Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
11026236 | Chaos, Solitons & Fractals | 2018 | 10 Pages |
Abstract
We develop a chaos expansion for a subordinated Lévy process. This expansion is expressed in terms of Itô's multiple integral expansion. Considering the jumps occurring due to an underlying process and a subordinator, a mixed chaotic representation is proposed. This representation provides the definition of the Malliavin derivative, which is characterized by increment quotients. Moreover, we introduce a new Clark-Ocone expansion formula for the subordinated Lévy process and provide applications for risk-free hedging in a designed model.
Related Topics
Physical Sciences and Engineering
Physics and Astronomy
Statistical and Nonlinear Physics
Authors
Hi Jun Choe, Ji Min Lee, Jung-Kyung Lee,