A discrete-time Clark-Ocone formula for Poisson functionals
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Publication:2515784
DOI10.1007/s10690-013-9178-zzbMath1321.60120OpenAlexW2093634961MaRDI QIDQ2515784
Publication date: 6 August 2015
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10690-013-9178-z
Martingales with discrete parameter (60G42) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Strong limit theorems (60F15) Financial applications of other theories (91G80) Stochastic calculus of variations and the Malliavin calculus (60H07) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
Related Items
L2-convergence rate for the discretization error of functions of Lévy process, Some results on Parisian walks, Higher-order error estimates of the discrete-time Clark-Ocone formula
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