Canonical Lévy process and Malliavin calculus |
| |
Authors: | Josep Lluí s Solé ,Frederic Utzet,Josep Vives |
| |
Affiliation: | Departament de Matemàtiques, Facultat de Ciències, Universitat Autónoma de Barcelona, 08193 Bellaterra (Barcelona), Spain |
| |
Abstract: | A suitable canonical Lévy process is constructed in order to study a Malliavin calculus based on a chaotic representation property of Lévy processes proved by Itô using multiple two-parameter integrals. In this setup, the two-parameter derivative Dt,x is studied, depending on whether x=0 or x≠0; in the first case, we prove a chain rule; in the second case, a formula by trajectories. |
| |
Keywords: | Lé vy processes Malliavin calculus Skorohod integral |
本文献已被 ScienceDirect 等数据库收录! |
|