Application of the lent particle method to Poisson driven SDE's

Details Application of the lent particle method to Poisson driven SDE's Application of the lent particle method to Poisson driven SDE's

2009-04-23

arxiv.org/abs/0904.3613v1

Mathematics

Probability

24 pages

Scientific paper

We apply the Dirichlet forms version of Malliavin calculus to stochastic differential equations with jumps. As in the continuous case this weakens signi?cantly the assumptions on the coefficients of the SDE. In spite of the use of the Dirichlet forms theory, this approach brings also an important simpli?cation which was not available nor visible previously : an explicit formula giving the carr\'e du champ matrix, i.e. the Malliavin matrix. Following this formula a new procedure appears, called the lent particle method which shortens the computations both theoretically and in concrete examples.

Affiliated with

Also associated with

No associations

Rating

Application of the lent particle method to Poisson driven SDE's does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Application of the lent particle method to Poisson driven SDE's, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Application of the lent particle method to Poisson driven SDE's will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-408787