Mahdieh Tahmasebi
In this work, we will show the existence and uniqueness of the solution to the semi linear stochastic differential equations driven by weighted fractional Brownian motion with delay. We also prove smoothness of the density of the solution with respect to Lebesgue's measure on R^d for $d \geq 1$.
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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{â}teaux derivative in the directions of the Cameron-Martin space. Incidentally, we provide a new formulation for the characterization of the Malliavin-Sobolev type spaces $D^{1,p}$ .
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 calculus to the CEV-type Heston model whose diffusion coefficient is non-Lipschitz continuous and prove the Malliavin differentiability of the model.
In this paper we study rough differential equations driven by Gaussian rough paths from the viewpoint of Malliavin calculus. Under mild assumptions on coefficient vector fields and underlying Gaussian processes, we prove that solutions at a fixed time is smooth in the sense of Malliavin calculus. Examples of Gaussian processes include fractional Brownian motion with Hurst parameter larger than $1/4$.
Euler scheme for SDEs driven by fractional Brownian motions: Malliavin differentiability and uniform upper-bound estimates
本文研究了由分数布朗运动驱动的随机微分方程Euler格式的Malliavin可微性，并推导出步长一致且逐路径的上界估计。
In this article, we consider a stochastic partial differential equation (SPDE) driven by a Lévy white noise, with Lipschitz multiplicative term $σ$. We prove that under some conditions, this equation has a unique random field solution. These conditions are verified by the stochastic heat and wave equations. We introduce the basic elements of Malliavin calculus with respect to the compensated Poisson random measure associated with the Lévy white noise. If $σ$ is affine, we prove that the solution is Malliavin differentiable and its Malliavin derivative satisfies a stochastic integral equation.
Malliavin differentiability of McKean-Vlasov SDEs with common noise
该研究在全局Lipschitz假设下证明了带公共噪声的McKean-Vlasov随机微分方程的Malliavin可微性，明确了条件分布关于公共噪声的Malliavin导数的意义，并推导了对应维纳空间上的分部积分公式。
Malliavin differentiability of McKean-Vlasov SDEs with locally Lipschitz coefficients
本文证明了在漂移项满足局部Lipschitz和单边Lipschitz条件、扩散系数一致Lipschitz的情况下，McKean-Vlasov随机微分方程具有Malliavin可微性，并进一步研究了该可微性从相互作用粒子系统到极限方程的传递。
We investigate conditions for solvability and Malliavin differentiability of backward stochastic differential equations driven by a Lévy process. In particular, we are interested in generators which satisfy a locally Lipschitz condition in the $Z$ and $U$ variable. This includes settings of linear, quadratic and exponential growths in those variables. Extending an idea of Cheridito and Nam to the jump setting and applying comparison theorems for Lévy-driven BSDEs, we show existence, uniqueness, boundedness and Malliavin differentiability of a solution. The pivotal assumption to obtain these re…
On Malliavin differentiability and absolute continuity of one-dimensional doubly perturbed diffusion processes
本文研究一维双重扰动扩散过程，在参数条件下证明其Malliavin可微性、绝对连续性及光滑密度的存在性，推广了先前工作，并采用Malliavin微积分方法。
Malliavin differentiability for the excursion measure of a Gaussian field
本文研究高斯场游程体积的 Malliavin 可微性，证明协方差核矩的多项式衰减可精确确定游程测度的 p 阶平方可积 Malliavin 导数，并给出平稳或各向同性情形下的充分条件。
We consider a one-dimensional Stochastic Differential Equation with reflection where we allow the drift to be merely bounded and measurable. It is already known that such equations have a unique strong solution. Recently, it has been shown that non-reflected SDE's with discontinuous drift possess more regularity than one could expect, namely they are Malliavin differentiable and weakly differentiable w.r.t. the initial value. In this paper we show that similar results hold for one-dimensional SDE's with reflection. We then apply the results to get a Bismut-Elworthy-Li formula for the correspon…
We consider Malliavin smoothness of random variables $f(X_1)$, where $X$ is a pure jump Lévy process and $f$ is either bounded and Hölder continuous or of bounded variation. We show that Malliavin differentiability and fractional differentiability of $f(X_1)$ depend both on the regularity of $f$ and the Blumenthal-Getoor index of the Lévy measure.
