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Canonical L´ evy process and Malliavin calculus I
11 references·0 citing·29 second hop
Canonical L´ evy process and Malliavin calculus I (2007)Canonical L´ evy process and Malliavin ca…The Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…Malliavin Monte Carlo Greeks for jump diffusions (2005)Malliavin Monte Carlo Greeks …MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES (2005)MALLIAVIN CALCULUS AND ANTICI…White Noise of Poisson Random Measures (2004)White Noise of Poisson Random…Lévy Processes and Stochastic Calculus (2004)Lévy Processes and Stochastic…White noise analysis for Lévy processes (2003)White noise analysis for Lévy…On the existence of smooth densities for jump processes (1996)On the existence of smooth de…A Duality Formula on the Poisson Space and Some Applications (1995)A Duality Formula on the Pois…Malliavin calculus for processes with jumps (1991)Malliavin calculus for proces…Anticipative calculus for the poisson process based on the fock space (1990)Anticipative calculus for the…Calcul des variations stochastique et processus de sauts (1983)Calcul des variations stochas…On a Generalization of a Stochastic Integral (1976)Generalized stochastic integrals and the malliavin calculus (1986)Stochastic calculus with anticipating integrands (1988)On Lévy processes, Malliavin calculus and market models with jumps (2002)Canonical Lévy process and Malliavin calculus (2006)The Malliavin Calculus and Related Topics (1995)Methods of Mathematical Finance (1998)Malliavin Greeks without Malliavin calculus (2007)Dynamic Valuation Decomposition Within Stochastic Economies (2012)Stochastic Integration and Differential Equations (2005)Optimal portfolio for an insider in a market driven by Lévy processes§ (2006)Calcul Stochastique et Problèmes de Martingales (1979)Stochastic Differential Equations and Diffusion Processes (1981)Stochastic Differential Equations and Diffusion Processes (1983)Differential Calculus and Integration by Parts on Poisson Space (1990)Malliavin calculus on the Wiener–Poisson space and its application to canonical SDE with jumps (2006)Stochastic calculus of variations and hypoelliptic operators (1978)On multidimensional Ornstein-Uhlenbeck processes driven by a general Lévy process (2004)PATHWISE UNIQUENESS FOR SINGULAR SDEs DRIVEN BY STABLE PROCESSES (2012)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Stochastic Calculus with Respect to Gaussian Processes (2001)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance (2000)Discrete-time approximation of decoupled Forward–Backward SDE with jumps (2007)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)The Theory of Scale Functions for Spectrally Negative Lévy Processes (2012)Fluctuations of Lévy Processes with Applications (2014)Malliavin Calculus in Lévy spaces and Applications to Finance. (2008)Malliavin Calculus and Optimal Control of Stochastic Volterra Equations (2015)
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References

  • 2006The Malliavin Calculus and Related Topics2,470 cited
  • 2004Lévy Processes and Stochastic Calculus2,040 cited
  • 1991Malliavin calculus for processes with jumps263 cited
  • 1996On the existence of smooth densities for jump processes193 cited
  • 1990Anticipative calculus for the poisson process based on the fock space143 cited
  • 1983Calcul des variations stochastique et processus de sauts138 cited
  • 2003White noise analysis for Lévy processes107 cited
  • 2005Malliavin Monte Carlo Greeks for jump diffusions86 cited
  • 2005MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES77 cited
  • 1995A Duality Formula on the Poisson Space and Some Applications49 cited
  • 2004White Noise of Poisson Random Measures44 cited

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