Construction of strong solutions of SDE's via Malliavin calculus
نویسندگان
چکیده
منابع مشابه
A stochastic maximum principle via Malliavin calculus
This paper considers a controlled Itô-Lévy process the information available to the controller is possibly less than the overall information. All the system coefficients and the objective performance functional are allowed to be random, possibly nonMarkovian. Malliavin calculus is employed to derive a maximum principle for the optimal control of such a system where the adjoint process is explic...
متن کاملConcentration inequalities via Malliavin calculus with applications
We use the Malliavin calculus to prove a new abstract concentration inequality result for zero mean, Malliavin differentiable random variables which admit densities. We demonstrate the applicability of the result by deriving two new concrete concentration inequalities, one relating to an integral functional of a fractional Brownian motion process, and the other relating to the centered maximum ...
متن کاملMalliavin Greeks without Malliavin Calculus
We derive and analyze Monte Carlo estimators of price sensitivities (“Greeks”) for contingent claims priced in a diffusion model. There have traditionally been two categories of methods for estimating sensitivities: methods that differentiate paths and methods that differentiate densities. A more recent line of work derives estimators through Malliavin calculus. The purpose of this article is t...
متن کاملPricing and hedging of Asian options: quasi-explicit solutions via Malliavin calculus
We use Malliavin calculus and the Clark-Ocone formula to derive the hedging strategy of an arithmetic Asian Call option in general terms. Furthermore we derive an expression for the density of the integral over time of a geometric Brownian motion, which allows us to express hedging strategy and price of the Asian option as an analytic, that is closed form, expression. Numerical computations whi...
متن کاملStrong solutions of a class of SDEs with jumps 1
We study a class of stochastic integral equations with jumps under non-Lipschitz conditions. We use the method of Euler approximations to obtain the existence of the solution and give some sufficient conditions for the strong uniqueness. Mathematics Subject Classification (2000): Primary 60H20; secondary 60H10.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Functional Analysis
سال: 2010
ISSN: 0022-1236
DOI: 10.1016/j.jfa.2009.11.010