White noise of Poisson random measures

DOI10.1023/B:POTA.0000034329.34647.FDMaRDI QIDQ702015zbMATH OpenOpenAlexFDO

Authors B. Øksendal, F. Proske

Publication date 17 January 2005

Published in Potential Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/b:pota.0000034329.34647.fd

zbMATH Keywords

[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+processes&go=Go L��vy processes]white noisePoisson random measureschaos expansionsgeneralized Clark-Haussmann-Ocone formulaportfolios in financial marketsstochastic derivatives

Mathematics Subject Classification ID

White noise theory (60H40)

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Cited in

(23)

• Infinite dimensional analysis of pure jump Lévy processes on the Poisson space
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• Composition with distributions of Wiener-Poisson variables and its asymptotic expansion
• scientific article; zbMATH DE number 5119867 (Why is no real title available?)
• Martingale representation for Poisson processes with applications to minimal variance hedging
• MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES
• White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance
• Short-term risk management using stochastic Taylor expansions under Lévy models
• Stochastic Feynman–Kac Equations Associated to Lévy–Itô Diffusions
• THE CAUCHY PROBLEM FOR THE WAVE EQUATION WITH LÉVY NOISE INITIAL DATA
• Stochastic partial differential equations driven by Lévy space-time white noise.
• Differential equations driven by Lévy white noise in spaces of Hilbert space-valued stochastic distributions
• Transportation inequalities for stochastic differential equations with jumps
• Stochastic partial differential equations driven by multi-parameter white noise of Lévy processes
• An extension of the Clark-Ocone formula under benchmark measure for Lévy processes
• Uniqueness of decompositions of Skorohod-semimartingales
• DUALITY BETWEEN GAUSSIAN AND POISSON NOISES
• Explicit representation of strong solutions of SDEs driven by infinite-dimensional Lévy processes
• Optimal portfolio for an insider in a market driven by Lévy processes§
• The explicit chaotic representation of the powers of increments of Lévy processes
• Canonical Lévy process and Malliavin calculus
• Numerical methods for SPDEs with tempered stable processes
• Stochastic calculus for convoluted Lévy processes

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