Malliavin smoothness on the Lévy space with Hölder continuous or BV functionals-Reference-Cited by-同舟云学术

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Malliavin smoothness on the Lévy space with Hölder continuous or BV functionals

Published:2020-08 Issue:8 Volume:130 Page:4766-4792
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Laukkarinen Eija

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference30 articles.

1. Universal Malliavin calculus in Fock and Lévy–Itô spaces;Applebaum;Commun. Stoch. Anal.,2009

2. On irregular functionals of SDEs and the Euler scheme;Avikainen;Finance Stoch.,2009

3. Permutation invariant functionals of Lévy processes;Baumgartner;Trans. Amer. Math. Soc.,2017

4. Interpolation of Operators;Bennett,1988

5. Interpolation Spaces. An Introduction;Bergh,1976

Cited by 1 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. Continuation value computation using Malliavin calculus under general volatility stochastic process for American option pricing;TURKISH JOURNAL OF MATHEMATICS;2021

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