scientific article; zbMATH DE number 5606168

MaRDI QIDQ3397483zbMATH OpenFDO

Authors Giulia Di Nunno, B. Øksendal

Publication date 22 September 2009

zbMATH Keywords

Donsker delta functionFourier transformincomplete marketnon-hedgeable claimwhite noise

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Random measures (60G57) White noise theory (60H40) Financial applications of other theories (91G80)

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Cited in

(10)

• The Donsker delta function of a Lévy process with application to chaos expansion of local time
• A financial market with singular drift and no arbitrage
• Analytical solution for the collapse motion of an empty hyper-spherical bubble in \(N\) dimensions
• Optimal insider control of stochastic partial differential equations
• Viable insider markets
• A representation theorem and a sensitivity result for functionals of jump diffusions
• Using the Donsker delta function to compute hedging strategies
• Donsker's delta function of Lévy process
• Characterization and analysis of generalized grey incomplete gamma noise
• A Donsker delta functional approach to optimal insider control and applications to finance

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