Integration by parts for jump processes

James R. Norris

Séminaire de probabilités de Strasbourg (1988)

  • Volume: 22, page 271-315

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Norris, James R.. "Integration by parts for jump processes." Séminaire de probabilités de Strasbourg 22 (1988): 271-315. <http://eudml.org/doc/113640>.

@article{Norris1988,
author = {Norris, James R.},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {integration by parts formula; smoothness properties of the transition and resolvent densities; Markov jump processes; Malliavin calculus for jump processes},
language = {eng},
pages = {271-315},
publisher = {Springer - Lecture Notes in Mathematics},
title = {Integration by parts for jump processes},
url = {http://eudml.org/doc/113640},
volume = {22},
year = {1988},
}

TY - JOUR
AU - Norris, James R.
TI - Integration by parts for jump processes
JO - Séminaire de probabilités de Strasbourg
PY - 1988
PB - Springer - Lecture Notes in Mathematics
VL - 22
SP - 271
EP - 315
LA - eng
KW - integration by parts formula; smoothness properties of the transition and resolvent densities; Markov jump processes; Malliavin calculus for jump processes
UR - http://eudml.org/doc/113640
ER -

References

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  1. 1. R.F. Bass and M. Cranston: The Malliavin calculus for pure jump processes and applications to local time, Ann. Prob.14, 490-532, 1986. Zbl0595.60044MR832021
  2. 2. K. Bichteler and J. Jacod: Calcul de Malliavin pour les processus avec sauts, existence d'une densité dans le cas uni-dimensionnel, Séminaire de Probabilités XVII, Lecture Notes in Mathematics986, Springer, Berlin, 132-157, 1983. Zbl0525.60067MR770406
  3. 3. K. Bichteler, J.B. Gravereaux and J. Jacod: Malliavin calculus for processes with jumps, Gordon and Breach, 1987. Zbl0706.60057MR1008471
  4. 4. J.M. Bismut: Calcul des variations stochastiques et processus de sauts. Z. Wahrs.63,147-235,1983. Zbl0494.60082MR701527
  5. 5. J.M. Bismut: Jump processes and boundary processes, Proc. Taniguchi Symp. on Stochastic Analysis1982, ed. K. Itô, North-Holland, Amsterdam, 1984. Zbl0566.60057MR780753
  6. 6. J. Jacod: Calcul stochastique et problemes de martingales, Lecture Notes in Mathematics714, Springer, Berlin, 1979. Zbl0414.60053MR542115
  7. 7. R. Leandre: Thèse de 3ème cycle, Besançon, 1984. 
  8. 8. R. Leandre: Régularité des processus de sauts dégénérés, Ann. Inst. H. Poincaré21,125-146,1985. Zbl0567.60056MR798891
  9. 9. R. Leandre: Calcul des variations sur un brownien subordonné, dans ce volume. Zbl0663.60062
  10. 10. R. Leandre: Densité en temps petit d'un processus de sauts, preprint. 
  11. 11. J.R. Norris: D. Phil thesis, Oxford, 1985. 
  12. 12. J.R. Norris: Simplified Malliavin calculus, Séminaire de Probabilités XX, Lecture Notes in Mathematics1204, Springer, Berlin, 101-130, 1986. Zbl0609.60066MR942019

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