2 papers
math.PR2025
Malliavin calculcus for a Hawkes process
Alexandre Popier, Laurent Denis, Dorian Cacitti-Holland
We develop a Malliavin calculus for nonlinear Hawkes processes in the sense of Carlen and Pardoux. This approach, based on perturbations of the jump times of the process, enables t…
math.PR2025
Malliavin derivative and sensitivity for optimal liquidation
Alexandre Popier, Laurent Denis, Dorian Cacitti-Holland
We prove that the solution of the backward stochastic differential equation with terminal singularity has a Malliavin derivative, which is the limit of the derivative of the approx…