Asymptotic expansions for functionals of a Poisson random measure

DOI10.1215/KJM/1250280977zbMATH Open1281.60051OpenAlexW1587567810MaRDI QIDQ952178FDOQ952178

Masafumi Hayashi

Publication date: 10 November 2008

Published in: Journal of Mathematics of Kyoto University (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.kjm/1250280977

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Random measures (60G57) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cited In (4)

• Composition with distributions of Wiener-Poisson variables and its asymptotic expansion
• ASYMPTOTIC EXPANSION FOR THE TRANSITION DENSITIES OF STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY THE GAMMA PROCESSES
• Asymptotic Expansion Approach in Finance
• Coefficients of asymptotic expansions of SDE with jumps

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