AbstractIn this article we present a method for developing certain Wiener integrals in an asymptotic expansion as the variance of the Wiener goes to 0. The basic ideas are a combination of methods borrowed from the theory of large deviations together with techniques from the calculus of Wiener space
AbstractLet (X, H, μ) be a real abstract Wiener space. A new definition of analytic functions on X i...
The arbitrary functions principle says that the fractional part of $nX$ converges stably to an indep...
AbstractWe characterize the upper and lower functions of a real-valued Wiener process normalized by ...
AbstractIn this article we present a method for developing certain Wiener integrals in an asymptotic...
AbstractWe consider a family of sets {As,s≥0} on the Wiener space whose boundary only satisfies smoo...
Using a representation as an infinite linear combination of chisquare independent random variables, ...
In this thesis we study asymptotic expansions for option pricing with emphasis on small noise “sing...
AbstractWe consider the asymptotic expansion of density function of Wiener functionals as time tends...
AbstractBy means of the Malliavin calculus, we present an expansion formula for the distribution of ...
By combining the Malliavin calculus with Fourier techniques, we develop a high-order asymptotic expa...
AbstractIn the first part, of this paper it is pointed out that for certain applications of the stoc...
AbstractLet F be a square integrable random variable on the classical Wiener space and let us denote...
This book gives the basis of the probabilistic functional analysis on Wiener space, developed during...
AbstractWe study the asymptotic properties of the integral functionals of solutions of Ito stochasti...
The aim of this paper is t.o describe recent results on the Wiener-ito decomposition. We focus on a ...
AbstractLet (X, H, μ) be a real abstract Wiener space. A new definition of analytic functions on X i...
The arbitrary functions principle says that the fractional part of $nX$ converges stably to an indep...
AbstractWe characterize the upper and lower functions of a real-valued Wiener process normalized by ...
AbstractIn this article we present a method for developing certain Wiener integrals in an asymptotic...
AbstractWe consider a family of sets {As,s≥0} on the Wiener space whose boundary only satisfies smoo...
Using a representation as an infinite linear combination of chisquare independent random variables, ...
In this thesis we study asymptotic expansions for option pricing with emphasis on small noise “sing...
AbstractWe consider the asymptotic expansion of density function of Wiener functionals as time tends...
AbstractBy means of the Malliavin calculus, we present an expansion formula for the distribution of ...
By combining the Malliavin calculus with Fourier techniques, we develop a high-order asymptotic expa...
AbstractIn the first part, of this paper it is pointed out that for certain applications of the stoc...
AbstractLet F be a square integrable random variable on the classical Wiener space and let us denote...
This book gives the basis of the probabilistic functional analysis on Wiener space, developed during...
AbstractWe study the asymptotic properties of the integral functionals of solutions of Ito stochasti...
The aim of this paper is t.o describe recent results on the Wiener-ito decomposition. We focus on a ...
AbstractLet (X, H, μ) be a real abstract Wiener space. A new definition of analytic functions on X i...
The arbitrary functions principle says that the fractional part of $nX$ converges stably to an indep...
AbstractWe characterize the upper and lower functions of a real-valued Wiener process normalized by ...
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