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Tools for Malliavin calculus in UMD Banach spaces
Malliavin calculus Skorohod integral anticipating processes Meyer inequalities UMD Banach space type 2 space chain rule
2012/4/16
In this paper we study the Malliavin derivatives and Skorohod integrals for processes taking values in an infinite dimensional space. Such results are motivated by their applications to SPDEs and in p...
Malliavin Calculus and Self Normalized Sums
Malliavin calculus multiple stochastic integrals Steinn’s method self-normalized sums limit theorems
2011/8/23
Abstract: We study the self-normalized sums of independent random variables from the perspective of the Malliavin calculus. We give the chaotic expansion for them and we prove a Berry-Ess\'een bound w...
American Options Based on Malliavin Calculus and Nonparametric Variance Reduction Methods
American Options Malliavin Calculus Monte Carlo GPU
2011/7/25
Abstract: This paper is devoted to pricing American options using Monte Carlo and the Malliavin calculus. Unlike the majority of articles related to this topic, in this work we will not use localizati...
Berry-Esséen Bounds for Long Memory Moving Averages via Stein's Method and Malliavin Calculus
limit theorems long memory moving average multiple stochastic integrals Malliavin calculus weak convergence
2010/12/1
Using the Stein method on Wiener chaos introduced in [10] we prove Berry-Ess´een bounds for long memory moving averages.
Malliavin calculus for stable processes on Heisenberg group
Malliavin calculus stable processes Heisenberg group
2009/9/23
Malliavin calculus for stable processes on Heisenberg group。
Time dependent Malliavin calculus on manifolds and application to nonlinear filtering
Time dependent Malliavin calculus application to nonlinear filtering
2009/9/22
In this paper, we prove, using Malliavin calculus, that
under a global Hormander condition the law of a Riemannian manifold
valued stochastic process, a solution of a stochastic differential
equati...