Integration by parts and densities for jump processes
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Publication:3833361
DOI10.1080/17442508908833569zbMath0677.60058OpenAlexW2044787846MaRDI QIDQ3833361
Robert J. Elliott, Michael Kohlmann
Publication date: 1989
Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508908833569
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Markovian forward-backward stochastic differential equations and stochastic flows ⋮ Stochastic Flows and Jump-Diffusions ⋮ Integration by parts and martingale representation for a Markov chain ⋮ A note on regime-switching Kolmogorov's forward and backward equations using stochastic flows ⋮ HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS ⋮ Differentiable measures and the Malliavin calculus
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