Malliavin calculus for stable processes on homogeneous groups
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: Studia Mathematica
سال: 1991
ISSN: 0039-3223,1730-6337
DOI: 10.4064/sm-100-3-183-205