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1-6 of 6 results for Malliavin calculus

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Research article

First published 2024-10-3

New asymptotic expansion formula via Malliavin calculus and its application to rough differential equation driven by fractional Brownian motion

Akihiko Takahashi, Toshihiro Yamada

Asymptotic Analysis

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Research article

First published 2026

Quantitative Homogenization for Log-Normal Coefficients via Malliavin Calculus: The One-Dimensional Case

Antoine Gloria, Siguang Qi

Asymptotic Analysis

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Research article

First published 2011-11

Monte Carlo methods for pricing and hedging American options in high dimension

Lucia Caramellino, Antonino Zanette

Risk and Decision Analysis

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Research article

First published 2018-8-26

Fuzzy Malliavin derivative and linear Skorohod fuzzy stochastic differential equation

Hossein Jafari, Hamed Farahani, Mahmoud Paripour

Journal of Intelligent & Fuzzy Systems: Applications in Engineering and Technology

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Research article

First published 2023-2

Discrete Bismut formula: Conditional integration by parts and a representation for delta hedging process

Naho Akiyama, Toshihiro Yamada

Risk and Decision Analysis

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Research article

First published 2020-9-7

Oscillatory Breuer–Major theorem with application to the random corrector problem

David Nualart, Guangqu Zheng

Asymptotic Analysis