We investigate solutions of backward stochastic differential equations (BSDE) with time delayed generators driven by Brownian motions and Poisson random measures, that constitute the two components of a Levy process. In this new type of equations, the generator can depend on the past values of a solution, by feeding them back into the dynamics with a time lag. For such time delayed BSDE, we prove existence and uniqueness of solutions provided we restrict on a sufficiently small time horizon or the generator possesses a sufficiently small Lipschitz constant. We study differentiability in the va…
We consider the class of non-linear stochastic partial differential equations studied in \cite{conusdalang}. Equivalent formulations using integration with respect to a cylindrical Brownian motion and also the Skorohod integral are established. It is proved that the random field solution to these equations at any fixed point $(t,x)\in[0,T]\times \Rd$ is differentiable in the Malliavin sense. For this, an extension of the integration theory in \cite{conusdalang} to Hilbert space valued integrands is developed, and commutation formulae of the Malliavin derivative and stochastic and pathwise inte…
We consider Malliavin calculus based on the Itô chaos decomposition of square integrable random variables on the Lévy space. We show that when a random variable satisfies a certain measurability condition, its differentiability and fractional differentiability can be determined by weighted Lebesgue spaces. The measurability condition is satisfied for all random variables if the underlying Lévy process is a compound Poisson process on a finite time interval.
In this paper we introduce a new technique to construct unique strong solutions of SDEs with singular coefficients driven by certain Levy processes. Our method which is based on Malliavin calculus does not rely on a pathwise uniqueness argument. Furthermore, the approach, which provides a direct construction principle, grants the additional insight that the obtained solutions are Malliavin differentiable.
Differentiability in infinite dimension and the Malliavin calculus
本文在无限维分析和Malliavin演算框架下，研究了P. Cannarsa、G. Da Prato及L. Gross提出的两种可微性概念。
In this work we prove Malliavin differentiability for the solution to an SDE with locally Lipschitz and semi-monotone drift. To this end we construct a sequence of SDEs with globally Lipschitz drifts. We show that the solutions of these SDEs converge to the solution of the original SDE and the p-moments of their Malliavin derivatives are uniformly bounded.
We give a criteria for a Malliavin differentiable function to be strongly H-differentiable.
Malliavin differentiability of solutions of hyperbolic stochastic partial differential equations with irregular drifts
本文研究带不规则漂移项的双曲型随机偏微分方程，通过逐路径唯一性和Yamada-Watanabe原理建立强唯一性，并证明在漂移全局有界时唯一强解具有Malliavin可微性。
By using Malliavin calculus and multiple Wiener-Itô integrals, we study the existence and the regularity of stochastic currents defined as Skorohod (divergence) integrals with respect to the Brownian motion and to the fractional Brownian motion. We consider also the multidimensional multiparameter case and we compare the regularity of the current as a distribution in negative Sobolev spaces with its regularity in Watanabe space.
We obtain estimates on the first-order Malliavin derivative of mild solutions, evaluated at fixed points in time and space, to a class of parabolic dissipative stochastic PDEs on bounded domain of $\mathbb{R}^d$. In particular, such equations are driven by multiplicative Wiener noise and the nonlinear drift term is the superposition operator associated to a locally Lipschitz continuous function satisfying suitable polynomial growth bounds. The main arguments rely on the well-posedness theory in the mild sense for stochastic evolution equations in Banach spaces, monotonicity, and a comparison p…
We introduce a Multifractal Random Walk (MRW) defined as a stochastic integral of an infinitely divisible noise with respect to a dependent fractional Brownian motion. Using the techniques of the Malliavin calculus, we study the existence of this object and its properties. We then propose a continuous time model in finance that captures the main properties observed in the empirical data, including the leverage effect. We illustrate our result by numerical simulations.
In this paper, we provide a strong formulation of the stochastic G{â}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 structure of these spaces in the sense of sets inclusion.
