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May 1998 Perturbation analysis and Malliavin calculus
L. Decreusefond
Ann. Appl. Probab. 8(2): 496-523 (May 1998). DOI: 10.1214/aoap/1028903536

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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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

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Vol.8 • No. 2 • May 1998
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