121 citations · 377 across the 72 of their papers we have counts for
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math.PR2005
Absolutely continuous laws of Jump-Diffusions in finite and infinite dimensions with applications to mathematical Finance
Barbara Forster, Eva Luetkebohmert, Josef Teichmann
In mathematical Finance calculating the Greeks by Malliavin weights has proved to be a numerically satisfactory procedure for finite-dimensional Itô-diffusions. The existence of Ma…
math.PR2005★ 29 cited
Hypoellipticity in infinite dimensions and an application in interest rate theory
Fabrice Baudoin, Josef Teichmann
We apply methods from Malliavin calculus to prove an infinite-dimensional version of Hormander's theorem for stochastic evolution equations in the spirit of Da Prato-Zabczyk. This…
math.NA2005★ 1 cited
The proof of Tchakaloff's Theorem
Christian Bayer, Josef Teichmann
We provide a simple proof of Tchakaloff's Theorem on the existence of cubature formulas of degree for Borel measures with moments up to order . The result improves known res…