Stochastic calculus of variations for jump processes
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Publication:5899635
DOI10.1515/9783110378078zbMath1335.60001OpenAlexW3027681426MaRDI QIDQ5899635
Publication date: 18 January 2016
Published in: De Gruyter Studies in Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/9783110378078
Malliavin calculusLévy processstochastic calculus of variationsPoisson spaceWiener spacejump processjump diffusions
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Related Items (10)
Using moment approximations to study the density of jump driven SDEs ⋮ Malliavin differentiability of indicator functions on canonical Lévy spaces ⋮ Schauder estimates for degenerate Lévy Ornstein-Uhlenbeck operators ⋮ Ventcel' boundary value problems for elliptic Waldenfels operators ⋮ Singular integrals and Feller semigroups with jump phenomena ⋮ Nonparametric inference of stochastic differential equations based on the relative entropy rate ⋮ Gradient formulas for jump processes on manifolds ⋮ Asymptotic expansion of a nonlinear oscillator with a jump-diffusion process ⋮ Dirichlet problems with discontinuous coefficients and Feller semigroups ⋮ Gradient formula for transition semigroup corresponding to stochastic equation driven by a system of independent Lévy processes
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