Questions tagged [malliavin-calculus]

I face a lot of difficulties to answer questions from past exam about Malliavin calculus and its application to finance and more precisely the pricing of a european call (I'm a student in a Msc in Quantitative Finance at La Sorbonne). I would be…

In the book "Malliavin Calculus and related topics", the author states that $||F||_{k,p}=((E(|F|^p)+\sum_{n=1}^k E(||D^n F||^p_{H^k}))^{\frac{1}{p}}$ has monotonicity property, i.e. $||F||_{k,p}\leq ||F||_{j,q}$ when $k\leq j$ and $p\leq q$ if $F$…