Bismut-Elworthy-Li-type formulae for stochastic differential equations with jumps (Q975336)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Bismut-Elworthy-Li-type formulae for stochastic differential equations with jumps |
scientific article |
Statements
Bismut-Elworthy-Li-type formulae for stochastic differential equations with jumps (English)
0 references
9 June 2010
0 references
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.
0 references
Heat kernel
0 references
Jump process
0 references
Logarithmic derivative
0 references
Malliavin calculus
0 references
