Integration by Parts, Homogeneous Chaos Expansions and Smooth Densities
Elliott, Robert J. ; Kohlmann, Michael
Ann. Probab., Tome 17 (1989) no. 4, p. 194-207 / Harvested from Project Euclid
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By iterating a martingale representation result a homogeneous chaos expansion is obtained. Using the martingale representation, the integration-by-parts formula of the Malliavin calculus is derived using properties of stochastic flows. The infinite-dimensional calculus of variations is not required.
Publié le : 1989-01-14
Classification:  Martingale representation,  stochastic flow,  homogeneous chaos,  Malliavin calculus,  integration by parts,  smooth densities,  60H07,  60H10,  60J60 
@article{1176991504,
     author = {Elliott, Robert J. and Kohlmann, Michael},
     title = {Integration by Parts, Homogeneous Chaos Expansions and Smooth Densities},
     journal = {Ann. Probab.},
     volume = {17},
     number = {4},
     year = {1989},
     pages = { 194-207},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176991504}
}

Elliott, Robert J.; Kohlmann, Michael. Integration by Parts, Homogeneous Chaos Expansions and Smooth Densities. Ann. Probab., Tome 17 (1989) no. 4, pp.  194-207. http://gdmltest.u-ga.fr/item/1176991504/