Title of article
Canonical Lévy process and Malliavin calculus
Author/Authors
Solé، نويسنده , , Josep Lluيs and Utzet، نويسنده , , Frederic and Vives، نويسنده , , Josep، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2007
Pages
23
From page
165
To page
187
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 D t , 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
Lévy processes , Malliavin Calculus , Skorohod integral
Journal title
Stochastic Processes and their Applications
Serial Year
2007
Journal title
Stochastic Processes and their Applications
Record number
1577856
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