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The wavelet transform for Wiener functionals and some applications |
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| Abstract: | The wavelet transform is defined for Wiener functionals. We characterize global and local regularities of Wiener functionals and we give a criterion for the existence and regularity of densities. Such a criterion is applied to diffusion processes and to the solutions to backward stochastic differential equations. |
| Keywords: | wavelet transform Wiener analysis Malliavin calculus diffusion processes backward stochastic differential equations |