11 citations · 11 across the 3 of their papers we have counts for
5 papers · 1 filter
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…
Anticipating Linear Stochastic Differential Equations Driven by a Lévy Process
Jorge A. León, David Márquez-Carreras, Josep Vives
In this paper we study the existence of a unique solution for linear stochastic differential equations driven by a Lévy process, where the initial condition and the coefficients ar…
Approximations of Fractional Stochastic Differential Equations by Means of Transport Processes
J. Garzón, L. G. Gorostiza, J. A. León
We present strong approximations with rate of convergence for the solution of a stochastic differential equation of the form where , $…
An anticipating Itô formula for Lévy processes
Elisa Alòs, Jorge A. León, Josep Vives
In this paper, we use the Malliavin calculus techniques to obtain an anticipative version of the change of variable formula for Lévy processes. Here the coefficients are in the dom…
The Local Time of the Classical Risk Process
F. Cortes, J. A. León, J. Villa
In this paper we give an explicit expression for the local time of the classical risk process and associate it with the density of an occupational measure. To do so, we approximate…