2009•arXiv (Cornell University)Open access

Two-parameter stochastic calculus and Malliavin's integration-by-parts formula on Wiener space

James R. Norris

Abstract

The integration-by-parts formula discovered by Malliavin for the Ito map on Wiener space is proved using the two-parameter stochastic calculus. It is also shown that the solution of a one-parameter stochastic differential equation driven by a two-parameter semimartingale is itself a two-parameter semimartingale.

Open-access reader

About this research paper

What this paper is about

Why it matters

OpenAlex reports 2 citations for this work. Citation counts describe recorded attention and do not establish research quality.

Key contribution

A contribution statement is not available in the OpenAlex record.

Method / approach

Method details are not available in the OpenAlex metadata.

Main findings

Findings are not separately available in the OpenAlex metadata.

Limitations

Limitations are not available in the OpenAlex metadata.

Applications

Application details are not available in the OpenAlex metadata.

Available abstract

Key concepts: Malliavin calculus, Integration by parts, Mathematics, Calculus (dental), Space (punctuation), Integral representation theorem for classical Wiener space, Applied mathematics, Stochastic calculus