Absolutely Continuous Laws of Jump-Diffusions in Finite and Infinite Dimensions with Applications to Mathematical Finance

DOI10.1137/070708822zbMath1173.60332arXivmath/0509016OpenAlexW2090076107MaRDI QIDQ3398284

Barbara Forster, Eva Lütkebohmert, Josef Teichmann

Publication date: 28 September 2009

Published in: SIAM Journal on Mathematical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0509016

zbMATH Keywords

greeksMalliavin calculusstochastic partial differential equationcompound Poisson processjump-diffusionHörmander conditioninterest rate theoryMalliavin weight

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Interest rates, asset pricing, etc. (stochastic models) (91G30) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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