SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Covariance Identities and Inequalities for Functionals on Wiener and Poisson Spaces
6 references·1 citing·27 second hop
Covariance Identities and Inequalities for Functionals on Wiener and Poisson Spaces (1995)Covariance Identities and Inequalities fo…Dirichlet Forms and Analysis on Wiener Space (1991)Dirichlet Forms and Analysis …An extension of clark' formula (1991)An extension of clark' formulaStochastic Analysis and Related Topics II (1990)Stochastic Analysis and Relat…Differential Calculus and Integration by Parts on Poisson Space (1990)Differential Calculus and Int…Stochastic calculus with anticipating integrands (1988)Stochastic calculus with anti…Multiple Wiener Integral (1951)Multiple Wiener IntegralItô-Wiener Chaos Expansion with Exact Residual and Correlation, Variance Inequalities (1997)Itô-Wiener Chaos Expansion wi…Calcul des variations stochastique et processus de sauts (1983)Lectures on Stochastic Differential Equations and Malliavin Calculus (1984)Malliavin calculus for processes with jumps (1991)Chaotic and variational calculus in discrete and continuous time for the poisson process (1994)Computations of Greeks in a market with jumps via the Malliavin calculus (2004)Malliavin Monte Carlo Greeks for jump diffusions (2005)Brownian Motion and Stochastic Calculus (1988)Differentiable measures and the Malliavin calculus (1997)A characterization of hedging portfolios for interest rate contingent claims (2004)PORTFOLIO OPTIMIZATION WITH DOWNSIDE CONSTRAINTS (2006)Brownian Motion and Stochastic Calculus (2007)Stochastic calculus of variations and hypoelliptic operators (1978)Stochastic Differential Equations and Diffusion Processes (1983)A generalized clark representation formula, with application to optimal portfolios (1991)Backward doubly stochastic differential equations and systems of quasilinear SPDEs (1994)Forward, backward and symmetric stochastic integration (1993)A theoretical framework for the pricing of contingent claims in the presence of model uncertainty (2006)NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND (2006)Convergence of integrated processes of arbitrary Hermite rank (1979)Integration with respect to fractal functions and stochastic calculus. I (1998)Stochastic Calculus for Fractional Brownian Motion I. Theory (2000)CHAOS EXPANSION OF LOCAL TIME OF FRACTIONAL BROWNIAN MOTIONS (2002)A Gaussian correlation inequality and its applications to the existence of small ball constant (2003)Nonlinear Young integrals and differential systems in Hölder media (2015)The pricing of options for securities markets with delayed response (2006)Optimal impulse control for a multidimensional cash management system with generalized cost functions (2008)Forward–backward linear quadratic stochastic optimal control problem with delay (2012)
this work references cited by second hop

References

  • 1951Multiple Wiener Integral699 cited
  • 1991Dirichlet Forms and Analysis on Wiener Space541 cited
  • 1988Stochastic calculus with anticipating integrands496 cited
  • 1990Differential Calculus and Integration by Parts on Poisson Space98 cited
  • 1991An extension of clark' formula71 cited
  • 1990Stochastic Analysis and Related Topics II68 cited

Cited by

  • 1997Itô-Wiener Chaos Expansion with Exact Residual and Correlation, Variance Inequalities49 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work