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)

Review text

This monograph deals with Malliavin calculus for jump processes. The main topics of the book range from basic material on Lévy processes, stochastic calculus in a semimartingale setting and SDEs driven by Lévy processes over Malliavin calculus on Poisson space to several applications.NEWLINENEWLINEThe variational calculus is developed by the method of perturbations of trajectories on the Wiener-Poisson space in the spirit of potential theory and nonlocal integro-differential operators. The chapter on applications includes some results on asymptotic expansions for SDEs followed by an optimal consumption problem from mathematical finance.NEWLINENEWLINEThe text is well written and most of the results are given with proofs, or respective references. It is certainly a valuable contribution to the literature on the stochastic calculus of variations and it will be a helpful source for everybody interested in Malliavin calculus in a jump process setting.

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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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