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A nonsmooth chain rule for malliavin's derivative operator

 

作者: Ying Hu,  

 

期刊: Stochastic Analysis and Applications  （Taylor Available online 1997）
卷期: Volume 15, issue 3  

页码: 345-353

 

ISSN:0736-2994

 

年代: 1997

 

DOI:10.1080/07362999708809480

 

出版商: Marcel Dekker, Inc.

 

数据来源: Taylor

 

摘要:

In this paper, we use Clarke's generalized gradient to treat the stochastic calculus of variations under the Lipschitz coefficients and we give a nonsmooth chain rule for the Malliavin's derivative operator

 

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