Anticipative calculus for Lévy processes and stochastic differential equations*

DOI10.1080/10451120410001716880zbMath1052.60052OpenAlexW2058812019MaRDI QIDQ4821631

Fred Espen Benth, Arne Løkka

Publication date: 21 October 2004

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10451120410001716880

zbMATH Keywords

Lévy processesWick product\({\mathcal S}\)-transformSkorokhod integrationstochastic derivativeanticipative calculus

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) White noise theory (60H40) Stochastic calculus of variations and the Malliavin calculus (60H07) Random measures (60G57)

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Stochastic partial differential equations driven by Lévy space-time white noise. ⋮ The Itô-Ventzell formula and forward stochastic differential equations driven by Poisson random measures ⋮ On extended stochastic integrals with respect to Lévy processes ⋮ Computation of Greeks in LIBOR models driven by time–inhomogeneous Lévy processes ⋮ Stochastic partial differential equations driven by multi-parameter white noise of Lévy processes ⋮ Derivative-free Greeks for the Barndorff-Nielsen and Shephard stochastic volatility model ⋮ An anticipating calculus for square integrable pure jump Levy processes ⋮ MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES ⋮ The calculus of variations for processes with independent increments ⋮ Optimal portfolio, partial information and Malliavin calculus ⋮ Numerical Methods for SPDEs with Tempered Stable Processes

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