scientific article; zbMATH DE number 46016
From MaRDI portal
Publication:3996311
Recommendations
Cited in
(only showing first 100 items - show all)- Integration by parts formula and applications to equations with jumps
- Explicit stochastic analysis of Brownian motion and point measures on Riemannian manifolds
- Rice formula for processes with jumps and applications
- Asymptotics in small time for the density of a stochastic differential equation driven by a stable Lévy process
- Joint density of the stable process and its supremum: regularity and upper bounds
- Absolute continuity and convergence in variation for distributions of functionals of Poisson point measure
- Lévy flights in evolutionary ecology
- Malliavin calculus of Bismut type for fractional powers of Laplacians in semi-group theory
- Convergence of locally square integrable martingales to a continuous local martingale
- Regularization lemmas and convergence in total variation
- Controllability and qualitative properties of the solutions to SPDEs driven by boundary Lévy noise
- Pointwise convergence of Boltzmann solutions for grazing collisions in a Maxwell gas via a probabilitistic interpretation
- Hypoellipticity and parabolic hypoellipticity of nonlocal operators under Hörmander's condition
- Tools for Malliavin calculus in UMD Banach spaces
- On the existence of smooth densities for jump processes
- Holomorphic transforms with application to affine processes
- Stochastic calculus of variations. For jump processes
- Existence of density functions for the running maximum of a Lévy-Itô diffusion
- Integration by parts and martingale representation for a Markov chain
- Asymptotic expansion approach in finance
- Asymptotic expansion for Barndorff-Nielsen and Shephard's stochastic volatility model
- Smoothness of the law of manifold-valued Markov processes with jumps
- Weak error for continuous time Markov chains related to fractional in time P(I)DEs
- Weak error for stable driven stochastic differential equations: expansion of the densities
- Existence and smoothness of the densities of stochastic functional differential equations with jumps
- Transportation inequalities for non-globally dissipative SDEs with jumps via Malliavin calculus and coupling
- Nondegenerate SDEs with jumps and their hypoelliptic properties
- A probabilistic approach for nonlinear equations involving the fractional Laplacian and a singular operator
- Pricing average and spread options under local-stochastic volatility jump-diffusion models
- Smooth density and its short time estimate for jump process determined by SDE
- Integration by parts formula for locally smooth laws and applications to sensitivity computations
- Connections and curvature in the Riemannian geometry of configuration spaces
- scientific article; zbMATH DE number 4064178 (Why is no real title available?)
- Existence and regularity study for two-dimensional Kac equation without cutoff by a probabilistic approach.
- Smoothness of densities for path-dependent SDEs under Hörmander's condition
- Smooth density for the solution of scalar SDEs with locally Lipschitz coefficients under Hörmander condition
- Application of the lent particle method to Poisson-driven SDEs
- Jumping SDEs: absolute continuity using monotonicity.
- Computation of Greeks and multidimensional density estimation for asset price models with time-changed Brownian motion
- Gradient estimates and exponential ergodicity for mean-field SDEs with jumps
- The Lévy-Khintchine type operators with variable Lipschitz continuous coefficients generate linear or nonlinear Markov processes and semigroups
- Conditional expansions and their applications.
- Regular dependence on initial data for stochastic evolution equations with multiplicative Poisson noise
- Derivative formula and coupling property for linear SDEs driven by Lévy processes
- Upper bounds for the derivatives of the density associated to solutions of stochastic differential equations with jumps
- Canonical Lévy process and Malliavin calculus
- Malliavin calculus and martingale expansion
- Total variation distance between a jump-equation and its Gaussian approximation
- Smooth measures and nonlinear equations of mathematical physics
- Density estimates for jump diffusion processes
- Using moment approximations to study the density of jump driven SDEs
- On parabolic inequalities for generators of diffusions with jumps
- Transportation inequalities for stochastic differential equations of pure jumps
- Regularity of the law of stochastic differential equations with jumps under Hörmander's conditions: the lent particle method
- Composition with distributions of Wiener-Poisson variables and its asymptotic expansion
- Surface measures and tightness of (r,p)-capacities on Poisson space
- Small-time expansions for local jump-diffusion models with infinite jump activity
- Computations of Greeks in a market with jumps via the Malliavin calculus
- Time reversal of infinite-dimensional point processes
- Regularity for distribution-dependent SDEs driven by jump processes
- Density in small time for Lévy processes
- Absolute continuity for some one-dimensional processes
- On distributions of exponential functionals of the processes with independent increments
- Explicit form and robustness of martingale representations.
- Bismut-Elworthy-Li-type formulae for stochastic differential equations with jumps
- How to make Dupire's local volatility work with jumps
- On the Malliavin calculus for Markov processes with jumps
- On maximal inequalities for purely discontinuous martingales in infinite dimensions
- Regularity of the laws of shot noise series and of related processes
- A note on existence of global solutions and invariant measures for jump SDEs with locally one-sided Lipschitz drift
- Iteration of the lent particle method for existence of smooth densities of Poisson functionals
- MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES
- Malliavin calculus for parabolic SPDEs with jumps.
- A discrete-time Clark-Ocone formula for Poisson functionals
- Malliavin Calculus for Pure Jump Processes and Applications to Finance
- Density estimate in small time for jump processes with singular Lévy measures
- Asymptotic expansion for forward-backward SDEs with jumps
- On the Estimations of Smooth Densities for Integro-differential Operators
- scientific article; zbMATH DE number 5174025 (Why is no real title available?)
- Weak well-posedness for a class of degenerate Lévy-driven SDEs with Hölder continuous coefficients
- Stochastic solution of fractional Fokker-Planck equations with space-time-dependent coefficients
- Derivative formulae for SDEs driven by multiplicative \(\alpha\)-stable-like processes
- Ergodicity and exponential -mixing bounds for multidimensional diffusions with jumps
- Stochastic calculus of variations for jump processes
- Hörmander's hypoelliptic theorem for nonlocal operators
- Exponential ergodicity of the solutions to SDE's with a jump noise
- Malliavin Monte Carlo Greeks for jump diffusions
- Sensitivity analysis of catastrophe bond price under the Hull-White interest rate model
- An asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange rates
- Asymptotic behavior of the transition density for jump type processes in small time
- Anticipated backward SDEs with jumps and quadratic-exponential growth drivers
- Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuan
- Density in small time at accessible points for jump processes
- Estimation and prediction of a non-constant volatility
- Small-time expansions for state-dependent local jump-diffusion models with infinite jump activity
- Derivative-free greeks for the Barndorff-Nielsen and Shephard stochastic volatility model
- A unifying formulation of the Fokker-Planck-Kolmogorov equation for general stochastic hybrid systems
- Hellinger and total variation distance in approximating Lévy driven SDEs
- Tube estimates for diffusions under a local strong Hörmander condition
- Existence of densities for jumping stochastic differential equations
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3996311)
