Local Malliavin calculus for Lévy processes and applications

DOI10.1080/17442508.2013.842570zbMath1337.60112arXiv1210.1156OpenAlexW1989462057MaRDI QIDQ2812011

Josep Lluís Solé, Josep Vives, Frederic Utzet, Jorge A. Leon

Publication date: 10 June 2016

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1210.1156

zbMATH Keywords

stochastic differential equationsLévy processMalliavin derivative

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (1)

Locally Lipschitz BSDE driven by a continuous martingale a path-derivative approach

Cites Work

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