15 citations · 24 across the 5 of their papers we have counts for
5 papers
Local Malliavin Calculus for Lévy Processes and Applications
Jorge A. León, Josep L. Solé, Frederic Utzet +1
In this paper a Malliavin calculus for Lévy processes based on a family of true derivative operators is developed. The starting point is an extension to Lévy processes of the pione…
Stein's method and normal approximation of Poisson functionals
Giovanni Peccati, Josep Lluís Solé, Murad S. Taqqu +1
We combine Stein's method with a version of Malliavin calculus on the Poisson space. As a result, we obtain explicit Berry-Esséen bounds in Central Limit Theorems (CLTs) involving…
On the orthogonal polynomials associated with a Lévy process
Josep Lluís Solé, Frederic Utzet
Let be a càdlàg Lévy process, centered, with moments of all orders. There are two families of orthogonal polynomials associated with . On one hand, the Kailat…
Time--space harmonic polynomials relative to a Lévy process
Josep Lluís Solé, Frederic Utzet
In this work, we give a closed form and a recurrence relation for a family of time--space harmonic polynomials relative to a Lévy process. We also state the relationship with the K…
A family of martingales generated by a process with independent increments
Josep Lluís Solé, Frederic Utzet
An explicit procedure to construct a family of martingales generated by a process with independent increments is presented. The main tools are the polynomials that give the relatio…