Stochastic analysis of Bernoulli processes

DOI10.1214/08-PS139zbMath1189.60089arXiv0809.3168MaRDI QIDQ980779

Nicolas Privault

Publication date: 29 June 2010

Published in: Probability Surveys (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0809.3168

zbMATH Keywords

Malliavin calculusdiscrete timefunctional inequalitiesoption hedgingchaotic calculusBernoulli processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Martingales with discrete parameter (60G42) Sums of independent random variables; random walks (60G50) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Stochastic calculus of variations and the Malliavin calculus (60H07) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

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