Computation of the kernels of Lévy functionals and applications

MaRDI QIDQ351806zbMATH OpenFDO

Authors Horst Osswald

Publication date 10 July 2013

Published in Illinois Journal of Mathematics (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.ijm/1369841786

zbMATH Keywords

Malliavin derivativechaos decompositionLévy functionals

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic calculus of variations and the Malliavin calculus (60H07) Brownian motion (60J65) White noise theory (60H40)

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Cited in

(5)

• To be or not to be constructive, that is not the question
• Kernel-correlated Lévy field driven forward rate and application to derivative pricing
• The computational content of nonstandard analysis
• Permutation invariant functionals of Lévy processes
• From probability measures to each Lévy triplet and back

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