Integration by Parts and Martingale Representation for a Markov Chain. (2nd June 2014)
- Record Type:
- Journal Article
- Title:
- Integration by Parts and Martingale Representation for a Markov Chain. (2nd June 2014)
- Main Title:
- Integration by Parts and Martingale Representation for a Markov Chain
- Authors:
- Siu, Tak Kuen
- Other Names:
- He Shuping Academic Editor.
- Abstract:
- Abstract : Integration-by-parts formulas for functions of fundamental jump processes relating to a continuous-time, finite-state Markov chain are derived using Bismut's change of measures approach to Malliavin calculus. New expressions for the integrands in stochastic integrals corresponding to representations of martingales for the fundamental jump processes are derived using the integration-by-parts formulas. These results are then applied to hedge contingent claims in a Markov chain financial market, which provides a practical motivation for the developments of the integration-by-parts formulas and the martingale representations.
- Is Part Of:
- Abstract and applied analysis. Volume 2014(2014)
- Journal:
- Abstract and applied analysis
- Issue:
- Volume 2014(2014)
- Issue Display:
- Volume 2014, Issue 2014 (2014)
- Year:
- 2014
- Volume:
- 2014
- Issue:
- 2014
- Issue Sort Value:
- 2014-2014-2014-0000
- Page Start:
- Page End:
- Publication Date:
- 2014-06-02
- Subjects:
- Mathematical analysis -- Periodicals
Mathematical analysis
Applied Mathematics
Mathematical Analysis
Periodicals
515.05 - Journal URLs:
- http://www.hindawi.com/journals/aaa ↗
http://ProjectEuclid.org/aaa ↗ - DOI:
- 10.1155/2014/438258 ↗
- Languages:
- English
- ISSNs:
- 1085-3375
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library HMNTS - ELD Digital store
- Ingest File:
- 19745.xml