŽ integral 1020: 887: 657: 553: 363: 359: 353: 153: 147: 115: 87: 56: 40: 20: 18: 3873:introducing 3408:white noise 2837:satisfying 1446:Segal model 48:J-M. Bismut 33:derivatives 4157:Categories 4144:2004-11-11 4123:2007-07-23 3904:References 3361:" denoted 2390:, further 1444:named the 277:and hence 4027:, Dover. 3881:June 2011 3758:∞ 3749:∫ 3733:δ 3656:∞ 3647:∫ 3640:⟩ 3628:⟨ 3602:∞ 3545:δ 3527:⟩ 3512:⟨ 3476:Ω 3473:× 3467:∞ 3304:∣ 3271:∫ 3136:∫ 3038:φ 2998:∫ 2976:− 2970:φ 2967:ε 2947:ε 2934:→ 2931:ε 2900:φ 2876:∞ 2820:→ 2709:∈ 2686:Ω 2601:ε 2594:− 2585:ε 2579:ρ 2568:→ 2565:ε 2518:ρ 2484:∈ 2436:ρ 2424:ρ 2398:ρ 2354:ρ 2323:− 2315:∘ 2297:τ 2293:∘ 2275:ρ 2226:Ω 2215:− 2212:∞ 2201:⁡ 2195:→ 2182:ρ 2137:Ω 2126:− 2123:∞ 2115:→ 2101:γ 2042:− 2039:∞ 1987:Ω 1969:∞ 1959:⋂ 1933:Ω 1922:− 1919:∞ 1903:, denote 1885:ℓ 1881:→ 1848:α 1797:α 1774:α 1770:τ 1725:Ω 1658:γ 1648:∈ 1641:⊗ 1626:γ 1551:γ 1521:∞ 1506:∏ 1478:extrensic 1474:intrinsic 1419:⁡ 1314:∈ 1299:σ 1262:∈ 1220:Ω 1204:⊂ 1155:Ω 1103:Ω 1053:φ 961:∫ 929:⟩ 926:φ 905:⟨ 827:∫ 817:ε 803:− 765:∫ 761:ε 753:⁡ 718:φ 715:ε 612:∫ 596:φ 536:λ 516:∞ 511:∞ 508:− 504:∫ 497:λ 477:∞ 472:∞ 469:− 465:∫ 458:λ 432:∞ 427:∞ 424:− 420:∫ 413:λ 396:∞ 391:∞ 388:− 384:∫ 324:λ 298:∞ 293:∞ 290:− 286:∫ 256:λ 246:ε 229:∞ 224:∞ 221:− 217:∫ 201:λ 180:∞ 175:∞ 172:− 168:∫ 130:Hörmander 85:as well. 75:Hörmander 3016:′ 2480:′ 2446:′ 2414:′ 1188:subspace 585:and set 525:′ 489:′ 450:′ 405:′ 307:′ 4060:(1997) 3869:improve 1448:having 122:density 67:density 4076:  4031:  4013:  3994:  3950:  3925:  3491:, for 3189:where 3067:  3050:  2631:where 1761:, let 682:, the 4139:(PDF) 4117:(PDF) 4110:(PDF) 4037:ebook 3854:, or 3814:with 3085:then 2549:that 1567:from 678:is a 92:with 4074:ISBN 4029:ISBN 4011:ISBN 3992:ISBN 3948:ISBN 3923:ISBN 3617:viz 3402:The 2873:< 2462:for 2019:and 1966:< 1543:Let 3201:, ( 2927:lim 2912:in 2561:lim 2507:of 2198:End 1840:by 1416:Seg 750:exp 658:If 35:of 4159:: 4035:; 3858:, 3850:, 3830:. 3715:. 3197:'( 1540:. 1380:a 1069:. 364:gh 362:= 339:0. 140:. 128:; 108:. 73:; 50:, 4147:. 4126:. 4019:. 3956:. 3931:. 3894:) 3888:( 3883:) 3879:( 3865:. 3787:, 3782:t 3778:W 3774:d 3768:t 3764:u 3753:0 3745:= 3742:) 3739:u 3736:( 3720:u 3692:. 3689:s 3686:d 3682:) 3679:s 3676:( 3673:g 3670:) 3667:s 3664:( 3661:f 3651:0 3643:= 3637:g 3634:, 3631:f 3605:) 3599:, 3596:0 3593:[ 3588:2 3584:L 3560:, 3557:) 3554:) 3551:u 3548:( 3542:F 3539:( 3536:E 3533:= 3530:) 3524:u 3521:, 3518:F 3515:D 3509:( 3506:E 3493:F 3479:) 3470:) 3464:, 3461:0 3458:[ 3455:( 3450:2 3446:L 3423:2 3419:L 3374:t 3370:D 3355:F 3338:. 3333:t 3329:X 3325:d 3321:) 3316:t 3310:F 3301:F 3296:t 3292:D 3288:( 3285:E 3280:1 3275:0 3267:+ 3264:) 3261:) 3258:X 3255:( 3252:F 3249:( 3246:E 3243:= 3240:) 3237:X 3234:( 3231:F 3215:t 3211:X 3207:F 3203:t 3199:x 3195:F 3191:H 3174:, 3169:t 3165:X 3161:d 3155:t 3151:H 3145:1 3140:0 3132:+ 3129:) 3126:) 3123:X 3120:( 3117:F 3114:( 3111:E 3108:= 3105:) 3102:X 3099:( 3096:F 3070:X 3063:. 3060:e 3057:. 