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Keywords
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Discrete Time
Discrete Time System
malliavin calculus
Mathematical Finance
Random Function
Signal Processing
brownian motion
Random Walk
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On Stochastic Variation in Discrete Time Systems
On Stochastic Variation in Discrete Time Systems,10.1007/9783642047725_64,Yasushi Endow
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On Stochastic Variation in Discrete Time Systems
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Yasushi Endow
This paper concerns with the variation in
discrete time
systems driven by a random walk, in contrast with the ordinary
Malliavin calculus
based on a Brownian motion. A derivative of random functionals with respect to a
random walk
is introduced and some its fundamental properties are shown. Theories parallel to
Malliavin calculus
are also discussed in view of applications for
discrete time
phenomena in signal processing, mathematical finance, and systems science and engineering.
Conference:
Conference On Computer Aided Systems Theory  EUROCAST
, pp. 492500, 2009
DOI:
10.1007/9783642047725_64
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References
(2)
Stochastic Calculus of Variations in Mathematical Finance
(
Citations: 45
)
P Malliavin
,
A Thalmaier
Published in 2005.
The Malliavin calculus and related topics
(
Citations: 840
)
D. Nualart
Published in 1995.