Malliavin Calculus for Markov Chains using Perturbations of Time
نویسندگان
چکیده
In this article, we develop a Malliavin calculus associated to a timecontinuous Markov chain with finite state space. We apply it to get a criterion of density for solutions of SDE involving the Markov chain and also to compute greeks. keywords: Dirichlet form; Integration by parts formula; Malliavin calculus; Markov chain; computation of greeks. Mathematics subject classification: 60H07; 60J10; 60G55; 91B70.
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