The stochastic Leibniz formula for Volterra integrals under enlarged filtrations

DOI10.1080/15326349.2023.2173233MaRDI QIDQ6092933zbMATH OpenOpenAlexWikidataFDO

Authors

Publication date 23 November 2023

Published in Stochastic Models (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/15326349.2023.2173233

zbMATH Keywords

stochastic differential equation (SDE)enlarged filtrationparameter integralLévy processDoléans-Dade exponentialbackward stochastic Volterra integral equation (BSVIE)drift restrictionstochastic Leibniz formulaVolterra process/integral/equation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Random measures (60G57) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalized stochastic processes (60G20) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Stochastic integral equations (60H20)

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Cites work

• scientific article; zbMATH DE number 1241987 (Why is no real title available?)
• scientific article; zbMATH DE number 1834045 (Why is no real title available?)
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• Harnesses, Lévy bridges and Monsieur Jourdain
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• Optimal portfolio for an insider in a market driven by Lévy processes§
• Risk minimization in financial markets modeled by Itô-Lévy processes
• Time reversal on Lévy processes
• Well-posedness and regularity of backward stochastic Volterra integral equations

Cited in

(2)

• On approximation for time-fractional stochastic diffusion equations on the unit sphere
• Interest rate modeling with generalized Langevin equations

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