Generalized Operators of Malliavin Calculus

Abstract:

In this chapter we extend Malliavin calculus from the classical finite variance setting to generalized processes with infinite variance and their corresponding test processes. The domain and range of the main operators of Malliavin calculuss are characterized on spaces of test and generalized processes. Some properties, such as integration by parts formula, the product rules with respect to ordinary and Wick multiplication and the chain rule are proved.

Año de publicación:

2017

Keywords:

Fuente:

scopus