RANDOM FIELDS: NON-ANTICIPATING DERIVATIVE AND DIFFERENTIATION FORMULAS

DOI10.1142/S0219025707002828zbMath1146.60044MaRDI QIDQ3502795

Giulia Di Nunno

Publication date: 20 May 2008

Published in: Infinite Dimensional Analysis, Quantum Probability and Related Topics (Search for Journal in Brave)

zbMATH Keywords

Clark-Ocone formulainfinitely divisible lawnon-anticipative stochastic derivativerandom measure with independent values

Mathematics Subject Classification ID

Random fields (60G60) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (5)

Robustness of quadratic hedging strategies in finance via backward stochastic differential equations with jumps ⋮ Martingale representation for Poisson processes with applications to minimal variance hedging ⋮ The calculus of variations for processes with independent increments ⋮ Martingale representations for functionals of Lévy processes ⋮ Minimal-Variance Hedging in Large Financial Markets: Random Fields Approach

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• Stochastic integral
• White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance

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