Integration by parts formula and applications to equations with jumps
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Statistics and Probability,Analysis
Link
http://link.springer.com/content/pdf/10.1007/s00440-010-0310-y.pdf
Reference21 articles.
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2. Bally V., Bavouzet M.-P., Messaoud M.: Integration by parts formula for locally smooth laws and applications to sensitivity computations. Ann. Appl. Probab. 17(1), 33–66 (2007)
3. Bally, V., Fournier, N.: Regularization properties of the 2d homogeneous Boltzmann equation without cutoff (2009, preprint)
4. Bass R.F.: Uniqueness in law for pure jump Markov processes. Probab. Theory Relat. Fields 79(2), 271–287 (1988)
5. Bavouzet-Morel, M.-P., Messaoud, M.: Computation of Greeks using Malliavin’s calculus in jump type market models. Electron. J. Probab. 11(10), 276–300 (electronic) (2006)
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