scientific article; zbMATH DE number 46016
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- The calculus of variations for processes with independent increments
- Smooth densities for solutions to stochastic differential equations with jumps
- Monte Carlo methods for derivatives of options with discontinuous payoffs
- Sensitivity analysis for averaged asset price dynamics with gamma processes
- Regular dependence on initial data for stochastic evolution equations with multiplicative Poisson noise
- The Malliavin calculus for pure jump processes and applications to local time
- Existence and smoothness of transition density for jump-type Markov processes: Applications of Malliavin calculus
- Differentiable measures and the Malliavin calculus
- Explicit stochastic analysis of Brownian motion and point measures on Riemannian manifolds
- Asymptotic behavior of the transition density for jump type processes in small time
- Density in small time at accessible points for jump processes
- Small-time expansions for state-dependent local jump-diffusion models with infinite jump activity
- Smooth density and its short time estimate for jump process determined by SDE
- Existence of density functions for the running maximum of a Lévy-Itô diffusion
- Integration by parts and martingale representation for a Markov chain
- Regularity of the law of stochastic differential equations with jumps under Hörmander's conditions: the lent particle method
- Anticipative Markovian transformations on the Poisson space.
- Jumping SDEs: absolute continuity using monotonicity.
- Asymptotic expansion formulas for functionals of \(\varepsilon\)-Markov processes with a mixing property
- A probabilistic approach for nonlinear equations involving the fractional Laplacian and a singular operator
- Malliavin differentiability of solutions of SPDEs with Lévy white noise
- Surface measures and tightness of (r,p)-capacities on Poisson space
- Explicit form and robustness of martingale representations.
- Strict positivity of the density for simple jump processes using the tools of support theorems. Application to the Kac equation without cutoff
- Smoothness of harmonic functions for processes with jumps.
- Malliavin calculus for parabolic SPDEs with jumps.
- Existence and regularity study for two-dimensional Kac equation without cutoff by a probabilistic approach.
- Partial mixing and Edgeworth expansion
- Computations of Greeks in a market with jumps via the Malliavin calculus
- Differential calculus relative to some point processes
- On the existence of smooth densities for jump processes
- Iteration of the lent particle method for existence of smooth densities of Poisson functionals
- A free boundary characterisation of the root barrier for Markov processes
- Joint estimation for volatility and drift parameters of ergodic jump diffusion processes via contrast function
- Total variation distance between a jump-equation and its Gaussian approximation
- Using moment approximations to study the density of jump driven SDEs
- Unbiased truncated quadratic variation for volatility estimation in jump diffusion processes
- On distributions of exponential functionals of the processes with independent increments
- Smoothness of densities for path-dependent SDEs under Hörmander's condition
- Supports for degenerate stochastic differential equations with jumps and applications
- Tools for Malliavin calculus in UMD Banach spaces
- Derivative formulae for SDEs driven by multiplicative \(\alpha\)-stable-like processes
- Poisson discretizations of Wiener functionals and Malliavin operators with Wasserstein estimates
- Transportation inequalities for non-globally dissipative SDEs with jumps via Malliavin calculus and coupling
- Tube estimates for diffusions under a local strong Hörmander condition
- Gradient estimates and exponential ergodicity for mean-field SDEs with jumps
- Derivative formula and coupling property for linear SDEs driven by Lévy processes
- Jump SDEs and the study of their densities. A self-study book
- Estimating functions for SDE driven by stable Lévy processes
- Rice formula for processes with jumps and applications
- Malliavin calculus approach to statistical inference for Lévy driven SDE's
- Local asymptotic mixed normality property for discretely observed stochastic differential equations driven by stable Lévy processes
- The Itô-Ventzell formula and forward stochastic differential equations driven by Poisson random measures
- Energy image density property and the lent particle method for Poisson measures
- Holomorphic transforms with application to affine processes
- Fundamental solutions of nonlocal Hörmander's operators
- Smoothness of the law of manifold-valued Markov processes with jumps
- Smooth density for the solution of scalar SDEs with locally Lipschitz coefficients under Hörmander condition
- On parabolic inequalities for generators of diffusions with jumps
- Integration by parts formula for locally smooth laws and applications to sensitivity computations
- Discrete-time approximation of decoupled Forward-Backward SDE with jumps
- Estimation and prediction of a non-constant volatility
- An asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange rates
- Asymptotic expansion for Barndorff-Nielsen and Shephard's stochastic volatility model
- Existence of densities for jumping stochastic differential equations
- A discrete-time Clark-Ocone formula for Poisson functionals
- Conditional expansions and their applications.
- Malliavin Monte Carlo Greeks for jump diffusions
- Hörmander's hypoelliptic theorem for nonlocal operators
- Density estimates for jump diffusion processes
- Malliavin calculus for marked binomial processes and applications
- Existence and smoothness of the densities of stochastic functional differential equations with jumps
- Computation of Greeks and multidimensional density estimation for asset price models with time-changed Brownian motion
- Stochastic representation of a fractional subdiffusion equation. The case of infinitely divisible waiting times, Lévy noise and space-time-dependent coefficients
- Stochastic solution of fractional Fokker-Planck equations with space-time-dependent coefficients
- Composition with distributions of Wiener-Poisson variables and its asymptotic expansion
- Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuan
- Sensitivity analysis of catastrophe bond price under the Hull-White interest rate model
- Strong Feller properties for degenerate SDEs with jumps
- Functionals of a Lévy process on canonical and generic probability spaces
- scientific article; zbMATH DE number 5079343 (Why is no real title available?)
- Derivative-free greeks for the Barndorff-Nielsen and Shephard stochastic volatility model
- Malliavin Calculus for Pure Jump Processes and Applications to Finance
- Nondegenerate SDEs with jumps and their hypoelliptic properties
- scientific article; zbMATH DE number 4064178 (Why is no real title available?)
- Small-time expansions for local jump-diffusion models with infinite jump activity
- scientific article; zbMATH DE number 409582 (Why is no real title available?)
- Density in small time for Lévy processes
- On the Estimations of Smooth Densities for Integro-differential Operators
- Pointwise convergence of Boltzmann solutions for grazing collisions in a Maxwell gas via a probabilitistic interpretation
- Absolute continuity for some one-dimensional processes
- Lévy flights in evolutionary ecology
- Asymptotic expansion approach in finance
- On maximal inequalities for purely discontinuous martingales in infinite dimensions
- Asymptotics in small time for the density of a stochastic differential equation driven by a stable Lévy process
- Stochastic flows and jump-diffusions
- An extension of the Clark-Ocone formula under benchmark measure for Lévy processes
- Densities for SDEs driven by degenerate \(\alpha\)-stable processes
- LAMN property for the drift and volatility parameters of a SDE driven by a stable Lévy process
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