Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1156460 | Stochastic Processes and their Applications | 2007 | 23 Pages |
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,xDt,x is studied, depending on whether x=0x=0 or x≠0x≠0; in the first case, we prove a chain rule; in the second case, a formula by trajectories.
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Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Josep Lluís Solé, Frederic Utzet, Josep Vives,