We examine existence and uniqueness of strong solutions of multi-dimensional mean-field stochastic differential equations with irregular drift coefficients. Furthermore, we establish Malliavin differentiability of the solution and show regularity properties such as Sobolev differentiability in the initial data as well as Hölder continuity in time and the initial data. Using the Malliavin and Sobolev differentiability we formulate a Bismut-Elworthy-Li type formula for mean-field stochastic differential equations, i.e. a probabilistic representation of the first order derivative of an expectatio…
Malliavian differentiablity and smoothness of density for SDES with locally Lipschitz coefficients
本文研究了具有超线性增长漂移的随机微分方程解的Malliavin可微性，证明了在单调多项式增长漂移条件下的任意阶可微性，并在Hörmander假设下证明了密度的无限次可微性。
We compute Greeks for stochastic volatility models driven by Brownian informations. We use the Malliavin method introduced for deterministic volatility models.
We prove that a stochastic flow of reflected Brownian motions in a smooth multidimensional domain is differentiable with respect to its initial position. The derivative is a linear map represented by a multiplicative functional for reflected Brownian motion. The method of proof is based on excursion theory and analysis of the deterministic Skorokhod equation.
We study the asymptotic behavior as $n\to \infty$ of the sequence $$S_{n}=\sum_{i=0}^{n-1} K(n^α B^{H_{1}}_{i}) (B^{H_{2}}_{i+1}-B^{H_{2}}_{i})$$ where $B^{H_{1}}$ and $B^{H_{2}}$ are two independent fractional Brownian motions, $K$ is a kernel function and the bandwidth parameter $α$ satisfies certain hypotheses in terms of $H_{1}$ and $H_{2}$. Its limiting distribution is a mixed normal law involving the local time of the fractional Brownian motion $B^{H_{1}}$. We use the techniques of the Malliavin calculus with respect to the fractional Brownian motion.
In this paper we study the existence of a unique solution to a general class of Young delay differential equations driven by a Hölder continuous function with parameter greater that 1/2 via the Young integration setting. Then some estimates of the solution are obtained, which allow to show that the solution of a delay differential equation driven by a fractional Brownian motion (fBm) with Hurst parameter H>1/2 has a smooth density. To this purpose, we use Malliavin calculus based on the Frechet differentiability in the directions of the reproducing kernel Hilbert space associated with fBm.
For a mixed stochastic differential driven by independent fractional Brownian motions and Wiener processes, the existence and integrability of the Malliavin derivative of its solution are established. It is also proved that the solution possesses exponential moments.
Strong solutions of fractional Brownian sheet driven SDEs with integrable drift
本文研究了由Hurst参数小于1/2的分数布朗运动驱动的随机微分方程的强解存在性，利用Malliavin微积分和扇形局部非确定性理论证明了唯一可微强解的存在。
We represent fractional conditional expectations of a functional of fractional Brownian motion as a convergent series in L^2 space. When the target random variable is some function of a discrete trajectory of fractional Brownian motion, we obtain a backward Taylor series representation; when the target functional is generated by a continuous fractional filtration, the series representation is obtained by applying a "frozen path" operator and an exponential operator to the functional. Three examples are provided to show that our representation gives useful series expansions of ordinary expectat…
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 such a formula which permits to calculate easily and intuitively the Malliavin derivative of a functional. Our approach uses chaos extensions associated to stationary processes of rotations of normal martingales.
