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Stochastics and Stochastic Reports Volume 27, 1989 - Issue 2
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Original Articles

Integration by parts and densities for jump processes

Robert J. Elliott Department of Statistics and Applied Probability, University of Alberta, Edmonton, Alberta, T6G 2G1, Canada
&
Michael Kohlmann Fakultät fur Wirtschaftswissenschaften und Statistik, Universität Konstanz, Konstanz, F.R, D7750, Germany
Pages 83-97 | Received 22 Feb 1988, Published online: 04 Apr 2007

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Tak Kuen Siu. (2020) Stochastic Flows and Jump-Diffusions. Quantitative Finance 20:6, pages 895-897.
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Articles from other publishers (3)

TAK KUEN SIU & ROBERT J. ELLIOTT. (2019) HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS. International Journal of Theoretical and Applied Finance 22:08, pages 1950047.
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Tak Kuen Siu. (2014) Integration by Parts and Martingale Representation for a Markov Chain. Abstract and Applied Analysis 2014, pages 1-11.
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V. I. Bogachev. (1997) Differentiable measures and the Malliavin calculus. Journal of Mathematical Sciences 87:4, pages 3577-3731.
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