A Clark-Ocone formula for temporal point processes and applications

DOI10.1214/16-AOP1136zbMath1412.60070OpenAlexW2758820598MaRDI QIDQ1681607

Giovanni Luca Torrisi, Ian Flint

Publication date: 24 November 2017

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aop/1506132038

zbMATH Keywords

Malliavin calculusClark-Ocone formulapoint processesconditional intensityoption hedgingdeviation inequalities

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (2)

Concentration inequalities for stochastic differential equations of pure non-Poissonian jumps ⋮ Functional inequalities for marked point processes

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