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math.PR2008★ 11 cited
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…
math.PR2008
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…