Local Malliavin calculus for Lévy processes and applications-Reference-Cited by-同舟云学术

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Local Malliavin calculus for Lévy processes and applications

Published:2013-10-29 Issue:4 Volume:86 Page:551-572
ISSN:1744-2508
Container-title:Stochastics
language:en
Short-container-title:Stochastics

Author:

León Jorge A.¹,Solé Josep L.²,Utzet Frederic²,Vives Josep³

Affiliation:

1. Departamento de Control Automático, Cinvestav-IPN, Apartado Postal 14-740, 07000 México D.F., Mexico

2. Departament de Matemàtiques, Universitat Autònoma de Barcelona, 08193 Barcelona (Catalunya), Spain

3. Departament de Probabilitat, Lògica i Estadística, Universitat de Barcelona, 08007 Barcelona (Catalunya), Spain

Publisher

Informa UK Limited

Subject

Modelling and Simulation,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/17442508.2013.842570

Reference21 articles.

1. Integration by parts formula and applications to equations with jumps

2. Energy image density property and the lent particle method for Poisson measures

3. Differential Calculus and Integration by Parts on Poisson Space

4. Perturbation analysis and Malliavin calculus

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Locally Lipschitz BSDE driven by a continuous martingale a path-derivative approach;Stochastic Processes and their Applications;2021-11

2. A unified system of FB-SDEs with Lévy jumps and double completely-$\mathcal{S}$ skew reflections;Communications in Mathematical Sciences;2018

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