Martingale Representation of Functionals of Lévy Processes

81 citations recorded by the source corpus.

How researchers see this paper

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

Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Lévy Processes (2003, methodology): “In Section 3 we give a short review of chaos expansions, stochastic derivatives, and Clark-Haussmann-Ocone theorems for Lévy processes, mainly based on Nualart and Schoutens (2000), Léon et al. (2002), and Løkka (2001).”
Malliavin Calculus in Lévy spaces and Applications to Finance. (2008, background): “Since Fk converges to F lim k→∞ ∞∑ n=0 ∑ j1,...,jn=0,1 ‖gkj1,...,jn − gj1,...,jn‖ 2 L2(Gj1,...,jn ) = 0.”
Optimal portfolio for an insider in a market driven by Lévy processes (2006, background): “Jnð f Þ: Then we have the following chaos expansion theorem, originally due to Itô (1956) (see also Løkka (2004)).”
Poisson process Fock space representation, chaos expansion and covariance inequalities (2009, methodology): “(The proof in [23] does not seem to justify its usage of iterated stochastic integrals, see e.”