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

chaos expansionsgeneralized Clark-Haussmann-Ocone formulaLévy processesPoisson random measuresportfolios in financial marketsstochastic derivativeswhite noise

Mathematics Subject Classification ID

White noise theory (60H40)

Review text

The author considers pure jump Lévy processes, and develops a white noise theory for the associated distribution-valued Poisson random measures. This includes: chaos expansion, stochastic integrals, Wick product, a Clark-Ocone-type theorem. Applications are given to computing the minimal variance portfolios in financial markets driven by Lévy processes.

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Cited in

(24)

• Stochastic calculus for convoluted Lévy processes
• Short-term risk management using stochastic Taylor expansions under Lévy models
• Stochastic partial differential equations driven by Lévy space-time white noise.
• Transportation inequalities for stochastic differential equations with jumps
• Composition with distributions of Wiener-Poisson variables and its asymptotic expansion
• Uniqueness of decompositions of Skorohod-semimartingales
• scientific article; zbMATH DE number 5119867 (Why is no real title available?)
• Differential equations driven by Lévy white noise in spaces of Hilbert space-valued stochastic distributions
• Stochastic partial differential equations driven by multi-parameter white noise of Lévy processes
• DUALITY BETWEEN GAUSSIAN AND POISSON NOISES
• The explicit chaotic representation of the powers of increments of Lévy processes
• An extension of the Clark-Ocone formula under benchmark measure for Lévy processes
• scientific article; zbMATH DE number 1409888 (Why is no real title available?)
• Numerical methods for SPDEs with tempered stable processes
• Stochastic Feynman–Kac Equations Associated to Lévy–Itô Diffusions
• Infinite dimensional analysis of pure jump Lévy processes on the Poisson space
• MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES
• Optimal portfolio for an insider in a market driven by Lévy processes§
• THE CAUCHY PROBLEM FOR THE WAVE EQUATION WITH LÉVY NOISE INITIAL DATA
• Martingale representation for Poisson processes with applications to minimal variance hedging
• White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance
• Characterization and analysis of generalized grey incomplete gamma noise
• Canonical Lévy process and Malliavin calculus
• Explicit representation of strong solutions of SDEs driven by infinite-dimensional Lévy processes

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