The Annals of Applied Probability

Perturbation analysis and Malliavin calculus

L. Decreusefond

Full-text: Open access

Abstract

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

Article information

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

Dates
First available in Project Euclid: 9 August 2002

Permanent link to this document
https://projecteuclid.org/euclid.aoap/1028903536

Digital Object Identifier
doi:10.1214/aoap/1028903536

Mathematical Reviews number (MathSciNet)
MR1624953

Zentralblatt MATH identifier
0952.60050

Subjects
Primary: 60H07: Stochastic calculus of variations and the Malliavin calculus 60H30: Applications of stochastic analysis (to PDE, etc.)
Secondary: 60G55: Point processes

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

Citation

Decreusefond, L. Perturbation analysis and Malliavin calculus. Ann. Appl. Probab. 8 (1998), no. 2, 496--523. doi:10.1214/aoap/1028903536. https://projecteuclid.org/euclid.aoap/1028903536


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