Related papers: Malliavin calculus of Bismut type without probabil…
We give a review of our recent works related to the Malliavin Calculus of Bismut type for non-Markovian generators. Part IV is new and relates the Malliavin Calculus and the general theory of elliptic pseudo-differential operators.
By using the Malliavin calculus and solving a control problem, Bismut type derivative formulae are established for a class of degenerate diffusion semigroups with non-linear drifts. As applications, explicit gradient estimates and Harnack…
By means of the Malliavin calculus, integral representations for the likelihood function and for the derivative of the log-likelihood function are given for a model based on discrete time observations of the solution to equation…
We construct surface measures in a Hilbert space endowed with a probability measure $\nu$. The theory fits for invariant measures of some stochastic partial differential equations such as Burgers and reaction--diffusion equations. Other…
Basic derivative formulas are presented for hypoelliptic heat semigroups and harmonic functions extending earlier work in the elliptic case. Emphasis is placed on developing integration by parts formulas at the level of local martingales.…
These Lecture Notes are a brief introduction to the Malliavin calculus. In particular, different notions of Malliavin derivative found in the literature are considered and compared.
One may consider three types of statistical inference: Bayesian, frequentist, and group invariance-based. The focus here is on the last method. We consider the Poisson and binomial distributions in detail to illustrate a group invariance…
The aim of this note is to provide a short and self-contained proof of H\"ormander's theorem about the smoothness of transition probabilities for a diffusion under H\"ormander's "brackets condition". While both the result and the technique…
Without probability theory, we define classes of supermartingales, martingales, and semimartingales in idealized financial markets with continuous price paths. This allows us to establish probability-free versions of a number of standard…
We develop a Galois theory of commutative rings under actions of finite inverse semigroups. We present equivalences for the definition of Galois extension as well as a Galois correspondence theorem. We also show how the theory behaves in…
In this paper, based on a known formula, we use a simple idea to get a new representation for the density of Malliavin differentiable random variables. This new representation is particularly useful for finding lower bounds for the density.
Galois theory is developed using elementary polynomial and group algebra. The method follows closely the original prescription of Galois, and has the benefit of making the theory accessible to a wide audience. The theory is illustrated by a…
We consider the nonparametric functional estimation of the drift of a Gaussian process via minimax and Bayes estimators. In this context, we construct superefficient estimators of Stein type for such drifts using the Malliavin integration…
Malliavin calculus is a powerful and general framework for the analysis of square-integrable random variables, but it often suffers from a lack of tractability and explicit representations. To address this limitation, we focus on a subclass…
By using distribution dependent Zvonkin's transforms and Malliavin calculus, the Bismut type formula is derived for the intrinisc/Lions derivatives of distribution dependent SDEs with singular drifts, which generalizes the corresponding…
This is an account of the theory of inverse semigroups, assuming only that the reader knows the basics of semigroup theory.
Given a random variable $F$ regular enough in the sense of the Malliavin calculus, we are able to measure the distance between its law and almost any continuous probability law on the real line. The bounds are given in terms of the…
In this paper we study probabilistic aspects such as subgroup commutativity degree and cyclic subgroup commutativity degree of the (generalized) dicyclic groups. We find explicit formulas for these concepts and we provide another example of…
We construct examples of non-bi-orderable one-relator groups without generalized torsion. This answers a question asked in [2].
We give a Matsumoto-type presentation of $K_2$-groups over rings of non-commutative Laurent polynomials, which is a non-commutative version of M. Tomie's result for loop groups. Our main idea is due to U. Rehmann's approach in case of…