Stochastic calculus of variations for jump processes
DOI10.1515/9783110282009zbMATH Open1301.60003OpenAlexW2496835772MaRDI QIDQ5891096FDOQ5891096
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
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jump diffusionsMalliavin calculusWiener spacejump processPoisson spacestochastic calculus of variationsLévy process
Processes with independent increments; Lévy processes (60G51) Stochastic calculus of variations and the Malliavin calculus (60H07) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stochastic integrals (60H05)
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- Local risk-minimization for Barndorff-Nielsen and Shephard models with volatility risk premium
- STOCHASTIC EQUATIONS OF PROCESSES WITH JUMPS
- Approximation for the invariant measure with applications for jump processes (convergence in total variation distance)
- Asymptotic expansion for the transition densities of stochastic differential equations driven by the gamma processes
- Hypoellipticity and parabolic hypoellipticity of nonlocal operators under Hörmander's condition
- The Onsager–Machlup function as Lagrangian for the most probable path of a jump-diffusion process
- Stochastic calculus of variations. For jump processes
- Stochastic calculus of variations for jump processes
- Malliavin's calculus and applications in stochastic control and finance
- Lévy Processes and Stochastic Calculus
- Ergodicity of stochastic shell models driven by pure jump noise
- Upper bounds for the derivatives of the density associated to solutions of stochastic differential equations with jumps
- Total variation distance between a jump-equation and its Gaussian approximation
- Local risk-minimization for Barndorff-Nielsen and Shephard models
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