Is it possible to define a Malliavin calculus with *Mathematica?
Consider a random variables on the Wiener-space \Omega=\mathcal{C}([0,1]) of the form
F=F(\omega)=\displaystyle\int_{0}^{T}h_{t}dW_{t}
for some deterministic h(.) in L^{2}[0,T].
Here, \omega is a path in the Wiener-space, \omega \in \Omega.
We define the Malliavin derivative by
DF=h,\text{ and }D_{t}F=h_{t}.
Let say MalliavinDer is this derivative. We have the following rules
-
MalliavinDer[F_ + G_] := MalliavinDer[F]+MalliavinDer[G]; -
MalliavinDer[F_G_]:=MalliavinDer[F]G+ MalliavinDer[G]F -
MalliavinDer[f(F)]:=f'[F]MalliavinDer[F].
On the other hand, we have for example:
-
MalliavinDer[\int_0^T h(t)dWt] := h(t) -
MalliavinDer[W_s] := Piecewise[{{1, s <t}, {0, s >t}}] -
MalliavinDer[f(W_s] := f'[W_s])Piecewise[{{1, s <t}, {0, s >t}}]