Lévy Laplacians in Hida Calculus and Malliavin Calculus
نویسندگان
چکیده
منابع مشابه
On Lévy processes, Malliavin calculus and market models with jumps
Recent work by Nualart and Schoutens (2000), where a kind of chaotic property for Lévy processes has been proved, has enabled us to develop a Malliavin calculus for Lévy processes. For simple Lévy processes some useful formulas for computing Malliavin derivatives are deduced. Applications for option hedging in a jump–diffusion model are given.
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ژورنال
عنوان ژورنال: Proceedings of the Steklov Institute of Mathematics
سال: 2018
ISSN: 0081-5438,1531-8605
DOI: 10.1134/s0081543818040028