Martingale Representation of Functionals of Lévy Processes
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Cites work
- scientific article; zbMATH DE number 3875591 (Why is no real title available?)
- scientific article; zbMATH DE number 785439 (Why is no real title available?)
- Anticipating integrals for a class of martingales
- Anticipative Markovian transformations on the Poisson space.
- Chaotic and predictable representations for Lévy processes.
- Chaotic and variational calculus in discrete and continuous time for the poisson process
- On Lévy processes, Malliavin calculus and market models with jumps
- On the existence of smooth densities for jump processes
- Option hedging for semimartingales
- Spectral Type of the Shift Transformation of Differential Processes With Stationary Increments
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Cited in
(33)- Composition with distributions of Wiener-Poisson variables and its asymptotic expansion
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- Hedging Under Worst-Case-Scenario in a Market Driven by Time-Changed Lévy Noises
- Poisson process Fock space representation, chaos expansion and covariance inequalities
- Hedging of options for jump-diffusion stochastic volatility models by Malliavin calculus
- Lévy white noise calculus based on interaction exponents
- An anticipating calculus for square integrable pure jump Levy processes
- Risk minimization in financial markets modeled by Itô-Lévy processes
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- A hull and white formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility
- An extension of the Clark-Ocone formula under benchmark measure for Lévy processes
- For which functions are 𝑓(𝑋_{𝑡})-𝔼𝕗(𝕏_{𝕥}) and 𝕘(𝕏_{𝕥})/𝔼𝕘(𝕏_{𝕥}) martingales?
- Malliavin calculus for subordinated Lévy process
- A Stroock formula for a certain class of Lévy processes and applications to finance
- Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Levy Processes
- Optimal control of mean-field backward doubly stochastic systems driven by Itô-Lévy processes
- A Girsanov transformed Clark-Ocone-Haussmann type formula for \(L^1\)-pure jump additive processes and its application to portfolio optimization
- A construction of processes with one-dimensional martingale marginals, associated with a Lévy process, via its Lévy sheet
- HEDGING STRATEGIES AND MINIMAL VARIANCE PORTFOLIOS FOR EUROPEAN AND EXOTIC OPTIONS IN A LÉVY MARKET
- Martingale representations for functionals of Lévy processes
- On filtration enlargements and purely discontinuous martingales
- Optimal portfolio for an insider in a market driven by Lévy processes§
- Stochastic viscosity solutions for stochastic integral-partial differential equations
- Clark-Ocone formula and variational representation for Poisson functionals
- Transportation inequalities for non-globally dissipative SDEs with jumps via Malliavin calculus and coupling
- Noise inference for ergodic Lévy driven SDE
- The explicit chaotic representation of the powers of increments of Lévy processes
- Lévy-Ornstein-Uhlenbeck transition semigroup as second quantized operator
- BSDEs driven by time-changed Lévy noises and optimal control
- scientific article; zbMATH DE number 2131680 (Why is no real title available?)
- Lévy-Ito models in finance
- scientific article; zbMATH DE number 7782818 (Why is no real title available?)
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