We study Malliavin differentiability of solutions to sub-critical singular parabolic stochastic partial differential equations (SPDEs) and we prove the existence of densities for a class of singular SPDEs. Both of these results are implemented in the setting of regularity structures. For this we construct renormalized models in situations where some of the driving noises are replaced by deterministic Cameron-Martin functions, and we show Lipschitz continuity of these models with respect to the Cameron-Martin norm. In particular, in many interesting situations we obtain a convergence and stabil…
Locally Lipschitz Path Dependent FBSDEs with Unbounded Terminal Conditions in Brownian and L{é}vy Settings
本文研究Lévy过程驱动的路径依赖局部Lipschitz正倒向随机微分方程，通过截断迭代等三步法证明解的存在唯一性，还基于新的空间刻画得到Malliavin可微性结果。
In this paper we present a new method for the construction of strong solutions of SDE's with merely integrable drift coefficients driven by a multidimensional fractional Brownian motion with Hurst parameter H < 1/2. Furthermore, we prove the rather surprising result of the higher order Frechet differentiability of stochastic flows of such SDE's in the case of a small Hurst parameter. In establishing these results we use techniques from Malliavin calculus combined with new ideas based on a "local time variational calculus". We expect that our general approach can be also applied to the study of…
We close an unexpected gap in the literature of stochastic differential equations (SDEs) with drifts of super linear growth (and random coefficients), namely, we prove Malliavin and Parametric Differentiability of such SDEs. The former is shown by proving Ray Absolute Continuity and Stochastic Gâteaux Differentiability. This method enables one to take limits in probability rather than mean square which bypasses the potentially non-integrable error terms from the unbounded drift. This issue is strongly linked with the difficulties of the standard methodology from Nualart's 2006 work, Lemma 1.2.…
In this paper, we use Malliavin calculus to show the existence and continuity of density functions of $d$-dimensional non-colliding particle systems such as hyperbolic particle systems and Dyson Brownian motion with smooth drift. For this purpose, we apply results proved by Florit and Nualart (1995) and Naganuma (2013) on locally non-degenerate Wiener functionals.
We introduce the notion of {\em covariance measure structure} for square integrable stochastic processes. We define Wiener integral, we develop a suitable formalism for stochastic calculus of variations and we make Gaussian assumptions only when necessary. Our main examples are finite quadratric variation processes with stationary increments and the bifractional Brownian motion.
Using the Malliavin calculus with respect to Gaussian processes and the multiple stochastic integrals we derive Itô's and Tanaka's formulas for the $d$-dimensional bifractional Brownian motion.
We extend the work of Delong and Imkeller (2010a,b) concerning Backward stochastic differential equations with time delayed generators (delay BSDE). We give moment and a priori estimates in general $L^p$-spaces and provide sufficient conditions for the solution of a delay BSDE to exist in $L^p$. We introduce decoupled systems of SDE and delay BSDE (delay FBSDE) and give sufficient conditions for their variational differentiability. We connect these variational derivatives to the Malliavin derivatives of delay FBSDE via the usual representation formulas. We conclude with several path regularity…
In this work we present a condition for the regularity, in both space and Malliavin sense, of strong solutions to SDEs driven by Brownian motion. We conjecture that this condition is optimal. As a consequence, we are able to improve the regularity of densities of such solutions. We also apply these results to construct a classical solution to the stochastic transport equation when the drift is Lipschitz.
Malliavin calculus and densities for chaos-driven stochastic differential equations
本文研究由有限阶混沌过程驱动的随机微分方程，通过路径积分建立解的存在性和唯一性，并利用马尔蒂嫩微积分方法证明解的绝对连续性，应用于多维赫尔米特驱动方程。
We consider measurable $F: Ω\times \mathbb{R}^d \to \mathbb{R}$ where $F(\cdot, x)$ belongs for any $x$ to the Malliavin Sobolev space $\mathbb{D}_{1,2}$ (with respect to a Lévy process) and provide sufficient conditions on $F$ and $G_1,\ldots,G_d \in \mathbb{D}_{1,2}$ such that $F(\cdot, G_1,\ldots,G_d) \in \mathbb{D}_{1,2}.$ The above result is applied to show Malliavin differentiability of solutions to BSDEs (backward stochastic differential equations) driven by Lévy noise where the generator is given by a progressively measurable function $f(ω,t,y,z).$
By using Malliavin calculus, Bismut derivative formulae are established for a class of stochastic (functional) differential equations driven by fractional Brownian motions. As applications, Harnack type inequalities and strong Feller property are presented.
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 tools of Young integration for convolutional integrals combined with stochastic analysis methods for the study of laws of random variables defined on a Wiener space.
On the infinite dimensional space $E$ of continuous paths from $[0,1]$ to $\mathbb R^n$, $n \ge 3$, endowed with the Wiener measure $μ$, we construct a surface measure defined on level sets of the $L^2$-norm of $n$-dimensional processes that are solutions to a class of stochastic gradient system-type equations, and provide an integration by parts formula involving this surface measure. We follow the approach to surface measures in Gaussian spaces proposed via techniques of Malliavin calculus by Airault and Malliavin in 1988.
