Large Deviations and The Malliavin Calculus / by Bismut, Jean-Michel, author 224464

Malliavin calculus in a binomial framework by Cohen, S, Elliott, R, Siu, T

“…Martingale representation, backward stochastic differential equations, and the Malliavin calculus are difficult concepts in a continuous‐time setting. …”

An application of the Malliavin calculus to infinite dimensional diffusions by Clemens, Laura E

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Characterization of stochastic equilibrium controls by the Malliavin calculus by Nguwi, Jiang Yu, Privault, Nicolas

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Gaussian lower bounds for the density via Malliavin calculus by Nguyen, Tien Dung

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Grid-free computation of probabilistic safety with Malliavin calculus by Cosentino, F, Oberhauser, H, Abate, A

“…The approach introduces a functional that is minimised at the border of the probabilistic safety region, then solves an optimisation problem using techniques from Malliavin Calculus, which computes such region. Unlike existing results in the literature, the new approach allows one to compute probabilistic safety regions without gridding the state space of the SDE.…”

Gaussian approximation of functionals: Malliavin calculus and Stein's method by Reinert, G

Applications of Malliavin calculus to the pricing and hedging of Bermudan options by Newbury, J

“…This paper specifically deals with how the powerful tools of Malliavin calculus are applied in the derivation of such representation formulas, and looks at how the latter are subsequently used in the pricing and hedging algorithm. …”

Grid-free computation of probabilistic safety with Malliavin Calculus by Cosentino, F, Oberhauser, H, Abate, A

“…The approach introduces a functional that is minimised at the border of the probabilistic safety region, then solves an optimisation problem using techniques from Malliavin Calculus, which computes such region. Unlike existing results in the literature, the new approach allows one to compute probabilistic safety regions without gridding the state space of the SDE.…”

Malliavin Calculus and Its Application to Robust Optimal Investment for an Insider by Chao Yu, Yuhan Cheng

Subjects: “…Malliavin calculus…”
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Malliavin Calculus Method for Asymptotic Expansion of Dual Control Problems by Monoyios, M

Sample paths of some Gaussian processes via Malliavin calculus by Li, J

“…<p>In this thesis, we study the sample paths of some Gaussian processes using the methods from Malliavin calculus. To be more specific, we consider several interesting properties of fractional Brownian motion sample paths in the context of both probability measures and capacities. …”

Application of fuzzy Malliavin calculus in hedging fixed strike lookback option by Kefan Liu, Jingyao Chen, Jichao Zhang, Yueting Yang

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Infinite dimensionality results for trajectory MAP estimation based on the Malliavin calculus

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A mean-field stochastic maximum principle via Malliavin calculus by Meyer-Brandis, T, Øksendal, B, Zhou, X

“…All the system coefficients and the objective performance functional are allowed to be random, possibly non-Markovian. Malliavin calculus is employed to derive a maximum principle for the optimal control of such a system where the adjoint process is explicitly expressed. © 2012 Copyright Taylor and Francis Group, LLC.…”

Pricing cumulative loss derivatives under additive models via Malliavin calculus by Mohammed El-arbi Khalfallah, Mohammed Lakhdar Hadji, Josep Vives

“…The formulas given in the present paper, obtained by simple proofs, generalize the formulas given in a recent paper by Hillairet, Jiao and Réveillac using Malliavin calculus techniques for the standard Poisson process, a particular case of additive process. …”
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Bound for an Approximation of Invariant Density of Diffusions via Density Formula in Malliavin Calculus by Yoon-Tae Kim, Hyun-Suk Park

Subjects: “…Malliavin calculus…”
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Nash Equilibrium of Stochastic Partial Differential Game with Partial Information via Malliavin Calculus by Gaofeng Zong

“…We find an explicit strong solution of the linear stochastic partial differential equation with a generalized probabilistic representation for this solution with the benefit of Kunita’s stochastic flow theory. We use Malliavin calculus to derive a stochastic maximum principle for the optimal control and obtain the Nash equilibrium of this type of stochastic differential game problem.…”
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A Stochastic Poisson Structure by Rémi Léandre

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Third cumulant stein approximation for Poisson stochastic integrals by Privault, Nicolas

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