On Some Expectation and Derivative Operators Related to Integral Representations of Random Variables with Respect to a PII Process

DOI10.1080/07362994.2013.741395zbMath1288.60058arXiv1202.0619OpenAlexW2591666737MaRDI QIDQ4916404

Nadia Oudjane, Francesco Russo, Stéphane Goutte

Publication date: 22 April 2013

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1202.0619

zbMATH Keywords

Fourier transformscharacteristic functionmean-variance hedgingprocesses with independent incrementsFöllmer-Schweizer decompositionKunita-Watanabe decomposition

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05)

Related Items (3)

Estimation of Lévy-driven Ornstein-Uhlenbeck processes: application to modeling of \(\mathrm{CO}_2\) and fuel-switching ⋮ GKW representation theorem under restricted information: An application to risk-minimization ⋮ BSDEs, Càdlàg Martingale Problems, and Orthogonalization under Basis Risk

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