Convex comparison inequalities for non-Markovian stochastic integrals
DOI10.1080/17442508.2012.659666zbMath1296.60138OpenAlexW1980878752MaRDI QIDQ5410810
Benjamin Laquerrière, Jean-Christophe Breton, Nicolas Privault
Publication date: 17 April 2014
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508.2012.659666
Malliavin calculusstochastic integralsjump-diffusion processesforward-backward stochastic calculusconvex concentration
Inequalities; stochastic orderings (60E15) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
Related Items (3)
Cites Work
- Convex concentration inequalities and forward-backward stochastic calculus
- Comparison of option prices in semimartingale models
- Convex ordering for random vectors using predictable representation
- On certain relations between the path integrals and the translation operator and its dual in canonical Poisson space
- The Malliavin Calculus and Related Topics
- Robustness of the Black and Scholes Formula
- MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES
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