Malliavin calculus for Markov chains using perturbations of time. Issue 6 (17th August 2016)
- Record Type:
- Journal Article
- Title:
- Malliavin calculus for Markov chains using perturbations of time. Issue 6 (17th August 2016)
- Main Title:
- Malliavin calculus for Markov chains using perturbations of time
- Authors:
- Denis, Laurent
Nguyen, Tuyet Mai - Abstract:
- Abstract : In this article, we develop a Malliavin calculus associated to a time-continuous Markov chain with finite state space. We apply it to get a criterion of density for solutions of stochastic differential equation involving the Markov chain and also to compute greeks.
- Is Part Of:
- Stochastics. Volume 88:Issue 6(2016)
- Journal:
- Stochastics
- Issue:
- Volume 88:Issue 6(2016)
- Issue Display:
- Volume 88, Issue 6 (2016)
- Year:
- 2016
- Volume:
- 88
- Issue:
- 6
- Issue Sort Value:
- 2016-0088-0006-0000
- Page Start:
- 813
- Page End:
- 840
- Publication Date:
- 2016-08-17
- Subjects:
- Dirichlet form -- integration by parts formula -- Malliavin calculus -- Markov chain -- computation of greeks
60H07 -- 60J10 -- 60G55 -- 91B70
Stochastic processes -- Periodicals
Probabilities -- Periodicals
519.2 - Journal URLs:
- http://www.tandfonline.com/toc/gssr20/current ↗
http://www.tandfonline.com/ ↗
http://www.tandf.co.uk/journals/online/1744-2508.asp ↗ - DOI:
- 10.1080/17442508.2016.1148150 ↗
- Languages:
- English
- ISSNs:
- 1744-2508
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 8465.330300
British Library DSC - BLDSS-3PM
British Library STI - ELD Digital store - Ingest File:
- 2054.xml