Related papers: On Malliavin's proof of H\"ormander's theorem
We consider Malliavin calculus based on the It\^o chaos decomposition of square integrable random variables on the L\'evy space. We show that when a random variable satisfies a certain measurability condition, its differentiability and…
We study lower and upper bounds for the density of a diffusion process in ${\mathbb{R}}^n$ in a small (but not asymptotic) time, say $\delta$. We assume that the diffusion coefficients $\sigma_1,\ldots,\sigma_d$ may degenerate at the…
Using Malliavin calculus techniques, we derive an analytical formula for the price of European options, for any model including local volatility and Poisson jump process. We show that the accuracy of the formula depends on the smoothness of…
This note is intended to reformulate the Dixmier-Malliavin theorem about smooth group representations in the language of bornological vector spaces, instead of topological vector spaces. This language turns out to allow a more general…
The aim of this paper is to obtain estimates for the density of the law of a specific nonlinear diffusion process at any positive bounded time. This process is issued from kinetic theory and is called Landau process, by analogy with the…
We extend the functional Breuer-Major theorem by Nourdin and Nualart (2020) to the space of rough paths. The proof of tightness combines the multiplication formula for iterated Malliavin divergences, due to Furlan and Gubinelli (2019), with…
In this paper, we investigate the H\"ormander type theorems for the multi-linear and multi-parameter Fourier multipliers. When the multipliers are characterized by $L^u$-based Sobolev norms for $1<u\le 2$ , our results on the smoothness…
In previous works, we have developed a new Malliavin calculus on the Poisson space based on the lent particle formula. The aim of this work is to prove that, on the Wiener space for the standard Ornstein-Uhlenbeck structure, we also have…
In this paper we introduce a Hilbert space-valued Malliavin calculus for Poisson random measures. It is solely based on elementary principles from the theory of point processes and basic moment estimates, and thus allows for a simple…
We consider the numerical integration of Langevin equations for particles in a channel, in the presence of boundary conditions fixing the concentration values at the ends. This kind of boundary condition appears for instance when…
We study fluctuations of small noise multiscale diffusions around their homogenized deterministic limit. We derive quantitative rates of convergence of the fluctuation processes to their Gaussian limits in the appropriate Wasserstein metric…
In this paper we prove H\"ormander-Mihlin multiplier theorems for pseudo-multipliers associated to the harmonic oscillator (also called the Hermite operator). Our approach can be extended to also obtain the $L^p$-boundedness results for…
In this article, we give some existence and smoothness results for the law of the solution to a stochastic heat equation driven by a finite dimensional fractional Brownian motion with Hurst parameter $H>1/2$. Our results rely on recent…
Langevin diffusion is a commonly used tool for sampling from a given distribution. In this work, we establish that when the target density $p^*$ is such that $\log p^*$ is $L$ smooth and $m$ strongly convex, discrete Langevin diffusion…
In this note we prove the strong Feller property of a strong Markov quasi diffusion process corresponding to an elliptic operator with merely bounded measurable coefficients. We also prove H\"older continuity of harmonic functions…
On any denumerable product of probability spaces, we extend the discrete Malliavin structure for conditionally independent random variables. As a consequence, we obtain the chaos decomposition for functionals of conditionally independent…
This paper presents a study of the properties of a matrix model that was introduced to describe transitions between all Wigner surmises of Random Matrix theory. New results include closed-form exact analytical expressions for the…
We prove multiplier theorems on rank one noncompact symmetric spaces which improve aspects of existing results. A common theme of our main results is that we partially drop specific assumptions on the multiplier function such as a…
In this paper we derive tractable formulae for price sensitivities of two-dimensional spread options using Malliavin calculus. In particular, we consider spread options with asset dynamics driven by geometric Brownian motion and stochastic…
We introduce a general result relating "short averages" of a multiplicative function to "long averages" which are well understood. This result has several consequences. First, for the M\"obius function we show that there are cancellations…