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

zbMATH Keywords

Malliavin calculusstochastic integralsjump-diffusion processesforward-backward stochastic calculusconvex concentration

Mathematics Subject Classification ID

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)

Convex concentration for some additive functionals of jump stochastic differential equations ⋮ Erratum to: Convex ordering for random vectors using predictable representation ⋮ Wasserstein distance estimates for stochastic integrals by forward-backward stochastic calculus

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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