Malliavin calculus for marked binomial processes and applications
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Publication:2679546
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Cites work
- A generalized clark representation formula, with application to optimal portfolios
- A new modified logarithmic Sobolev inequality for Poisson point processes and several applications
- A note on an inequality involving the normal distribution
- An extension of clark' formula
- An Introduction to Stein's Method
- Bounds in total variation distance for discrete-time processes on the sequence space
- Chaotic and predictable representations for Lévy processes.
- Chaotic and variational calculus in discrete and continuous time for the poisson process
- Complex obtuse random walks and their continuous-time limits
- Compound Poisson approximation for nonnegative random variables via Stein's method
- Compound Poisson approximation of word counts in DNA sequences
- Compound Poisson approximation: A user's guide
- Compound Poisson approximations for word patterns under Markovian hypotheses
- Continuity of Solutions of Parabolic and Elliptic Equations
- Equivalent martingale measures and no-arbitrage in stochastic securities market models
- Fine Gaussian fluctuations on the Poisson space. II: Rescaled kernels, marked processes and geometric \(U\)-statistics
- Functional inequalities for marked point processes
- Functional Poisson approximation in Kantorovich-Rubinstein distance with applications to U-statistics and stochastic geometry
- Higher order concentration of measure
- scientific article; zbMATH DE number 4149279 (Why is no real title available?)
- scientific article; zbMATH DE number 4028547 (Why is no real title available?)
- scientific article; zbMATH DE number 46016 (Why is no real title available?)
- scientific article; zbMATH DE number 52632 (Why is no real title available?)
- scientific article; zbMATH DE number 679799 (Why is no real title available?)
- scientific article; zbMATH DE number 3438144 (Why is no real title available?)
- Malliavin and Dirichlet structures for independent random variables
- Martingale representation for Poisson processes with applications to minimal variance hedging
- Mean-variance hedging for general claims
- Noncentral convergence of multiple integrals
- Normal approximation on Poisson spaces: Mehler's formula, second order Poincaré inequalities and stabilization
- Normal approximations with Malliavin calculus. From Stein's method to universality
- On the convergence of Poisson binomial to Poisson distributions
- On the size of chaos via Glauber calculus in the classical mean-field dynamics
- Option hedging for semimartingales
- Poisson approximation of point processes with stochastic intensity, and application to nonlinear Hawkes processes
- Semimartingales: A course on stochastic processes
- Solving the Stein Equation in compound poisson approximation
- Stein approximation for functionals of independent random sequences
- Stochastic analysis for obtuse random walks
- Stochastic analysis in discrete and continuous settings. With normal martingales.
- The fourth moment theorem on the Poisson space
- The Malliavin Calculus and Related Topics
- Two moments suffice for Poisson approximations: The Chen-Stein method
- Universal Gaussian fluctuations on the discrete Poisson chaos
- Variance-Optimal Hedging in Discrete Time
- White noise analysis for Lévy processes.
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