Sensitivity analysis for jump processes

DOI10.1007/978-3-0348-0097-6_14MaRDI QIDQ2909984zbMATH OpenOpenAlexFDO

Authors Atsushi Takeuchi

Publication date 7 September 2012

Published in Stochastic Analysis with Financial Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-0348-0097-6_14

zbMATH Keywords

heat kerneljump processeslogarithmic derivativesstochastic differential equations

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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