Calcul des variations stochastique et processus de sauts
From MaRDI portal
Publication:3957749
DOI10.1007/BF00538963zbMath0494.60082OpenAlexW2018222694WikidataQ105583335 ScholiaQ105583335MaRDI QIDQ3957749
Publication date: 1983
Published in: Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf00538963
Numerical computation of solutions to systems of equations (65H10) Stochastic integrals (60H05) Transition functions, generators and resolvents (60J35)
Related Items (57)
Smoothness of harmonic functions for processes with jumps. ⋮ Regularity for distribution-dependent SDEs driven by jump processes ⋮ Strong Feller properties for degenerate SDEs with jumps ⋮ Functionals of a Lévy process on canonical and generic probability spaces ⋮ AN IMPROVEMENT OF MARKOVIAN INTEGRATION BY PARTS FORMULA AND APPLICATION TO SENSITIVITY COMPUTATION ⋮ Asymptotic behavior of the transition density for jump type processes in small time ⋮ The Beneš equation and stochastic calculus of variations ⋮ Using moment approximations to study the density of jump driven SDEs ⋮ Differential calculus relative to some point processes ⋮ Smooth density and its short time estimate for jump process determined by SDE ⋮ Fundamental solutions of nonlocal Hörmander's operators ⋮ Analysis of nondegenerate Wiener-Poisson functionals and its applications to Itō's SDE with jumps ⋮ Canonical Lévy process and Malliavin calculus ⋮ Nondegenerate SDEs with jumps and their hypoelliptic properties ⋮ Hörmander's hypoelliptic theorem for nonlocal operators ⋮ On the existence of smooth densities for jump processes ⋮ Density in small time at accessible points for jump processes ⋮ Estimation of the activity of jumps in time-changed Lévy models ⋮ Hypoellipticity and parabolic hypoellipticity of nonlocal operators under Hörmander's condition ⋮ Existence of density functions for the running maximum of a Lévy-Itô diffusion ⋮ Functional Itō calculus and stochastic integral representation of martingales ⋮ Absolute continuity and convergence in variation for distributions of functionals of Poisson point measure ⋮ Smoothness of the law of manifold-valued Markov processes with jumps ⋮ Densities for SDEs driven by degenerate \(\alpha\)-stable processes ⋮ On smoothing properties of transition semigroups associated to a class of SDEs with jumps ⋮ Integration by parts formula and applications to equations with jumps ⋮ Computation of Greeks for asset price dynamics driven by stable and tempered stable processes ⋮ Perturbation of the Malliavin Calculus of Bismut type for a large order on a Lie group ⋮ Density functions of distribution dependent SDEs driven by Lévy noises ⋮ Density in small time for Lévy processes ⋮ Derivative formulae for SDEs driven by multiplicative \(\alpha\)-stable-like processes ⋮ A criterium for the strict positivity of the density of the law of a Poisson process ⋮ Regularity of the laws of shot noise series and of related processes ⋮ Jumping SDEs: absolute continuity using monotonicity. ⋮ Existence of densities for jumping stochastic differential equations ⋮ Bismut-Elworthy-Li-type formulae for stochastic differential equations with jumps ⋮ Last exit decompositions and regularity at the boundary of transition probabilities ⋮ The calculus of boundary processes ⋮ Quasi-invariance and integration by parts for determinantal and permanental processes ⋮ ABSOLUTE CONTINUITY FOR SOLUTIONS TO STOCHASTIC FUNCTIONAL DIFFERENTIAL EQUATIONS WITH JUMPS ⋮ Density estimate in small time for jump processes with singular Lévy measures ⋮ Poisson discretizations of Wiener functionals and Malliavin operators with Wasserstein estimates ⋮ Estimation and Calibration of Lévy Models via Fourier Methods ⋮ Limit theorems, scaling of moments and intermittency for integrated finite variance supOU processes ⋮ Exponential ergodicity of the solutions to SDE's with a jump noise ⋮ Transportation inequalities for non-globally dissipative SDEs with jumps via Malliavin calculus and coupling ⋮ Gradient estimates and exponential ergodicity for mean-field SDEs with jumps ⋮ Malliavin calculus of Bismut type for fractional powers of Laplacians in semi-group theory ⋮ GREEKS FORMULAS FOR AN ASSET PRICE MODEL WITH GAMMA PROCESSES ⋮ Differentiable measures and the Malliavin calculus ⋮ Sensitivity analysis for averaged asset price dynamics with gamma processes ⋮ Perturbation analysis and Malliavin calculus ⋮ Malliavin Monte Carlo Greeks for jump diffusions ⋮ Explicit stochastic analysis of Brownian motion and point measures on Riemannian manifolds ⋮ The Malliavin calculus ⋮ Gradient formula for transition semigroup corresponding to stochastic equation driven by a system of independent Lévy processes ⋮ Necessary and sufficient conditions for conservativeness of dynamical semigroups
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Calcul stochastique et problèmes de martingales
- On the structure of infinitely divisible distributions
- Absolute continuity of infinitely divisible distributions
- Mécanique aléatoire
- Diffusions conditionnelles. I. Hypoellipticité partielle
- Hypoelliptic second order differential equations
- A condition for absolute continuity of infinitely divisible distribution functions
- On the integral representation of functionals of ltd processest
- [https://portal.mardi4nfdi.de/wiki/Publication:3889862 Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions]
- A generalized formula of Ito and some other properties of stochastic flows
- The Malliavin calculus and its application to second order parabolic differential equations: Part I
- [https://portal.mardi4nfdi.de/wiki/Publication:4043914 Diffusion processes associated with L�vy generators]
- [https://portal.mardi4nfdi.de/wiki/Publication:4115871 �tude des solutions extr�males et repr�sentation int�grale des solutions pour certains probl�mes de martingales]
- Functionals of Itô Processes as Stochastic Integrals
- The calculus of boundary processes
- Hitting probabilities of single points for processes with stationary independent increments
- Quelques applications de la formule de changement de variables pour les semimartingales
- On the Infinitesimal Generators of Integral Convolutions
This page was built for publication: Calcul des variations stochastique et processus de sauts