In probability theory and related fields, Malliavin calculus is a set of mathematical techniques and ideas that extend the mathematical field of calculus of variations from deterministic functions to stochastic processes. In particular, it allows the computation of derivatives of random variables. Malliavin calculus is also called the stochastic calculus of variations. The calculus has been applied to stochastic partial differential equations as well. The calculus allows integration by parts with random variables ; this operation is used in mathematical finance to compute the sensitivities of financial derivatives.
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Zakai : The Malliavin Calculus. Journals Seminars Books Theses Authors. Between and. Nualart, David. References  J. About Help Legal notice Contact.
Simplified malliavin calculus
Wahrscheinlichkeitstheorie verw. Gebiete 56 , MR Zbl Paris , Cairoli , J. Walsh : Stochastic integrals in the plane.
Differentiable measures and the Malliavin calculus