Stochastic analysis in discrete and continuous settings. With normal martingales.
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Publication:730785
DOI10.1007/978-3-642-02380-4zbMATH Open1185.60005OpenAlexW4253339690MaRDI QIDQ730785FDOQ730785
Authors: Nicolas Privault 
Publication date: 1 October 2009
Published in: Lecture Notes in Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-642-02380-4
Recommendations
Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Cited In (71)
- Stochastic Analysis for Poisson Processes
- An integration by parts formula for functionals of the Dirichlet-ferguson measure, and applications
- Fourth moment theorems on the Poisson space: analytic statements via product formulae
- Laplace transform identities and measure-preserving transformations on the Lie-Wiener-Poisson spaces
- Permutation invariant functionals of Lévy processes
- Invariance principles for homogeneous sums: universality of Gaussian Wiener chaos
- Moment formulae for general point processes
- Normal approximation of Poisson functionals in Kolmogorov distance
- Simulation of BSDEs with jumps by Wiener chaos expansion
- A discrete-time Clark-Ocone formula for Poisson functionals
- Moment identities for Poisson-Skorohod integrals and application to measure invariance
- Discrete Hilbert transform à la Gundy-Varopoulos
- U-Statistics on the Spherical Poisson Space
- Determinantal martingales and correlations of noncolliding random walks
- Some results on Parisian walks
- Backward stochastic difference equations for dynamic convex risk measures on a binomial tree
- Gaussian estimates for the solutions of some one-dimensional stochastic equations
- Functional inequalities for marked point processes
- On high-frequency limits of \(U\)-statistics in Besov spaces over compact manifolds
- Dyson type formula for pure jump Lévy processes with some applications to finance
- Mean square rate of convergence for random walk approximation of forward-backward SDEs
- Girsanov identities for Poisson measures under quasi-nilpotent transformations
- Lévy Systems and Moment Formulas for Mixed Poisson Integrals
- Distribution of the integral of maximum processes and applications
- On the fourth moment theorem for complex multiple Wiener–Itô integrals
- On some expectation and derivative operators related to integral representations of random variables with respect to a PII process
- Stein estimation of the intensity of a spatial homogeneous Poisson point process
- Discretizing Malliavin calculus
- Normal approximation on Poisson spaces: Mehler's formula, second order Poincaré inequalities and stabilization
- Malliavin calculus for marked binomial processes and applications
- Discrete Malliavin calculus and computations of Greeks in the binomial tree
- A discrete-time Clark-Ocone formula and its application to an error analysis
- Stein's method for diffusive limits of queueing processes
- Infinite divisibility of interpolated gamma powers
- Malliavin and Dirichlet structures for independent random variables
- Computation of Greeks in jump-diffusion models using discrete Malliavin calculus
- Berry-Esseen bounds for functionals of independent random variables
- Poisson discretizations of Wiener functionals and Malliavin operators with Wasserstein estimates
- Gaussian density estimates for the solution of singular stochastic Riccati equations.
- Martingale representations for functionals of Lévy processes
- Second order Riesz transforms on multiply-connected Lie groups and processes with jumps
- Various Sharp Estimates for Semi-discrete Riesz Transforms of the Second Order
- Integration by parts and martingale representation for a Markov chain
- Malliavin calculus in a binomial framework
- Quasi-invariance and integration by parts for determinantal and permanental processes
- Stochastic analysis for obtuse random walks
- Combinatorics of Poisson Stochastic Integrals with Random Integrands
- A fractional Donsker theorem
- Pricing formulae for derivatives in insurance using Malliavin calculus
- Bounds in total variation distance for discrete-time processes on the sequence space
- Enlargement of filtration on Poisson space: a Malliavin calculus approach
- Universal Gaussian fluctuations on the discrete Poisson chaos
- De Rham-Hodge decomposition and vanishing of harmonic forms by derivation operators on the Poisson space
- Normal approximations for wavelet coefficients on spherical Poisson fields
- Stein approximation for functionals of independent random sequences
- Normal approximation for sums of weighted \(U\)-statistics -- application to Kolmogorov bounds in random subgraph counting
- Invariance of Poisson measures under random transformations
- Concentration inequalities for measures of a Boolean model
- Cumulant operators for Lie-Wiener-Itô-Poisson stochastic integrals
- The It{\^o}-Tanaka Trick: a non-semimartingale approach
- Stochastic analysis on time scales
- Weitzenböck and Clark-Ocone Decompositions for Differential Forms on the Space of Normal Martingales
- On martingale chaoses
- A modified \(\Phi \)-Sobolev inequality for canonical Lévy processes and its applications
- A probabilistic method for a class of non-Lipschitz BSDEs with application to fund management
- On the chaotic expansion for counting processes
- Gaussian-type density bounds for solutions to multidimensional backward SDEs and application to gene expression
- Moment formulae for general point processes
- Normal approximation of compound Hawkes functionals
- A q -binomial extension of the CRR asset pricing model
- The Malliavin-Stein method for Hawkes functionals
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