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- Malliavin_calculus abstract "The Malliavin calculus, named after Paul Malliavin, extends the calculus of variations from functions to stochastic processes. The Malliavin calculus is also called the stochastic calculus of variations. In particular, it allows the computation of derivatives of random variables.Malliavin's ideas led to a proof that Hörmander's condition implies the existence and smoothness of a density for the solution of a stochastic differential equation; Hörmander's original proof was based on the theory of partial differential equations. The calculus has been applied to stochastic partial differential equations as well.The calculus allows integration by parts with random variables; this operation is used in mathematical finance to compute the sensitivities of financial derivatives. The calculus has applications in, for example, stochastic filtering.".
- Malliavin_calculus wikiPageExternalLink PhD_thesis_on_Malliavin_Calculus_incl_copy_of_FO.pdf.
- Malliavin_calculus wikiPageExternalLink mall.pdf.
- Malliavin_calculus wikiPageExternalLink mall.pdf.
- Malliavin_calculus wikiPageExternalLink Thesis.pdf.
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- Malliavin_calculus wikiPageWikiLink Bernt_Øksendal.
- Malliavin_calculus wikiPageWikiLink Calculus_of_variations.
- Malliavin_calculus wikiPageWikiLink Category:Calculus_of_variations.
- Malliavin_calculus wikiPageWikiLink Category:Integral_calculus.
- Malliavin_calculus wikiPageWikiLink Category:Mathematical_finance.
- Malliavin_calculus wikiPageWikiLink Category:Stochastic_calculus.
- Malliavin_calculus wikiPageWikiLink Clark-Ocone_theorem.
- Malliavin_calculus wikiPageWikiLink Clark–Ocone_theorem.
- Malliavin_calculus wikiPageWikiLink Derivative.
- Malliavin_calculus wikiPageWikiLink Derivative_(finance).
- Malliavin_calculus wikiPageWikiLink Girsanov_theorem.
- Malliavin_calculus wikiPageWikiLink Hilbert_space.
- Malliavin_calculus wikiPageWikiLink Hilbert_spaces.
- Malliavin_calculus wikiPageWikiLink Hxc3xb6rmanders_condition.
- Malliavin_calculus wikiPageWikiLink Integration_by_parts.
- Malliavin_calculus wikiPageWikiLink Itô_calculus.
- Malliavin_calculus wikiPageWikiLink Itô_integral.
- Malliavin_calculus wikiPageWikiLink Lars_Hörmander.
- Malliavin_calculus wikiPageWikiLink Lebesgue_integration.
- Malliavin_calculus wikiPageWikiLink Malliavin_derivative.
- Malliavin_calculus wikiPageWikiLink Martingale_representation_theorem.
- Malliavin_calculus wikiPageWikiLink Mathematical_finance.
- Malliavin_calculus wikiPageWikiLink Partial_differential_equation.
- Malliavin_calculus wikiPageWikiLink Paul_Malliavin.
- Malliavin_calculus wikiPageWikiLink Predictable_process.
- Malliavin_calculus wikiPageWikiLink Probability_density_function.
- Malliavin_calculus wikiPageWikiLink Random_variable.
- Malliavin_calculus wikiPageWikiLink Riesz_representation_theorem.
- Malliavin_calculus wikiPageWikiLink Skorokhod_integral.
- Malliavin_calculus wikiPageWikiLink Stochastic_calculus.
- Malliavin_calculus wikiPageWikiLink Stochastic_control.
- Malliavin_calculus wikiPageWikiLink Stochastic_differential_equation.
- Malliavin_calculus wikiPageWikiLink Stochastic_filtering.
- Malliavin_calculus wikiPageWikiLink Stochastic_partial_differential_equation.
- Malliavin_calculus wikiPageWikiLink Stochastic_process.
- Malliavin_calculus wikiPageWikiLink Stochastic_processes.
- Malliavin_calculus wikiPageWikiLink Wiener_process.
- Malliavin_calculus wikiPageWikiLinkText "Malliavin calculus".
- Malliavin_calculus wikiPageWikiLinkText "Stochastic calculus of variations".
- Malliavin_calculus hasPhotoCollection Malliavin_calculus.
- Malliavin_calculus wikiPageUsesTemplate Template:Citation_needed.
- Malliavin_calculus wikiPageUsesTemplate Template:Cite_book.
- Malliavin_calculus wikiPageUsesTemplate Template:Cite_web.
- Malliavin_calculus wikiPageUsesTemplate Template:Main.
- Malliavin_calculus wikiPageUsesTemplate Template:No_footnotes.
- Malliavin_calculus subject Category:Calculus_of_variations.
- Malliavin_calculus subject Category:Integral_calculus.
- Malliavin_calculus subject Category:Mathematical_finance.
- Malliavin_calculus subject Category:Stochastic_calculus.
- Malliavin_calculus type Article.
- Malliavin_calculus type Article.
- Malliavin_calculus type Field.
- Malliavin_calculus type Occupation.
- Malliavin_calculus type Physic.
- Malliavin_calculus type Process.
- Malliavin_calculus comment "The Malliavin calculus, named after Paul Malliavin, extends the calculus of variations from functions to stochastic processes. The Malliavin calculus is also called the stochastic calculus of variations.".
- Malliavin_calculus label "Malliavin calculus".
- Malliavin_calculus sameAs Cálculo_variacional_de_Malliavin.
- Malliavin_calculus sameAs m.03fs26.
- Malliavin_calculus sameAs Q6744166.
- Malliavin_calculus sameAs Q6744166.
- Malliavin_calculus wasDerivedFrom Malliavin_calculus?oldid=674724589.
- Malliavin_calculus isPrimaryTopicOf Malliavin_calculus.