Representation formulas for Malliavin derivatives of diffusion processes

Jerome Detemple, René Garcia and Marcel Rindisbacher

Finance and Stochastics, 2005, vol. 9, issue 3, 349-367

Abstract: We provide new representation formulas for Malliavin derivatives of diffusions, based on a transformation of the underlying processes. Both the univariate and the multivariate cases are considered. First order as well as higher order Malliavin derivatives are characterized. Numerical illustrations of the benefits of the transformation are provided. Copyright Springer-Verlag Berlin/Heidelberg 2005

Keywords: Malliavin derivatives; Doss transformation; multivariate diffusions (search for similar items in EconPapers)
Date: 2005
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DOI: 10.1007/s00780-004-0151-6

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