Lévy processes and Itô-Skorokhod integrals

MaRDI QIDQ3077802zbMATHFDO

Authors K. Es-Sebaiy, Ciprian A. Tudor

Publication date 22 February 2011

zbMATH Keywords

Malliavin calculusClark-Ocone formulaSkorokhod integralmartingale-valued measure

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Generalizations of martingales (60G48) Generalized stochastic processes (60G20)

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Cited in

(6)

• On Lévy's equivalence theorem in Skorohod space
• On extended stochastic integrals with respect to Lévy processes
• An anticipating It\^o formula for L\'evy processes
• Discrete-time approximation of decoupled forward-backward stochastic differential equations driven by pure jump Lévy processes
• A ``direct method to prove the generalized Itô-Venttsel' formula for a generalized stochastic differential equation
• On integrals with respect to Lévy processes.

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