scientific article; zbMATH DE number 46016
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Publication:3996311
zbMATH Open0706.60057MaRDI QIDQ3996311FDOQ3996311
Authors: Klaus Bichteler, J. B. Gravereaux, Jean Jacod 
Publication date: 17 September 1992
Title of this publication is not available (Why is that?)
Recommendations
Stochastic calculus of variations and the Malliavin calculus (60H07) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Continuity and singularity of induced measures (60G30)
Cited In (only showing first 100 items - show all)
- Using moment approximations to study the density of jump driven SDEs
- Composition with distributions of Wiener-Poisson variables and its asymptotic expansion
- Regularity of the law of stochastic differential equations with jumps under Hörmander's conditions: the lent particle method
- Transportation inequalities for stochastic differential equations of pure jumps
- Surface measures and tightness of \((r,p)\)-capacities on Poisson space
- Density in small time for Lévy processes
- Computations of Greeks in a market with jumps via the Malliavin calculus
- Small-time expansions for local jump-diffusion models with infinite jump activity
- On distributions of exponential functionals of the processes with independent increments
- Absolute continuity for some one-dimensional processes
- Explicit form and robustness of martingale representations.
- On the Malliavin calculus for Markov processes with jumps
- On maximal inequalities for purely discontinuous martingales in infinite dimensions
- Bismut-Elworthy-Li-type formulae for stochastic differential equations with jumps
- MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES
- Iteration of the lent particle method for existence of smooth densities of Poisson functionals
- Density estimate in small time for jump processes with singular Lévy measures
- Malliavin calculus for parabolic SPDEs with jumps.
- Stochastic calculus of variations for jump processes
- Derivative formulae for SDEs driven by multiplicative \(\alpha\)-stable-like processes
- Stochastic solution of fractional Fokker-Planck equations with space-time-dependent coefficients
- Ergodicity and exponential \(\beta\)-mixing bounds for multidimensional diffusions with jumps
- Malliavin Monte Carlo Greeks for jump diffusions
- Exponential ergodicity of the solutions to SDE's with a jump noise
- Anticipated backward SDEs with jumps and quadratic-exponential growth drivers
- An asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange rates
- Estimation and prediction of a non-constant volatility
- Asymptotic behavior of the transition density for jump type processes in small time
- Derivative-free greeks for the Barndorff-Nielsen and Shephard stochastic volatility model
- Density in small time at accessible points for jump processes
- Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuan
- Existence of densities for jumping stochastic differential equations
- Title not available (Why is that?)
- The Itô-Ventzell formula and forward stochastic differential equations driven by Poisson random measures
- Strong Feller properties for degenerate SDEs with jumps
- Strict positivity of the density for simple jump processes using the tools of support theorems. Application to the Kac equation without cutoff
- Energy image density property and the lent particle method for Poisson measures
- Densities for SDEs driven by degenerate \(\alpha\)-stable processes
- Sensitivity analysis for averaged asset price dynamics with gamma processes
- Malliavin calculus approach to statistical inference for Lévy driven SDE's
- Asymptotic expansion formulas for functionals of \(\varepsilon\)-Markov processes with a mixing property
- Local asymptotic mixed normality property for discretely observed stochastic differential equations driven by stable Lévy processes
- Partial mixing and Edgeworth expansion
- Differentiable measures and the Malliavin calculus
- Estimation of dynamic models with nonparametric simulated maximum likelihood
- Coefficients of asymptotic expansions of SDE with jumps
- Stochastic representation of a fractional subdiffusion equation. The case of infinitely divisible waiting times, Lévy noise and space-time-dependent coefficients
- Malliavin calculus on the Wiener-Poisson space and its application to canonical SDE with jumps
- Smooth densities for solutions to stochastic differential equations with jumps
- Existence and smoothness of transition density for jump-type Markov processes: Applications of Malliavin calculus
- Discrete-time approximation of decoupled Forward-Backward SDE with jumps
- The Malliavin calculus for pure jump processes and applications to local time
- Optimal quantizers for Radon random vectors in a Banach space
- Functionals of a Lévy process on canonical and generic probability spaces
- Criteria for ergodicity of Lévy type operators in dimension one
- Regularization properties of the 2D homogeneous Boltzmann equation without cutoff
- Explicit stochastic analysis of Brownian motion and point measures on Riemannian manifolds
- Integration by parts formula and applications to equations with jumps
- Rice formula for processes with jumps and applications
- Absolute continuity and convergence in variation for distributions of functionals of Poisson point measure
- Pointwise convergence of Boltzmann solutions for grazing collisions in a Maxwell gas via a probabilitistic interpretation
- Regularization lemmas and convergence in total variation
- Lévy flights in evolutionary ecology
- Tools for Malliavin calculus in UMD Banach spaces
- On the existence of smooth densities for jump processes
- Asymptotic expansion for Barndorff-Nielsen and Shephard's stochastic volatility model
- Weak error for stable driven stochastic differential equations: expansion of the densities
- Pricing average and spread options under local-stochastic volatility jump-diffusion models
- Connections and curvature in the Riemannian geometry of configuration spaces
- A probabilistic approach for nonlinear equations involving the fractional Laplacian and a singular operator
- Integration by parts formula for locally smooth laws and applications to sensitivity computations
- Nondegenerate SDEs with jumps and their hypoelliptic properties
- Smoothness of densities for path-dependent SDEs under Hörmander's condition
- Existence and regularity study for two-dimensional Kac equation without cutoff by a probabilistic approach.
- Smooth density for the solution of scalar SDEs with locally Lipschitz coefficients under Hörmander condition
- Jumping SDEs: absolute continuity using monotonicity.
- Application of the lent particle method to Poisson-driven SDEs
- Conditional expansions and their applications.
- Regular dependence on initial data for stochastic evolution equations with multiplicative Poisson noise
- The Lévy-Khintchine type operators with variable Lipschitz continuous coefficients generate linear or nonlinear Markov processes and semigroups
- Malliavin calculus and martingale expansion
- Canonical Lévy process and Malliavin calculus
- Density estimates for jump diffusion processes
- On parabolic inequalities for generators of diffusions with jumps
- Regularity for distribution-dependent SDEs driven by jump processes
- Time reversal of infinite-dimensional point processes
- How to make Dupire's local volatility work with jumps
- A note on existence of global solutions and invariant measures for jump SDEs with locally one-sided Lipschitz drift
- Regularity of the laws of shot noise series and of related processes
- Malliavin Calculus for Pure Jump Processes and Applications to Finance
- A discrete-time Clark-Ocone formula for Poisson functionals
- Weak well-posedness for a class of degenerate Lévy-driven SDEs with Hölder continuous coefficients
- Asymptotic expansion for forward-backward SDEs with jumps
- Title not available (Why is that?)
- On the Estimations of Smooth Densities for Integro-differential Operators
- Hörmander's hypoelliptic theorem for nonlocal operators
- Sensitivity analysis of catastrophe bond price under the Hull-White interest rate model
- Hellinger and total variation distance in approximating Lévy driven SDEs
- Small-time expansions for state-dependent local jump-diffusion models with infinite jump activity
- Tube estimates for diffusions under a local strong Hörmander condition
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