Calculating the Malliavin derivative of some stochastic mechanics problems
Calculating the Malliavin derivative of some stochastic mechanics problems
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United States: Public Library of Science
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Language
English
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United States: Public Library of Science
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The Malliavin calculus is an extension of the classical calculus of variations from deterministic functions to stochastic processes. In this paper we aim to show in a practical and didactic way how to calculate the Malliavin derivative, the derivative of the expectation of a quantity of interest of a model with respect to its underlying stochastic...
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Calculating the Malliavin derivative of some stochastic mechanics problems
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TN_cdi_plos_journals_1979770132
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https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_plos_journals_1979770132
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ISSN
1932-6203
E-ISSN
1932-6203
DOI
10.1371/journal.pone.0189994
