16/07/09 16:22:18.84 Vo9e95n/.net
>>643
Malliavin先生亡くなられていたのか。黙祷
URLﾘﾝｸ(en.wikipedia.org)
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Paul Malliavin (French: [maljav??]; September 10, 1925 ? June 3, 2010) was a French mathematician. He was Professor Emeritus at the Pierre and Marie Curie University. He was a member of the Academy of Sciences since 1979.[1]
URLﾘﾝｸ(en.wikipedia.org)
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Malliavin calculus
In probability theory and related fields, Malliavin calculus is a set of mathematical techniques and ideas that extend the mathematical field of calculus of variations from deterministic functions to stochastic processes.
In particular, it allows the computation of derivatives of random variables. Malliavin calculus is also called the stochastic calculus of variations.
The calculus allows integration by parts with random variables; this operation is used in mathematical finance to compute the sensitivities of financial derivatives. The calculus has applications in, for example, stochastic filtering.
Overview and history