Malliavin smoothness on the Lévy space with Hölder continuous or BV functionals
Author
Abstract
Suggested Citation
DOI: 10.1016/j.spa.2020.01.016
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Solé, Josep Lluís & Utzet, Frederic & Vives, Josep, 2007. "Canonical Lévy process and Malliavin calculus," Stochastic Processes and their Applications, Elsevier, vol. 117(2), pages 165-187, February.
- Rainer Avikainen, 2009. "On irregular functionals of SDEs and the Euler scheme," Finance and Stochastics, Springer, vol. 13(3), pages 381-401, September.
- Geiss, Christel & Geiss, Stefan & Gobet, Emmanuel, 2012. "Generalized fractional smoothness and Lp-variation of BSDEs with non-Lipschitz terminal condition," Stochastic Processes and their Applications, Elsevier, vol. 122(5), pages 2078-2116.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Dirk Becherer & Plamen Turkedjiev, 2014. "Multilevel approximation of backward stochastic differential equations," Papers 1412.3140, arXiv.org.
- Eden, Richard & Víquez, Juan, 2015. "Nourdin–Peccati analysis on Wiener and Wiener–Poisson space for general distributions," Stochastic Processes and their Applications, Elsevier, vol. 125(1), pages 182-216.
- Hideyuki Tanaka & Toshihiro Yamada, 2012. "Strong Convergence for Euler-Maruyama and Milstein Schemes with Asymptotic Method," Papers 1210.0670, arXiv.org, revised Nov 2013.
- F Bourgey & S de Marco & Emmanuel Gobet & Alexandre Zhou, 2020. "Multilevel Monte-Carlo methods and lower-upper bounds in Initial Margin computations," Post-Print hal-02430430, HAL.
- Hiderah Kamal, 2020. "Approximation of Euler–Maruyama for one-dimensional stochastic differential equations involving the maximum process," Monte Carlo Methods and Applications, De Gruyter, vol. 26(1), pages 33-47, March.
- Yuta Otsuki & Shotaro Yagishita, 2024. "Optimal reinsurance and investment via stochastic projected gradient method based on Malliavin calculus," Papers 2411.05417, arXiv.org.
- F Bourgey & S de Marco & Emmanuel Gobet & Alexandre Zhou, 2020. "Multilevel Monte-Carlo methods and lower-upper bounds in Initial Margin computations," Working Papers hal-02430430, HAL.
- Giulia Di Nunno & Anton Yurchenko-Tytarenko, 2022. "Sandwiched Volterra Volatility model: Markovian approximations and hedging," Papers 2209.13054, arXiv.org, revised Jul 2024.
- Yaskov, Pavel, 2019. "On pathwise Riemann–Stieltjes integrals," Statistics & Probability Letters, Elsevier, vol. 150(C), pages 101-107.
- Christian Bayer & Chiheb Ben Hammouda & Raul Tempone, 2020. "Multilevel Monte Carlo with Numerical Smoothing for Robust and Efficient Computation of Probabilities and Densities," Papers 2003.05708, arXiv.org, revised Oct 2023.
- Graewe, Paulwin & Popier, Alexandre, 2021. "Asymptotic approach for backward stochastic differential equation with singular terminal condition," Stochastic Processes and their Applications, Elsevier, vol. 133(C), pages 247-277.
- El-Khatib, Youssef & Goutte, Stephane & Makumbe, Zororo S. & Vives, Josep, 2023. "A hybrid stochastic volatility model in a Lévy market," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 220-235.
- Daphné Giorgi & Vincent Lemaire & Gilles Pagès, 2020. "Weak Error for Nested Multilevel Monte Carlo," Methodology and Computing in Applied Probability, Springer, vol. 22(3), pages 1325-1348, September.
- Takuji Arai & Ryoichi Suzuki, 2019. "A Clark-Ocone type formula via Ito calculus and its application to finance," Papers 1906.06648, arXiv.org.
- Jin, Sixian & Schellhorn, Henry & Vives, Josep, 2020. "Dyson type formula for pure jump Lévy processes with some applications to finance," Stochastic Processes and their Applications, Elsevier, vol. 130(2), pages 824-844.
- Takuji Arai & Yuto Imai & Ryoichi Suzuki, 2017. "Local risk-minimization for Barndorff-Nielsen and Shephard models," Finance and Stochastics, Springer, vol. 21(2), pages 551-592, April.
- Masahiro Handa & Noriyoshi Sakuma & Ryoichi Suzuki, 2024. "A Girsanov transformed Clark-Ocone-Haussmann type formula for $$L^1$$ L 1 -pure jump additive processes and its application to portfolio optimization," Annals of Finance, Springer, vol. 20(3), pages 329-352, September.
- Mike Giles & Lukasz Szpruch, 2012. "Multilevel Monte Carlo methods for applications in finance," Papers 1212.1377, arXiv.org.
- Delong, Lukasz & Imkeller, Peter, 2010. "On Malliavin's differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures," Stochastic Processes and their Applications, Elsevier, vol. 120(9), pages 1748-1775, August.
- Dereich, Steffen & Heidenreich, Felix, 2011. "A multilevel Monte Carlo algorithm for Lévy-driven stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 121(7), pages 1565-1587, July.
More about this item
Keywords
Lévy process; Malliavin calculus; Interpolation;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:130:y:2020:i:8:p:4766-4792. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.