Permutation invariant functionals of Lévy processes

DOI10.1090/tran/7001zbMath1379.60051arXiv1407.3645OpenAlexW2963592735WikidataQ109914661 ScholiaQ109914661MaRDI QIDQ5367094

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Publication date: 12 October 2017

Published in: Transactions of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1407.3645

zbMATH Keywords

backward stochastic differential equationsinvariant chaos expansionItô's chaos expansion

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Dynamical aspects of measure-preserving transformations (37A05) Ergodic theory on groups (22D40)

Related Items (4)

\(L_{2}\)-variation of Lévy driven BSDEs with non-smooth terminal conditions ⋮ A note on Malliavin fractional smoothness for Lévy processes and approximation ⋮ Malliavin smoothness on the Lévy space with Hölder continuous or \(B V\) functionals ⋮ Decoupling on the Wiener Space, Related Besov Spaces, and Applications to BSDEs

Cites Work

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• A note on Malliavin fractional smoothness for Lévy processes and approximation
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• Simulation of BSDEs by Wiener chaos expansion
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• Spectral Type of the Shift Transformation of Differential Processes With Stationary Increments
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• Lévy Processes and Stochastic Calculus
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• Denseness of certain smooth L\'evy functionals in $\DD_{1,2}$
• Measure and integration theory. Transl. from the German by Robert B. Burckel
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