3054:a 3047:) 3044:t 3041:( 3035:) 3032:t 3029:d 3026:, 3023:X 3020:( 3013:F 3007:1 3002:0 2994:= 2991:) 2988:) 2985:X 2982:( 2979:F 2973:) 2964:+ 2961:X 2958:( 2955:F 2952:( 2944:1 2937:0 2914:C 2890:F 2870:) 2865:2 2861:) 2857:X 2854:( 2851:F 2848:( 2845:E 2824:R 2817:] 2814:1 2811:, 2808:0 2805:[ 2802:C 2799:: 2796:F 2776:] 2773:1 2770:, 2767:0 2764:[ 2761:C 2714:H 2706:h 2664:h 2660:M 2639:I 2614:h 2610:M 2606:= 2597:I 2591:) 2588:h 2582:( 2571:0 2535:h 2531:) 2527:) 2524:h 2521:( 2515:( 2489:H 2477:h 2473:, 2470:h 2450:) 2443:h 2439:( 2433:) 2430:h 2427:( 2421:= 2418:) 2411:h 2407:+ 2404:h 2401:( 2376:H 2331:. 2326:1 2319:q 2310:) 2307:h 2304:( 2301:j 2290:q 2287:= 2284:) 2281:h 2278:( 2248:) 2245:) 2242:P 2239:, 2234:F 2229:, 2223:( 2218:0 2208:L 2204:( 2190:H 2185:: 2159:, 2156:) 2153:P 2150:, 2145:F 2140:, 2134:( 2129:0 2119:L 2112:) 2106:N 2097:, 2094:) 2088:N 2082:R 2077:( 2072:B 2067:, 2061:N 2055:R 2050:( 2045:0 2035:L 2031:: 2028:q 2006:) 2003:P 2000:, 1995:F 1990:, 1984:( 1979:p 1975:L 1963:p 1955:= 1952:) 1949:P 1946:, 1941:F 1936:, 1930:( 1925:0 1915:L 1889:2 1876:H 1871:: 1868:j 1825:N 1819:R 1794:+ 1791:x 1788:= 1785:) 1782:x 1779:( 1747:H 1703:H 1681:X 1661:) 1652:N 1645:n 1637:= 1631:N 1622:, 1619:) 1613:N 1607:R 1602:( 1597:B 1592:, 1586:N 1580:R 1575:( 1527:R 1516:1 1513:= 1510:i 1502:= 1496:N 1490:R 1458:G 1432:) 1427:G 1422:( 1394:G 1368:X 1346:H 1324:) 1319:H 1311:H 1308:: 1305:H 1302:( 1296:= 1291:F 1267:H 1259:H 1239:) 1236:P 1233:, 1228:F 1223:, 1217:( 1212:2 1208:L 1199:H 1174:) 1171:P 1168:, 1163:F 1158:, 1152:( 1132:) 1127:H 1122:, 1119:P 1116:, 1111:F 1106:, 1100:( 1097:= 1094:X 1033:F 1006:. 1001:] 994:s 990:X 986:d 980:s 976:h 970:1 965:0 957:) 954:X 951:( 948:F 943:[ 938:E 935:= 932:) 923:, 920:) 917:X 914:( 911:F 908:D 902:( 899:E 873:. 869:] 864:) 860:s 857:d 851:2 846:s 842:h 836:1 831:0 821:2 811:2 808:1 798:s 794:X 790:d 784:s 780:h 774:1 769:0 757:( 747:) 744:X 741:( 738:F 734:[ 730:E 727:= 724:) 721:) 712:+ 709:X 706:( 703:F 700:( 697:E 666:X 643:. 640:s 637:d 631:s 627:h 621:t 616:0 608:= 605:) 602:t 599:( 567:s 563:h 539:. 533:d 529:h 522:g 500:+ 494:d 486:h 482:g 461:= 455:d 447:) 443:h 440:g 437:( 416:= 410:d 402:f 380:= 377:0 360:f 336:= 333:) 330:x 327:( 321:d 317:) 314:x 311:( 304:f 265:) 262:x 259:( 253:d 249:) 243:+ 240:x 237:( 234:f 213:= 210:) 207:x 204:( 198:d 194:) 191:x 188:( 185:f 154:f

Index

calculus of variations
stochastic processes
derivatives
random variables
stochastic calculus
J-M. Bismut
Shinzo Watanabe
Paul Malliavin
Hörmander's condition
density
stochastic differential equation
Hörmander
partial differential equations
stochastic partial differential equations
integration by parts
random variables
mathematical finance
financial derivatives
stochastic filtering
Hörmander's condition
density
stochastic differential equation
Hörmander
partial differential equations
stochastic partial differential equations
Lebesgue integration
integration by parts
predictable process
Wiener process
Girsanov theorem

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