Abstract
Using the Malliavin calculus, we give a unified treatment of the so-called perturbation analysis of dynamic systems. Several applications are also given.
Citation
L. Decreusefond. "Perturbation analysis and Malliavin calculus." Ann. Appl. Probab. 8 (2) 496 - 523, May 1998. https://doi.org/10.1214/aoap/1028903536
Information
Published: May 1998
First available in Project Euclid: 9 August 2002
zbMATH: 0952.60050
MathSciNet: MR1624953
Digital Object Identifier: 10.1214/aoap/1028903536
Subjects:
Primary:
60H07
,
60H30
Secondary:
60G55
Keywords:
Chaos decomposition
,
IPA
,
Light traffic
,
LRM
,
Malliavin calculus
,
RPA
,
sensitivity analysis
,
simulation
Rights: Copyright © 1998 Institute of Mathematical Statistics