An extension of the Clark-Ocone formula under benchmark measure for Levy processes

Yeliz Yolcu Okur

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An extension of the Clark-Ocone formula under benchmark measure for Levy processes

机译：在Levy过程的基准度量下对Clark-Ocone公式的扩展

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摘要

The classical Clark-Ocone theorem states that any random variable F∈(D_(1,2))~W{is contained in} L~2 (F_T, P) can be represented as F = E[F] + ∫(E[D_tF|F_t]dW(t)(0

机译：经典的Clark-Ocone定理指出，任何随机变量F∈（D_（1,2））〜W {包含在} L〜2（F_T，P）中都可以表示为F = E [F] +∫（E [D_tF | F_t] dW（t）（0

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《Stochastics: An International Journal of Probability and Stochastic Processes》 |2012年第3期|共22页
作者
Yeliz Yolcu Okur;
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正文语种 eng
中图分类概率论与数理统计;
关键词
Clark-Ocone formula; Change of measure; Levy processes; Malliavin calculus; White noise analysis;

机译：Clark-Ocone公式;度量的变化;征收过程;Malliavin演算;白噪声分析;

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1. An extension of the Clark-Ocone formula under benchmark measure for Levy processes [J] . Yeliz Yolcu Okur Stochastics: An International Journal of Probability and Stochastic Processes . 2012,第1a3期

机译：在Levy过程的基准度量下对Clark-Ocone公式的扩展
2. A generalised Gangolli-Levy-Khintchine formula for infinitely divisible measures and Levy processes on semi-simple Lie groups and symmetric spaces [J] . Applebaum David, Dooley Anthony Annales de L'institut Henri Poincare . 2015,第2期

机译：半简单李群和对称空间上无限可分测度和Levy过程的广义Gangolli-Levy-Khintchine公式
3. An extension of the Clark-Ocone formula [J] . SaidNgobi, AurelStan International journal of mathematics and mathematical sciences . 2004,第28期

机译：Clark-Ocone公式的扩展
4. Levy Measure Decompositions for the Beta and Gamma Processes [C] . Yingjian Wang, Lawrence Carin International Conference on Machine Learning . 2012

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5. Total variation of Gaussian processes and local times of associated Levy processes [D] . Lovell, Jonathan R. 2009

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7. A generalised Gangolli-Levy-Khintchine formula for infinitely divisible measures and Levy processes on semi-simple Lie groups and symmetric spaces [O] . Applebaum, David, Dooley, Anthony 2015

机译：半简单李群和对称空间上无限可分测度和Levy过程的广义Gangolli-Levy-Khintchine公式
8. Modeling and Graphing Organizational Processes in Pursuit of Performance Benchmarks: Methods for Establishing and Evaluating Performance Measures [R] . Saylor, W. G. 1997

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An extension of the Clark-Ocone formula under benchmark measure for Levy processes

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