Malliavin Calculus for Lévy Processes with Applications to Finance
DOI10.1007/978-3-540-78572-9zbMath1528.60001MaRDI QIDQ6483404
Giulia Di Nunno, Bernt Øksendal, Frank Norbert Proske
Publication date: 28 May 2008
Published in: Universitext (Search for Journal in Brave)
Processes with independent increments; Lévy processes (60G51) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Stochastic calculus of variations and the Malliavin calculus (60H07) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)
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