White noise of Poisson random measures (Q702015): Difference between revisions
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Latest revision as of 10:20, 30 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | White noise of Poisson random measures |
scientific article |
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White noise of Poisson random measures (English)
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17 January 2005
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The author considers pure jump Lévy processes, and develops a white noise theory for the associated distribution-valued Poisson random measures. This includes: chaos expansion, stochastic integrals, Wick product, a Clark-Ocone-type theorem. Applications are given to computing the minimal variance portfolios in financial markets driven by Lévy processes.
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Lévy processes
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Poisson random measures
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white noise
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stochastic derivatives
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chaos expansions
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generalized Clark-Haussmann-Ocone formula
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portfolios in financial markets
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