好難一句講完 但係可以用嚟計Greek 可以對random variable做integration by parts
錦衣衞2018-12-13 10:04:51
Let me find a way.
錦衣衞2018-12-13 10:06:23
You can think of it as stochastic calculus of variation
我沒有放棄2018-12-13 10:09:20
This is just another name of Malliavin calculus 咁同冇講過有咩分別
錦衣衞2018-12-13 10:14:56
You have to be very careful. It’s not another name of Malliavin calculus, but you can think of it as an analogue. It starts from chaos expansion and mostly deals with things that are Gaussian. I don’t know much about it though.
我沒有放棄2018-12-13 10:21:16
You're telling someone who learned it that Malliavin calculus is not the same thing as stochastic calculus of variations, which the converse is stated widely in standard monographs of this subject.
錦衣衞2018-12-13 10:38:04
You can draw an analogy between Malliavin calculus and calculus of variation. It’s like saying SDE is stochastic version of differential equation. They’re analogies but definitely NOT the same thing.
Again, you have to be very careful about the distinction between analogy and generalisation in mathematics.
Btw are you from HK? I am not aware of anyone in HK is working on Malliavin calculus.
我沒有放棄2018-12-13 10:44:15
錦衣衞2018-12-13 11:03:35
I know it was called stochastic calculus of variation and maybe that’s why it’s confusing.
Actually, a friend of mine was talking about this during dinner awhile ago. That Malliavin calculus concerns Gaussian noise, but by calling it “stochastic” one would assume it works on a wider class of processes, like semimartingales. And we joked about maybe that’s why it’s not called stochastic calculus of variation anymore. He’s doing research on Malliavin calculus and is connected to Malliavin.
So what is you phd in? Are you still doing maths?
我沒有放棄2018-12-13 11:10:48
吉吉吉2018-12-13 11:36:56
maybe opening a new email as a means of chatting will do.