Canonical Lévy process and Malliavin calculus

Josep Lluís Solé, Frederic Utzet, Josep Vives

Research output: Contribution to journalArticleResearchpeer-review

44 Citations (Scopus)

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, 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. © 2006 Elsevier Ltd. All rights reserved.
Original languageEnglish
Pages (from-to)165-187
JournalStochastic Processes and their Applications
Volume117
Issue number2
DOIs
Publication statusPublished - 1 Feb 2007

Keywords

  • Lévy processes
  • Malliavin calculus
  • Skorohod integral

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