Malliavin calculus for Lévy processes with applications to finance:
Gespeichert in:
| Format: | Elektronisch E-Book |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Berlin [u.a.]
Springer
2009
|
| Schriftenreihe: | Universitext
|
| Schlagworte: | |
| Online-Zugang: | BTU01 TUM01 UBA01 UBM01 UBT01 UER01 UPA01 Volltext Inhaltsverzeichnis |
| Beschreibung: | 1 Online-Ressource |
| ISBN: | 9783540785729 |
Internformat
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| 245 | 1 | 0 | |a Malliavin calculus for Lévy processes with applications to finance |c Giulia Di Nunno ; Bernt Øksendal ; Frank Proske |
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Datensatz im Suchindex
| _version_ | 1804139004509028352 |
|---|---|
| adam_text | GESCANNT DURCH CONTENTS INTRODUCTION 1 PART I THE CONTINUOUS CASE:
BROWNIAN MOTION 1 THE WIENER-ITOE CHAOS EXPANSION 7 1.1 ITERATED ITOE
INTEGRALS 7 1.2 THE WIENER-ITOE CHAOS EXPANSION 11 1.3 EXERCISES 16 2 THE
SKOROHOD INTEGRAL 19 2.1 THE SKOROHOD INTEGRAL 19 2.2 SOME BASIC
PROPERTIES OF THE SKOROHOD INTEGRAL 22 2.3 THE SKOROHOD INTEGRAL AS AN
EXTENSION OF THE ITOE INTEGRAL .... 23 2.4 EXERCISES 25 3 MALLIAVIN
DERIVATIVE VIA CHAOS EXPANSION 27 3.1 THE MALLIAVIN DERIVATIVE 27 3.2
COMPUTATION AND PROPERTIES OF THE MALLIAVIN DERIVATIVE 29 3.2.1 CHAIN
RULES FOR MALLIAVIN DERIVATIVE 29 3.2.2 MALLIAVIN DERIVATIVE AND
CONDITIONAL EXPECTATION 30 3.3 MALLIAVIN DERIVATIVE AND SKOROHOD
INTEGRAL 34 3.3.1 SKOROHOD INTEGRAL AS ADJOINT OPERATOR TO THE MALLIAVIN
DERIVATIVE 34 3.3.2 AN INTEGRATION BY PARTS FORMULA AND CLOSABILITY OF
THE SKOROHOD INTEGRAL 36 3.3.3 A FUNDAMENTAL THEOREM OF CALCULUS 37 3.4
EXERCISES 40 4 INTEGRAL REPRESENTATIONS AND THE CLARK*OCONE FORMULA ....
43 4.1 THE CLARK-OCONE FORMULA 43 4.2 THE CLARK-OCONE FORMULA UNDER
CHANGE OF MEASURE 45 IX BIBLIOGRAFISCHE INFORMATIONEN
HTTP://D-NB.INFO/98749063X DIGITALISIERT DURCH * * * * * * * * * *
|
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| discipline | Mathematik Wirtschaftswissenschaften |
| format | Electronic eBook |
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| illustrated | Not Illustrated |
| indexdate | 2024-07-09T21:37:11Z |
| institution | BVB |
| isbn | 9783540785729 |
| language | English |
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| spelling | Malliavin calculus for Lévy processes with applications to finance Giulia Di Nunno ; Bernt Øksendal ; Frank Proske Berlin [u.a.] Springer 2009 1 Online-Ressource txt rdacontent c rdamedia cr rdacarrier Universitext Lévy-Prozess (DE-588)4463623-4 gnd rswk-swf Brownsche Bewegung (DE-588)4128328-4 gnd rswk-swf Malliavin-Kalkül (DE-588)4242584-0 gnd rswk-swf Malliavin-Kalkül (DE-588)4242584-0 s Lévy-Prozess (DE-588)4463623-4 s Brownsche Bewegung (DE-588)4128328-4 s DE-604 Di Nunno, Giulia Sonstige (DE-588)1013121341 oth Øksendal, Bernt K. 1945- Sonstige (DE-588)128742054 oth Proske, Frank Sonstige oth http://springerlink.com/content/tt4601/?p=f9b513a9ca3043839f2056c00fe91bbb&pi=0 Volltext DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017447196&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Malliavin calculus for Lévy processes with applications to finance Lévy-Prozess (DE-588)4463623-4 gnd Brownsche Bewegung (DE-588)4128328-4 gnd Malliavin-Kalkül (DE-588)4242584-0 gnd |
| subject_GND | (DE-588)4463623-4 (DE-588)4128328-4 (DE-588)4242584-0 |
| title | Malliavin calculus for Lévy processes with applications to finance |
| title_auth | Malliavin calculus for Lévy processes with applications to finance |
| title_exact_search | Malliavin calculus for Lévy processes with applications to finance |
| title_full | Malliavin calculus for Lévy processes with applications to finance Giulia Di Nunno ; Bernt Øksendal ; Frank Proske |
| title_fullStr | Malliavin calculus for Lévy processes with applications to finance Giulia Di Nunno ; Bernt Øksendal ; Frank Proske |
| title_full_unstemmed | Malliavin calculus for Lévy processes with applications to finance Giulia Di Nunno ; Bernt Øksendal ; Frank Proske |
| title_short | Malliavin calculus for Lévy processes with applications to finance |
| title_sort | malliavin calculus for levy processes with applications to finance |
| topic | Lévy-Prozess (DE-588)4463623-4 gnd Brownsche Bewegung (DE-588)4128328-4 gnd Malliavin-Kalkül (DE-588)4242584-0 gnd |
| topic_facet | Lévy-Prozess Brownsche Bewegung Malliavin-Kalkül |
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