Perturbation analysis and Malliavin calculus

Perturbation analysis and Malliavin calculus

L. Decreusefond

Source: Ann. Appl. Probab. Volume 8, Number 2 (1998), 496-523.

Abstract

Using the Malliavin calculus, we give a unified treatment of the so-called perturbation analysis of dynamic systems. Several applications are also given.

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Primary Subjects: 60H07, 60H30

Secondary Subjects: 60G55

Keywords: Chaos decomposition; IPA; light traffic; LRM; Malliavin calculus; RPA; sensitivity analysis; simulation

Full-text: Open access

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Links and Identifiers

Permanent link to this document: http://projecteuclid.org/euclid.aoap/1028903536
Digital Object Identifier: doi:10.1214/aoap/1028903536
Mathematical Reviews number (MathSciNet): MR1624953
Zentralblatt MATH identifier: 0952.60050

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