White noise of Poisson random measures

DOI10.1023/B:POTA.0000034329.34647.fdzbMath1060.60069OpenAlexW2049823057MaRDI QIDQ702015

Bernt Øksendal, Frank Norbert Proske

Publication date: 17 January 2005

Published in: Potential Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/b:pota.0000034329.34647.fd

zbMATH Keywords

Lévy processeswhite noisePoisson random measureschaos expansionsgeneralized Clark-Haussmann-Ocone formulaportfolios in financial marketsstochastic derivatives

Mathematics Subject Classification ID

White noise theory (60H40)

Related Items

Composition with distributions of Wiener-Poisson variables and its asymptotic expansion ⋮ Stochastic partial differential equations driven by Lévy space-time white noise. ⋮ Transportation inequalities for stochastic differential equations with jumps ⋮ Canonical Lévy process and Malliavin calculus ⋮ Differential equations driven by Lévy white noise in spaces of Hilbert space-valued stochastic distributions ⋮ Short-term risk management using stochastic Taylor expansions under Lévy models ⋮ Stochastic partial differential equations driven by multi-parameter white noise of Lévy processes ⋮ UNIQUENESS OF DECOMPOSITIONS OF SKOROHOD-SEMIMARTINGALES ⋮ An extension of the Clark–Ocone formula under benchmark measure for Lévy processes ⋮ Explicit representation of strong solutions of SDEs driven by infinite-dimensional Lévy processes ⋮ Stochastic Feynman–Kac Equations Associated to Lévy–Itô Diffusions ⋮ The explicit chaotic representation of the powers of increments of Lévy processes ⋮ Martingale representation for Poisson processes with applications to minimal variance hedging ⋮ Stochastic calculus for convoluted Lévy processes ⋮ MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES ⋮ Optimal portfolio for an insider in a market driven by Lévy processes§ ⋮ THE CAUCHY PROBLEM FOR THE WAVE EQUATION WITH LÉVY NOISE INITIAL DATA ⋮ Numerical Methods for SPDEs with Tempered Stable Processes