Stochastic analysis for obtuse random walks

DOI10.1007/s10959-013-0522-zzbMath1323.60062arXiv1212.2324OpenAlexW2086395507MaRDI QIDQ495716

Tarek Hamdi, Uwe Franz

Publication date: 15 September 2015

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1212.2324

zbMATH Keywords

stochastic integralsoption hedgingdiscrete-time normal martingaleschaotic calculusobtuse random walks

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Sums of independent random variables; random walks (60G50) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Stochastic integrals (60H05)

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Malliavin calculus for marked binomial processes and applications, Bounds in total variation distance for discrete-time processes on the sequence space

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