Application du calcul de Malliavin aux équations différentielles stochastiques sur le plan

David Nualart

Séminaire de probabilités de Strasbourg (1986)

  • Volume: 20, page 379-395

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Nualart, David. "Application du calcul de Malliavin aux équations différentielles stochastiques sur le plan." Séminaire de probabilités de Strasbourg 20 (1986): 379-395. <http://eudml.org/doc/113558>.

@article{Nualart1986,
author = {Nualart, David},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {two-parameter process; two-parameter Wiener process; Malliavin's techniques; non-degeneracy conditions on the coefficients; absolute continuity of the law},
language = {fre},
pages = {379-395},
publisher = {Springer - Lecture Notes in Mathematics},
title = {Application du calcul de Malliavin aux équations différentielles stochastiques sur le plan},
url = {http://eudml.org/doc/113558},
volume = {20},
year = {1986},
}

TY - JOUR
AU - Nualart, David
TI - Application du calcul de Malliavin aux équations différentielles stochastiques sur le plan
JO - Séminaire de probabilités de Strasbourg
PY - 1986
PB - Springer - Lecture Notes in Mathematics
VL - 20
SP - 379
EP - 395
LA - fre
KW - two-parameter process; two-parameter Wiener process; Malliavin's techniques; non-degeneracy conditions on the coefficients; absolute continuity of the law
UR - http://eudml.org/doc/113558
ER -

References

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  1. [1] J.M. Bismut: Martingales, the Malliavin Calculus and Hypoellipticity under general Hörmander's conditions. Z. Wahrscheinlichkeitstheorie verw. Gebiete56, 469-505 (1981). Zbl0445.60049MR621660
  2. [2] R. Cairoli: Sur une équation différentielle stochastique. C.R. Acad. Sc.Paris274, 1739-1742 (1972). Zbl0244.60045MR301796
  3. [3] R. Cairoli, J.B. Walsh: Stochastic integrals in the plane. Acta Math.134, 111-183 (1975). Zbl0334.60026MR420845
  4. [4] B. Hajek: Stochastic equations of hyperbolic type and a two-parameter Stratonovich calculus. Ann. Probability, 10, 451-463 (1982). Zbl0478.60069MR647516
  5. [5] N. Ikeda, S. Watanabe: Stochastic differential equations and diffusion processes. North Holland (1981). Zbl0495.60005MR637061
  6. [6] P. Malliavin: Stochastic calculus of variations and hypoelliptic operators. Proceedings of the International Conference on Stochastic Differential Equations of Kyoto1976, pp. 195-263, Wiley (1978). Zbl0411.60060
  7. [7] D. Nualart, M. Sanz: Malliavin calculus for two-parameter Wiener functionals. Preprint. Zbl0595.60065
  8. [8] I. Shigekawa: Derivatives of Wiener functionals and absolute continuity of induced measures. J. Math. Kyoto Univ.20-2, 263-289 (1980). Zbl0476.28008MR582167
  9. [9] D.W. Stroock: The Malliavin calculus, a functional analytic approach. Journal of Functional Analysis44, 212-257 (1981). Zbl0475.60060MR642917
  10. [10] D.W. Stroock: Some application of stochastic calculus to partial differential equations. Lecture Notes in Math.976, 267-382 (1983). Zbl0494.60060
  11. [11] J. Yeh: Existence of strong solutions for stochastic differential equations in the plane. Pacific J. Math.97, 217-247 (1981). Zbl0516.60068MR638191
  12. [12] M. Zakai: The Malliavin Calculus. Preprint. 

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