Integration by parts and martingale representation for a Markov chain
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Publication:1724128
DOI10.1155/2014/438258zbMath1469.60244OpenAlexW2082076294WikidataQ59038260 ScholiaQ59038260MaRDI QIDQ1724128
Publication date: 14 February 2019
Published in: Abstract and Applied Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2014/438258
Martingales with continuous parameter (60G44) Stochastic calculus of variations and the Malliavin calculus (60H07) Continuous-time Markov processes on discrete state spaces (60J27)
Related Items (3)
AN IMPROVEMENT OF MARKOVIAN INTEGRATION BY PARTS FORMULA AND APPLICATION TO SENSITIVITY COMPUTATION ⋮ Multi-valued backward stochastic differential equations with regime switching ⋮ On a Markov chain approximation method for option pricing with regime switching
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