Malliavin calculus for subordinated Lévy process

Hi Jun Choe, Ji Min Lee, Jung Kyung Lee

Research output: Contribution to journalArticle

Abstract

We develop a chaos expansion for a subordinated Lévy process. This expansion is expressed in terms of Itô's multiple integral expansion. Considering the jumps occurring due to an underlying process and a subordinator, a mixed chaotic representation is proposed. This representation provides the definition of the Malliavin derivative, which is characterized by increment quotients. Moreover, we introduce a new Clark–Ocone expansion formula for the subordinated Lévy process and provide applications for risk-free hedging in a designed model.

Original languageEnglish
Pages (from-to)392-401
Number of pages10
JournalChaos, Solitons and Fractals
Volume116
DOIs
Publication statusPublished - 2018 Nov 1

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Malliavin Calculus
Malliavin Derivative
Chaos Expansion
Subordinator
Multiple integral
Hedging
Increment
Quotient
Jump
Model

All Science Journal Classification (ASJC) codes

  • Mathematics(all)

Cite this

Choe, Hi Jun ; Lee, Ji Min ; Lee, Jung Kyung. / Malliavin calculus for subordinated Lévy process. In: Chaos, Solitons and Fractals. 2018 ; Vol. 116. pp. 392-401.
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Malliavin calculus for subordinated Lévy process. / Choe, Hi Jun; Lee, Ji Min; Lee, Jung Kyung.

In: Chaos, Solitons and Fractals, Vol. 116, 01.11.2018, p. 392-401.

Research output: Contribution to journalArticle

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