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math.PR2021★ 1 cited
Malliavin calculus for marked binomial processes: portfolio optimisation in the trinomial model and compound Poisson approximation
Hélène Halconruy
In this paper we develop a stochastic analysis for marked binomial processes, that can be viewed as the discrete analogues of marked Poisson processes. The starting point is the st…
math.PR2017
Malliavin and dirichlet structures for independent random variables
Laurent Decreusefond, Hélène Halconruy
On any denumerable product of probability spaces, we construct a Malliavin gradient and then a divergence and a number operator. This yields a Dirichlet structure which can be show…