Canonical Lévy process and Malliavin calculus

Josep Lluís Solé, Frederic Utzet and Josep Vives

Stochastic Processes and their Applications, 2007, vol. 117, issue 2, 165-187

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[not equal to]0; in the first case, we prove a chain rule; in the second case, a formula by trajectories.

Keywords: Lévy; processes; Malliavin; calculus; Skorohod; integral (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (18)

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