White Noise Analysis for Lévy Processes.

By Giulia di Nunno, Bernt Øksendal, Frank Norbert Proske. 2004

131 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/462d92e1148f303cda261291a7a2045b15f0a4ac

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. T. Meyer‐Brandis
2. Frank Norbert Proske
3. Bernt Øksendal
4. Giulia di Nunno
5. E. Petrou
6. Frederic Utzet
7. Xicheng Zhang
8. Fred Espen Benth

In Management Science and Operations Research

1. T. Meyer‐Brandis
2. Frank Norbert Proske
3. Bernt Øksendal
4. Giulia di Nunno
5. Frederic Utzet
6. Matthias Schulte
7. Giovanni Peccati
8. E. Fedrizzi

Citations in the corpus

• Optimal portfolio for an insider in a market driven by Lévy processes (2006, methodology): “( 2004 ) and Oksendal and Proske ( 2004 )) which we use in section 3.”
• Canonical Lévy process and Malliavin calculus (2007, background): “[7,8], Løkka [13] (all these authors use a different random measure from Itô [9]); see also Lee and Shih [10,11] for a pure white noise approach (with the Itô random measure), and Privault [22] in a context of quantum probability.”