Asymptotic expansions for functionals of a Poisson random measure

DOI10.1215/KJM/1250280977MaRDI QIDQ952178zbMATH OpenOpenAlexFDO

Authors Masafumi Hayashi

Publication date 10 November 2008

Published in Journal of Mathematics of Kyoto University (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.kjm/1250280977

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Random measures (60G57) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cited in

(4)

• Composition with distributions of Wiener-Poisson variables and its asymptotic expansion
• Coefficients of asymptotic expansions of SDE with jumps
• Asymptotic expansion for the transition densities of stochastic differential equations driven by the gamma processes
• Asymptotic expansion approach in finance

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