Computation of the kernels of Lévy functionals and applications

zbMATH Open1271.60065MaRDI QIDQ351806FDOQ351806

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

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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)

Cites Work

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• Malliavin calculus for Lévy processes and infinite-dimensional Brownian motion. An introduction
• The Malliavin calculus

Cited In (5)

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

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