Statements (27)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
gptkb:stochastic_process
|
| gptkbp:alsoKnownAs |
stochastic calculus of variations
|
| gptkbp:application |
mathematical finance
partial differential equations quantitative finance stochastic partial differential equations |
| gptkbp:field |
gptkb:mathematics
gptkb:probability_theory stochastic analysis |
| gptkbp:hasConcept |
gptkb:Malliavin_derivative
integration by parts formula |
| https://www.w3.org/2000/01/rdf-schema#label |
Malliavin calculus
|
| gptkbp:introducedIn |
1970s
|
| gptkbp:namedAfter |
gptkb:Paul_Malliavin
|
| gptkbp:notableAchievement |
gptkb:Hörmander's_theorem
criteria for smoothness of densities |
| gptkbp:relatedTo |
gptkb:Itô_calculus
gptkb:Wiener_process gptkb:Sobolev_spaces Brownian motion functional analysis |
| gptkbp:usedFor |
analysis of smoothness of probability laws
differentiation on Wiener space study of stochastic differential equations |
| gptkbp:bfsParent |
gptkb:Paul_Malliavin
gptkb:Bismut–Elworthy–Li_formula |
| gptkbp:bfsLayer |
5
|