An extension of the Clark–Ocone formula under benchmark measure for Lévy processes

DOI10.1080/17442508.2010.542817zbMath1262.60050OpenAlexW1979793306MaRDI QIDQ4648586

Yeliz Yolcu-Okur

Publication date: 9 November 2012

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2010.542817

zbMATH Keywords

Lévy processesMalliavin calculuswhite noise analysisClark-Ocone formulachange of measure

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Generalized stochastic processes (60G20) White noise theory (60H40) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (2)

Malliavin differentiability of indicator functions on canonical Lévy spaces ⋮ A note on the hedging of options by Malliavin calculus in a jump-diffusion market

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