Local Malliavin calculus for Lévy processes and applications

DOI10.1080/17442508.2013.842570zbMath1337.60112arXiv1210.1156MaRDI QIDQ2812011

Josep Vives, Frederic Utzet, Jorge A. Leon, Josep Lluís Solé

Publication date: 10 June 2016

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1210.1156

zbMATH Keywords

stochastic differential equations; Lévy process; Malliavin derivative

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60H05: Stochastic integrals

60H07: Stochastic calculus of variations and the Malliavin calculus