Di Nunno, Giulia; Meyer-Brandis, Thilo
ORCID: https://orcid.org/0000-0002-6374-7983; Øksendal, Bernt and Proske, Frank
(2005):
Malliavin Claculus and Anticipative Itô Formulae for Lévy Processes.
In: Infinite Dimensional Analysis, Quantum Probability and Related Topics, Vol. 08, No. 02: pp. 235-258
Abstract
We introduce the forward integral with respect to a pure jump Lévy process and prove an Itô formula for this integral. Then we use Mallivin calculus to establish a relationship between the forward integral and the Skorohod integral and apply this to obtain an Itô formula for the Skorohod integral.
| Item Type: | Journal article |
|---|---|
| Faculties: | Mathematics, Computer Science and Statistics > Mathematics > Workgroup Financial Mathematics |
| Subjects: | 500 Science > 510 Mathematics |
| ISSN: | 0219-0257 |
| Language: | English |
| Item ID: | 109912 |
| Date Deposited: | 26. Mar 2024, 07:45 |
| Last Modified: | 26. Mar 2024, 07:45 |
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