Malliavin calculus for subordinated Lévy process

DOI10.1016/J.CHAOS.2018.09.027MaRDI QIDQ2201376zbMATH OpenOpenAlexFDO

Authors Hi Jun Choe, Jimin Lee, Jung-Kyung Lee

Publication date 29 September 2020

Published in Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.chaos.2018.09.027

zbMATH Keywords

Malliavin derivativechaos expansionsubordinationClark-Ocone formularisk-free hedgingLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic calculus of variations and the Malliavin calculus (60H07) Portfolio theory (91G10)

Recommendations

• scientific article; zbMATH DE number 5227638
• On Lévy processes, Malliavin calculus and market models with jumps
• Canonical Lévy process and Malliavin calculus
• Chaos expansion for multifractional Lévy processes
• Functionals of a Lévy process on canonical and generic probability spaces

Cites work

• scientific article; zbMATH DE number 3115404 (Why is no real title available?)
• scientific article; zbMATH DE number 3858117 (Why is no real title available?)
• scientific article; zbMATH DE number 3638903 (Why is no real title available?)
• scientific article; zbMATH DE number 1232408 (Why is no real title available?)
• scientific article; zbMATH DE number 1102528 (Why is no real title available?)
• scientific article; zbMATH DE number 2006037 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• Anticipating integrals for a class of martingales
• Canonical Lévy process and Malliavin calculus
• Chaotic and predictable representations for Lévy processes.
• Diffusion Equation and Stochastic Processes
• Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Levy Processes
• Introductory lectures on fluctuations of Lévy processes with applications.
• Martingale Representation of Functionals of Lévy Processes
• On Lévy processes, Malliavin calculus and market models with jumps
• On Square Integrable Martingales
• On the relationship between subordinate killed and killed subordinate processes
• Spectral Type of the Shift Transformation of Differential Processes With Stationary Increments
• Stochastic calculus with anticipating integrands
• The Malliavin Calculus and Related Topics

Cited in

(5)

• Canonical Lévy process and Malliavin calculus
• scientific article; zbMATH DE number 5079343 (Why is no real title available?)
• scientific article; zbMATH DE number 6470865 (Why is no real title available?)
• Chaos expansion for multifractional Lévy processes
• Burkholder's submartingales from a stochastic calculus perspective

This page was built for publication: Malliavin calculus for subordinated Lévy process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2201376)