Stochastic analysis of Bernoulli processes
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Publication:980779
Malliavin calculusdiscrete timefunctional inequalitiesoption hedgingchaotic calculusBernoulli processes
Processes with independent increments; Lévy processes (60G51) Stochastic calculus of variations and the Malliavin calculus (60H07) Martingales with discrete parameter (60G42) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Sums of independent random variables; random walks (60G50) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)
Abstract: These notes survey some aspects of discrete-time chaotic calculus and its applications, based on the chaos representation property for i.i.d. sequences of random variables. The topics covered include the Clark formula and predictable representation, anticipating calculus, covariance identities and functional inequalities (such as deviation and logarithmic Sobolev inequalities), and an application to option hedging in discrete time.
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