Malliavin calculus and martingale expansion (Q5956288)

The aim of this work is an expansion formula for functionals \(\mathbb{E}(g(M^n_{T_n})\) for a sequence \((T_n)\) of positive reals and a sequence \((M^n)\) of local martingales having jumps, when the function \(g\) is not necessarily regular. The two first terms of such an expansion are given, under a series of technical assumptions. The proof is based on the Malliavin calculus with jumps.