This paper studies the existence and uniqueness of solution of Itô type stochastic differential equation $dx(t)=b(t, x(t), \om)dt+\si(t,x(t), \om) d B(t)$, where $B(t)$ is a fractional Brownian motion of Hurst parameter $H>1/2$ and $dB(t)$ is the Itô differential defined by using Wick product or divergence operator. The coefficients $b$ and $\si$ are random and can be anticipative. Using the relationship between the Itô type and pathwise integrals we first write the equation as a stochastic differential equation involving pathwise integral plus a Malliavin derivative term. To handle this Malli…
The generalized fractional Brownian motion is a Gaussian self-similar process whose increments are not necessarily stationary. It appears in applications as the scaling limit of a shot noise process with a power law shape function and non-stationary noises with a power-law variance function. In this paper we study sample path properties of the generalized fractional Brownian motion, including Holder continuity, path differentiability/non-differentiability, and functional and local Law of the Iterated Logarithms.
Fine properties of fractional Brownian motions on Wiener space
本文在经典 Wiener 空间的 $(p,r)$-容量下，利用分数 Brown 运动的积分表示与 Malliavin 分析，证明其样本轨道的不可微、连续模、LIL 和自回避等精细性质。
New asymptotic expansion formula via Malliavin calculus and its application to rough differential equation driven by fractional Brownian motion
本文提出了一种基于Malliavin变分法的多维Wiener泛函期望新型渐近展开公式，在较弱条件下证明了一致估计，并应用于分数布朗运动驱动的粗糙微分方程，数值实验验证了其优于正态近似的有效性。
On the differentiability of the local time of the ($1+β$)-stable super-Brownian motion
本文针对0<β<1的(1+β)-稳定超布朗运动，在d=1且初始测度无原子时，证明其局部时在固定确定性点处几乎处处可微，但无法在所有空间点同时可微，强化了前人的相关结果。
In this note, we investigate the density of the exponential functional of the fractional Brownian motion. Based on the techniques of Malliavin's calculus, we provide a log-normal upper bound for the density.
In this paper we state and prove a central limit theorem for the finite-dimensional laws of the quadratic variations process of certain fractional Brownian sheets. The main tool of this article is a method developed by Nourdin and Nualart based on the Malliavin calculus.
The purpose of this paper is to establish the convergence in law of the sequence of "midpoint" Riemann sums for a stochastic process of the form f'(W), where W is a Gaussian process whose covariance function satisfies some technical conditions. As a consequence we derive a change-of-variable formula in law with a second order correction term which is an Itô integral of f''(W) with respect to a Gaussian martingale independent of W. The proof of the convergence in law is based on the techniques of Malliavin calculus and uses a central limit theorem for q-fold Skorohod integrals, which is a multi…
Exponential bounds for the density of the law of the solution of a SDE with locally Lipschitz coefficients
该论文在一致Hörmander假设下，针对局部Lipschitz漂移且满足单调性条件的SDE，利用Malliavin可微性结果证明了其解的概率密度的光滑性与指数界。
We consider Backward Stochastic Differential Equations (BSDE) with generators that grow quadratically in the control variable. In a more abstract setting, we first allow both the terminal condition and the generator to depend on a vector parameter $x$. We give sufficient conditions for the solution pair of the BSDE to be differentiable in $x$. These results can be applied to systems of forward-backward SDE. If the terminal condition of the BSDE is given by a sufficiently smooth function of the terminal value of a forward SDE, then its solution pair is differentiable with respect to the initial…
In this paper we obtain a rate of convergence in the central limit theorem for high order weighted Hermite variations of the fractional Brownian motion. The proof is based on the techniques of Malliavin calculus and the quantitative stable limit theorems proved by Nourdin, Nualart and Peccati in 2016.
We prove the chain rule in the more general framework of the Wiener-Poisson space, allowing us to obtain the so-called Nourdin-Peccati bound. From this bound we obtain a second-order Poincare-type inequality that is useful in terms of computations. For completeness we survey these results on the Wiener space, the Poisson space, and the Wiener-Poisson space. We also give several applications to central limit theorems with relevant examples: linear functionals of Gaussian subordinated fields (where the subordinated field can be processes like fractional Brownian motion or the solution of the Orn…
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