MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES
By Giulia di Nunno, T. Meyer‐Brandis, Bernt Øksendal, Frank Norbert Proske. 2005
91 citations recorded by the source corpus.
Subfields: Applied Mathematics, Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/68c8359f376d365c71d4dd1182a64bcad70df1a1
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In Applied Mathematics
In Finance
- T. Meyer‐Brandis
- Frank Norbert Proske
- E. Petrou
- Bernt Øksendal
- Giulia di Nunno
- Xun Yu Zhou
- Xicheng Zhang
- Fred Espen Benth
In Management Science and Operations Research
- T. Meyer‐Brandis
- Frank Norbert Proske
- Bernt Øksendal
- Giulia di Nunno
- Xun Yu Zhou
- Peter A. Forsyth
- Elena Vigna
- Huyen Pham
Citations in the corpus
- A mean-field stochastic maximum principle via Malliavin calculus (2012, background): “where Ð T 0 Ð R cðs; zÞ ~ Nðds; dzÞ denotes the Skorohod integral of c with respect to ~ Nð ; Þ: (See [6] for a definition of such Skorohod integrals and for more details.”
- Optimal portfolio for an insider in a market driven by Lévy processes (2006, methodology): “…variable then G Z T 0 Z R ðt, zÞeNðd t, dzÞ ¼ Z T 0 Z R G ðt, zÞeNðd t, dzÞ: ð22Þ For certain forward integrands we have the following duality formula (see Di Nunno et al. (2005)) Proposition 6: Let ðt, zÞ be forward integrable and assume (i) ðt, zÞ ¼ 1ðtÞ 2ðt, zÞ where 1ðtÞ, 2ðt, zÞ are caglad,…”
- Malliavin Calculus in Lévy spaces and Applications to Finance. (2008, background): “[5], Løkka [12] and Nualart and Vives [14] for pure jump Lévy processes, Solé et al.”