Stochastic derivative of Poisson polynomial functionals and its application

zbMATH Open1456.60132MaRDI QIDQ3387410FDOQ3387410

Authors: V. Jaoshvili, O. Purtukhia, Zurab Zerakidze 

Publication date: 12 January 2021

Full work available at URL: http://science.org.ge/bnas/t14-n1/04_Jaoshvili_Mathematics.pdf

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• scientific article; zbMATH DE number 4122983

zbMATH Keywords

Poisson functionalClark representationClark-Haussmann-Ocone representationstochastic (Malliavin) derivative

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic integrals (60H05)

Cited In (7)

• Derivative formulae for stochastic differential equations driven by Poisson random measures
• Taylor approximation of stochastic functional differential equations with the Poisson jump
• Stochastic integral representations, stochastic derivatives and minimal variance hedging
• Stochastic integral representation of two-dimensional Poisson functionals
• Stochastic integral representation of functionals of Poisson processes
• On chaos representation and orthogonal polynomials for the doubly stochastic Poisson process
• Stochastic integral representation of multidimensional polynomial Poisson functionals

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