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In probability theory and related fields, Malliavin calculus is a set of mathematical techniques and ideas that extend the mathematical field of calculus of variations from deterministic functions to stochastic processes. In particular, it allows the computation of derivatives of random variables. Malliavin calculus is also called the stochastic calculus of variations. P. Malliavin firs

In mathematics, stochastic partial differential equations (SPDEs) are a generalization of partial differential equations via random force terms and coefficients, in the same way ordinary stochastic differential equations generalize ordinary differential equations.