Absolutely continuous laws of jump-diffusions in finite and infinite dimensions with applications to mathematical finance

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Autor(in)
Forster, Barbara
Lütkebohmert, Eva
Teichmann, Josef
Datum
2009
Typ
    Journal Article
Publikationsstatus
published
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Zeitschrift / Serie
SIAM Journal on Mathematical Analysis
Band
40(5)
Seiten / Artikelnummer
2132 - 2153
Verlag
SIAM
Thema
Malliavin calculus; compound Poisson process; Hormander condition; Greeks; Malliavin weight; stochastic partial differential equation; jump-diffusion; interest rate theory
Organisationseinheit
03845 - Teichmann, Josef / Teichmann, Josef  
Anmerkungen
Received November 20 2007, Accepted September 23 2008, Published January 23 2009.
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