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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

References

  • Bass , R.F. and Cranston , M. 1986 . The Malliavin calculus, for pure jump processes and applications to local time . Ann. Prob , 14 : 490 – 532 .
  • Bichteler , K. , Gravereaux , B. and Jacod , J. 1987 . Malliavin calculus for processes with jumps , London : Gordon and Breach .
  • Bichteler , K. , Gravereaux , B. and Jacod , J. 1987 . Malliavin calculus for processes with jumps , London : Gordon and Breach .
  • Bismut , J.M. 1981 . Martingales, the Malliavin calculus and hypoellipticity under general Hormander's conditions . Zeits. fur Wahrs , 56 : 469 – 505 .
  • Bismut , J. M. 1983 . Calcul des variations stochastiques et processus de sauts . Zeits. fur Wahrs , 63 : 147 – 235 .
  • Elliott , R.J. and Kohlmann , M. “ Integration by parts, homogeneous chaos expansions and smooth densities ” . In Annals of Probability To appear
  • Jacod , J. 1979 . Calcul stochastique et problems de martingales, Lecture Notes in Math. , Vol. 714 , Springer Verlag . To appear
  • Leandre , R. 1984 . Flot d'une equation differentielle stochastique avee semi-martingale directrice discontinue. Sem. de Probabilites XIX, Lecture notes in Math. , Vol. 1123 , 271 – 275 . Springer Verlag .
  • Leandre , R. 1987 . Densote en temps petit d'un processus de sauts. Sem. de Probabilities XXI, Lecture notes in Math. , Vol. 1247 , 81 – 99 . Springer Verlag .
  • Malliavin , P. Stochastic Calculus of Variations and Hypoelliptic Operators . Proceedings of International Conference . Kyoto. pp. 195 – 263 . Wiley .
  • Meyer , P. A. 1981 . Flot d'une equation differentielle stochastique. Seminaire de Probabilities XV, Lecture notes in Math. , 103 – 117 . Springer Verlag .
  • Norris , J. 1986 . Simplified Malliavin calculus. Sem. de Probabilities XX, Lecture notes in Math. , Vol. 1204 , Springer Verlag .
  • Norris , J. 1988 . Integration by parts for jump processes. Sem. de Probabilities XXII. Lecture notes in Math. , Vol. 1322 , Springer Verlag .
  • Stroock , D. 1983 . Some applications of stochastic calculus to partial differential equations. Wcole d'ete de probabilites de Saint Flour XI, Lecture notes in Math. , Vol. 976 , Springer Verlag .
  • Stroock , D. 1981 . The Malliavin calculus, Functional Analysis Approach . Jour. Funct.. Anal , 44 : 212 – 257 .

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