0
votes
0answers
85 views

Cross-correlation in SDEs

Is it possible to derive a cross-correlation function between a stochastic variable and a state-variable in an SDE, such as for the simple model here, or better between two state variables in a two ...
3
votes
0answers
205 views

Malliavin Derivative with Mathematica is it possible?

Is it possible to define a Malliavin calculus with Mathematica 9? Consider a random variables on the Wiener-space $\Omega=\mathcal{C}([0,1])$ of the form ...