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ArticleChaotic and predictable representations for Lévy processes

David Nualart2000

OA

Articlebronze2000

Chaotic and predictable representations for Lévy processes

David Nualart · Wim Schoutens

253 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Probability and Statistical Research Mathematical functions and polynomials

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2005Stochastic Integration and Differential Equations 1990Stochastic Integration and Differential Equations

Cited by

2001Backward Stochastic Differential Equations and Feynman-Kac Formula for Levy Processes, with Applications in Finance 2003White noise analysis for Lévy processes 2003Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Lévy Processes 2005Malliavin Monte Carlo Greeks for jump diffusions 2005MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES 2006Canonical Lévy process and Malliavin calculus 2004Martingale Representation of Functionals of Lévy Processes 2002BSDE associated with Lévy processes and application to PDIE

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Year2000

Typearticle

Published2000-11-01

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations253

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/s0304-4149(00)00035-1

openalex_workW2004440142

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