You can calculate a derivative of densities for stochastic processes in some generalised sense which I do not at present understand, and do the normal calculus thing you do with a derivative. Stochastic differential equations arise, presumably ones in some sense involving this generalised derivative, can then solve some kind of problems for you. Or something.

Clearly this is a placeholder for a topic I do not have time for right now. 🏗

## References

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*The Malliavin Calculus*. Courier Corporation.
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*Malliavin Calculus for Processes with Jumps*. Stochastics Monographs, v. 2. New York: Gordon and Breach Science Publishers.
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*Malliavin Calculus for Lévy Processes with Applications to Finance*. Universitext. Berlin ; New York: Springer.
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Levajkovic, Tijana, and Dora Selesi. 2011. “Chaos Expansion Methods for Stochastic Differential Equations Involving the Malliavin Derivative, Part I.”

*Publications de l’Institut Mathematique*90 (104): 65–84. https://doi.org/10.2298/PIM1104065L.
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*The Malliavin Calculus and Related Topics*. 2nd ed. Probability and Its Applications. Berlin ; New York: Springer.
Osswald, Horst. 2012.

*Malliavin Calculus for Lévy Processes and Infinite-Dimensional Brownian Motion: An Introduction*. Cambridge Tracts in Mathematics 191. Cambridge: Cambridge University Press.
Sanz-Solé, Marta. 2004.

*A Course on Malliavin Calculus*. Vol. 2.
Schiller, Eric Alexander. 2009. “Malliavin Calculus for Monte Carlo Simulation with Financial Applications.”

Zhang, Han. 2004. “The Malliavin Calculus.”

Øksendal, Bernt. 1997.

*An Introduction to Malliavin Calculus with Applications to Economics*. Norwegian School of Economics and Business Administration. Department of ….
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