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math.PR2012
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…
math.PR2012
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…