Malliavin calculus and martingale expansion

DOI10.1016/S0007-4497(01)01095-8zbMath0998.60055WikidataQ127792654 ScholiaQ127792654MaRDI QIDQ5956288

Nakahiro Yoshida

Publication date: 15 July 2002

Published in: Bulletin des Sciences Mathématiques (Search for Journal in Brave)

zbMATH Keywords

Malliavin calculus with jumpsmartingale expansion

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (14)

Maximum-likelihood estimation for diffusion processes via closed-form density expansions ⋮ High order asymptotic expansion for Wiener functionals ⋮ The asymptotic expansion of the regular discretization error of Itô integrals ⋮ Edgeworth expansions for volatility models ⋮ Asymptotic expansion and estimates of Wiener functionals ⋮ Asymptotic expansion of an estimator for the Hurst coefficient ⋮ Order estimate of functionals related to fractional Brownian motion ⋮ Asymptotic analysis for stochastic volatility: martingale expansion ⋮ Asymptotic expansion for Barndorff-Nielsen and Shephard's stochastic volatility model ⋮ Asymptotic expansion for vector-valued sequences of random variables with focus on Wiener chaos ⋮ Asymptotic expansion of Skorohod integrals ⋮ Asymptotic expansion for the quadratic variations of the solution to the heat equation with additive white noise ⋮ Short-Term At-the-Money Asymptotics under Stochastic Volatility Models ⋮ Non asymptotic expansions of the MME in the case of Poisson observations

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