Malliavin Calculus
Stochastic calculus of variations and applications to finance and SPDE.
Malliavin Calculus. Stochastic calculus of variations and applications to finance and SPDE.
Foundations and canonical references
The standard treatments of malliavin calculus approach the subject from complementary angles. Nualart, The Malliavin Calculus and Related Topics (2006) is the anchor reference for the subject and lays out the core definitions, theorems, and worked examples that practitioners return to.
Open methodological questions for malliavin calculus include sharpening the bridges between foundational theory and computational practice, extending classical results to broader or more structured settings, and integrating the techniques surveyed above with adjacent mathematical disciplines. The references listed in this page are the entry points that current work builds on.
Prerequisites
Sources
- textbook · primary · 2006The Malliavin Calculus and Related Topicsnualart-2006
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