An introduction to Malliavin calculus

TL;DR

This paper provides an introductory overview of Malliavin calculus, discussing various definitions of the Malliavin derivative and comparing different approaches in the literature.

Contribution

It offers a concise comparison of different notions of Malliavin derivatives, clarifying their relationships and applications.

Findings

Different notions of Malliavin derivative are identified and compared.

The relationships between various definitions are elucidated.

The lecture notes serve as an accessible introduction to the subject.

Abstract

These Lecture Notes are a brief introduction to the Malliavin calculus. In particular, different notions of Malliavin derivative found in the literature are considered and compared.