Malliavin calculus and Clark-Ocone formula for functionals of a square-integrable Lévy process

Simple item page
dc.creatorRenaud, Jean-François
dc.creatorRémillard, Bruno
dc.date2007-07-25
dc.date.accessioned2026-07-07T08:20:13Z
dc.date.available2026-07-07T08:20:13Z
dc.descriptionIn this paper, we construct a Malliavin derivative for functionals of square-integrable Lévy processes and derive a Clark-Ocone formula. The Malliavin derivative is defined via chaos expansions involving stochastic integrals with respect to Brownian motion and Poisson random measure. As an illustration, we compute the explicit martingale representation for the maximum of a Lévy process.
dc.description30 pages
dc.identifierhttps://arxiv.org/abs/0707.3734
dc.identifierhttp://arxiv.org/abs/0707.3734
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/135010
dc.subjectProbability
dc.subject60H07, 60G51
dc.titleMalliavin calculus and Clark-Ocone formula for functionals of a square-integrable Lévy process
dc.typetext

Files

Collections

arXiv