Malliavin Calculus for a general manifold
Malliavin calculus for stable processes on homogeneous groups
Let be a symmetric semigroup of stable measures on a homogeneous group, with smooth Lévy measure. Applying Malliavin calculus for jump processes we prove that the measures have smooth densities.
Malliavin calculus in Lev́y spaces and applications to finance.
Malliavin method for optimal investment in financial markets with memory
We consider a financial market with memory effects in which wealth processes are driven by mean-field stochastic Volterra equations. In this financial market, the classical dynamic programming method can not be used to study the optimal investment problem, because the solution of mean-field stochastic Volterra equation is not a Markov process. In this paper, a new method through Malliavin calculus introduced in [1], can be used to obtain the optimal investment in a Volterra type financial market....
Markov dilation of diffusion type processes and its application to the financial mathematics.
Martingale representation and a simple proof of logarithmic Sobolev inequalities on path spaces.
Moment identities for Skorohod integrals on the Wiener space and applications.
Multivariate normal approximation using Stein’s method and Malliavin calculus
We combine Stein’s method with Malliavin calculus in order to obtain explicit bounds in the multidimensional normal approximation (in the Wasserstein distance) of functionals of gaussian fields. Among several examples, we provide an application to a functional version of the Breuer–Major CLT for fields subordinated to a fractional brownian motion.