Majoration dans du type Métivier-Pellaumail pour les semimartingales
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 for two-parameter processes
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 chains approximation of jump–diffusion stochastic master equations
Quantum trajectories are solutions of stochastic differential equations obtained when describing the random phenomena associated to quantum continuous measurement of open quantum system. These equations, also called Belavkin equations or Stochastic Master equations, are usually of two different types: diffusive and of Poisson-type. In this article, we consider more advanced models in which jump–diffusion equations appear. These equations are obtained as a continuous time limit of martingale problems...
Markov chains as Evans-Hudson diffusions in Fock space
Markov dilation of diffusion type processes and its application to the financial mathematics.
Markov operators defined by Volterra type integrals with advanced argument
Markovian master equations. III
Martingale Approach To Random Evolution
Martingale measures in the market with restricted information.
Martingale representation and a simple proof of logarithmic Sobolev inequalities on path spaces.
Martingales d'Azéma asymétriques. Description élémentaire et unicité
Martingales on noncompact manifolds : maximal inequalities and prescribed limits
Maximal inequalities and space-time regularity of stochastic convolutions
Space-time regularity of stochastic convolution integrals J = 0 S(-r)Z(r)W(r) driven by a cylindrical Wiener process in an -space on a bounded domain is investigated. The semigroup is supposed to be given by the Green function of a -th order parabolic boundary value problem, and is a multiplication operator. Under fairly general assumptions, is proved to be Holder continuous in time and space. The method yields maximal inequalities for stochastic convolutions in the space of continuous...
Maximal Inequalities for Stochastic Integrals
Maximal regularity for stochastic convolutions in spaces
We prove an optimal regularity result for stochastic convolutions in certain Banach spaces. It is stated in terms of real interpolation spaces.
Maximum principle and comparison theorem for quasi-linear stochastic PDE's.