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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Cited in
(47)- Ergodicity of exclusion semigroups constructed from quantum Bernoulli noises
- Convolution of functionals of discrete-time normal martingales
- Coherent states in Bernoulli noise functionals
- Discrete stochastic calculus and its applications: an expository note
- Quantum integral equations of Volterra type in terms of discrete-time normal martingale
- Wick analysis for Bernoulli noise functionals
- Stochastic-\(\alpha\) calculus, a fundamental theorem and Burkholder-Davis-Gundy-type estimates
- Discrete chaotic calculus and covariance identities
- Clark-Ocone formula for generalized functionals of discrete-time normal noises
- A modified \(\Phi \)-Sobolev inequality for canonical Lévy processes and its applications
- Linear stochastic Schrödinger equations in terms of quantum Bernoulli noises
- Quantum walk in terms of quantum Bernoulli noises
- Berry-Esseen bounds and multivariate limit theorems for functionals of Rademacher sequences
- Discrete-time quantum Bernoulli noises
- Generalized weighted number operators on functionals of discrete-time normal martingales
- Characterization theorems for generalized functionals of discrete-time normal martingale
- Localization of quantum Bernoulli noises
- The Bochner-convolution integral for generalized functional-valued functions of discrete-time normal martingales
- Discrete Malliavin calculus and computations of Greeks in the binomial tree
- A simplified second-order Gaussian Poincaré inequality in discrete setting with applications
- Analyzing the duration of success and failure in Markov-modulated Bernoulli processes
- Computation of Greeks in jump-diffusion models using discrete Malliavin calculus
- Quantum walk in terms of quantum Bernoulli noise and quantum central limit theorem for quantum Bernoulli noise
- A characterization of operators on functionals of discrete-time normal martingales
- Spectral integrals of Bernoulli generalized functionals
- Quantum Markov semigroup for open quantum system interacting with quantum Bernoulli noises
- Quantum Markov semigroups constructed from quantum Bernoulli noises
- Convergence theorems for generalized functional sequences of discrete-time normal martingales
- Quantum mutual entropy in terms of local quantum Bernoulli noises
- Moderate deviations for functionals over infinitely many Rademacher random variables
- The uniform measure for quantum walk on hypercube: A quantum Bernoulli noises approach
- Dirichlet forms constructed from annihilation operators on Bernoulli functionals
- Bochner integration of operator-valued functions in terms of discrete-time normal martingales
- Stochastic analysis for obtuse random walks
- Convergence theorems for operators sequences on functionals of discrete-time normal martingales
- An alternative approach to Privault's discrete-time chaotic calculus
- Quantum Bernoulli noises approach to stochastic Schrödinger equation of exclusion type
- Quantum Feller semigroup in terms of quantum Bernoulli noises
- Stochastic analysis of GSB process
- A Peccati-Tudor type theorem for Rademacher chaoses
- Weighted number operators on Bernoulli functionals and quantum exclusion semigroups
- Normal approximation for sums of weighted \(U\)-statistics -- application to Kolmogorov bounds in random subgraph counting
- Quantum conditional entropy based on local quantum Bernoulli noises
- Discrete time quantum Bernoulli noises in interacting Fock spaces
- Quantum entropy in terms of local quantum Bernoulli noises and related properties
- Quantum stochastic cable equation acting on functionals of discrete-time normal martingales
- Normal approximation and almost sure central limit theorem for non-symmetric Rademacher functionals
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