Bismut-Elworthy-Li-type formulae for stochastic differential equations with jumps (Q975336): Difference between revisions
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Revision as of 19:12, 18 April 2024
scientific article
| Language | Label | Description | Also known as |
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| English | Bismut-Elworthy-Li-type formulae for stochastic differential equations with jumps |
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Bismut-Elworthy-Li-type formulae for stochastic differential equations with jumps (English)
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9 June 2010
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The author considers jump-type stochastic differential equations with drift, diffusion and jump terms and studies the logarithmic derivatives of densities. The approach is based upon the Kolmogorov backward equation. This study is very useful in mathematical finance.
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Heat kernel
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Jump process
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Logarithmic derivative
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Malliavin calculus
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