相关论文: A criteria of strong H-differentiability
In this paper we provide new conditions for the Malliavin differentiability of solutions of Lipschitz or quadratic BSDEs. Our results rely on the interpretation of the Malliavin derivative as a G{\^a}teaux derivative in the directions of…
In this paper, some sufficient conditions for the differentiability of the $n$-variable real-valued function are obtained, which are given based on the differentiability of the $n-1$-variable real-valued function and are weaker than…
This paper is concerned with a class of stochastic differential equations with Markovian switching. The Malliavin calculus is used to study the smoothness of the density of the solution under a H\"{o}rmander type condition. Furthermore, we…
We present some properties of the gradient of a mu-differentiable function. The Method of Lagrange Multipliers for mu-differentiable functions is then exemplified.
Motivated by the general problem of extending the classical theory of holomorphic functions of a complex variable to the case of quater- nion functions, we give a notion of an H-derivative for functions of one quaternion variable. We show…
In this paper, a derivative for functions $f : G \to H$, where $G$ is any metric divisible group and $H$ is a metric Abelian group with a group metric, is defined. Basic differentiation theorems are stated and demonstrated. In particular,…
In this paper we study differentiability properties of the map $T\mapsto\phi(T)$, where $\phi$ is a given function in the disk-algebra and $T$ ranges over the set of contractions on Hilbert space. We obtain sharp conditions (in terms of…
It is well known that Malliavin calculus can be applied to a stochastic differential equation with Lipschitz continuous coefficients in order to clarify the existence and the smoothness of the solution. In this paper, we apply Malliavin…
We consider Malliavin smoothness of random variables $f(X_1)$, where $X$ is a pure jump L\'evy process and $f$ is either bounded and H\"older continuous or of bounded variation. We show that Malliavin differentiability and fractional…
We provide a new sufficient condition for strong invariance for differential inclusions, under very general conditions on the dynamics, in terms of a Hamiltonian inequality. In lieu of the usual Lipschitzness assumption on the…
Let G be a Lie group equipped with a set of left invariant vector fields. These vector fields generate a function \xi on Wiener space into G via the stochastic version of Cartan's rolling map. It is shown here that, for any smooth function…
Prompted by an example related to the tensor algebra, we introduce and investigate a stronger version of the notion of separable functor that we call heavily separable. We test this notion on several functors traditionally connected to the…
The necessary and sufficient conditions for differentiability of a function of several real variables stated and proved and its ramifications discussed.
In this article we prove a generalization of the Beurling--Malliavin Majorant Theorem. In more detail, we establish a new sufficient condition for a function to be a Beurling--Malliavin Majorant. Our result is strictly more general than…
In this paper, we prove that the inverse of Malliavin matrix is p integrable for a kind of degenerate stochastic differential equation under some conditions, which like to Hormander condition, but don't need all the coefficients of the SDE…
We study Malliavin differentiability for the solutions of a stochastic differential equation with drift of super-linear growth. Assuming we have a monotone drift with polynomial growth, we prove Malliavin differentiability of any order. As…
We give a criterion for H-convergence of conductivity matrices in terms of ordinary weak convergence of the factors in certain quotient representations of the matrices.
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.…
In this paper, we provide a strong formulation of the stochastic G{\^a}teaux differentiability in order to study the sharpness of a new characterization, introduced in [6], of the Malliavin-Sobolev spaces. We also give a new internal…
The aim of this paper is to show an estimate for the determinant of the covariance of a two-dimensional vector of multiple stochastic integrals of the same order in terms of a linear combination of the expectation of the determinant of its…