Stochastic calculus of variations for jump processes

DOI10.1515/9783110282009MaRDI QIDQ5891096zbMATH OpenOpenAlexFDO

Authors Yasushi Ishikawa

Publication date 23 July 2013

Published in De Gruyter Studies in Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/9783110282009

zbMATH Keywords

jump diffusionsjump processLévy processMalliavin calculusPoisson spacestochastic calculus of variationsWiener space

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Processes with independent increments; Lévy processes (60G51) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

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Cited in

(22)

• Total variation distance between a jump-equation and its Gaussian approximation
• On Markovian semigroups of Lévy driven SDEs, symbols and pseudo-differential operators
• Malliavin calculus and optimal control of stochastic Volterra equations
• The current duration design for estimating the time to pregnancy distribution: a nonparametric Bayesian perspective
• Ergodicity of stochastic shell models driven by pure jump noise
• Lévy Processes and Stochastic Calculus
• scientific article; zbMATH DE number 46016 (Why is no real title available?)
• Local risk-minimization for Barndorff-Nielsen and Shephard models with volatility risk premium
• Asymptotic expansion for the transition densities of stochastic differential equations driven by the gamma processes
• Local risk-minimization for Barndorff-Nielsen and Shephard models
• The Onsager–Machlup function as Lagrangian for the most probable path of a jump-diffusion process
• scientific article; zbMATH DE number 5174025 (Why is no real title available?)
• Optimal control of mean-field jump-diffusion systems with noisy memory
• STOCHASTIC EQUATIONS OF PROCESSES WITH JUMPS
• Malliavin's calculus and applications in stochastic control and finance
• Stochastic calculus of variations for jump processes
• Hypoellipticity and parabolic hypoellipticity of nonlocal operators under Hörmander's condition
• Stochastic calculus of variations. For jump processes
• Upper bounds for the derivatives of the density associated to solutions of stochastic differential equations with jumps
• Approximation for the invariant measure with applications for jump processes (convergence in total variation distance)
• Transition pathways for a class of degenerate stochastic dynamical systems with Lévy noise
• Transfer of regularity for Markov semigroups by using an interpolation technique

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