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- W2894943107 abstract "Abstract We develop a chaos expansion for a subordinated Levy process. This expansion is expressed in terms of Ito’s multiple integral expansion. Considering the jumps occurring due to an underlying process and a subordinator, a mixed chaotic representation is proposed. This representation provides the definition of the Malliavin derivative, which is characterized by increment quotients. Moreover, we introduce a new Clark–Ocone expansion formula for the subordinated Levy process and provide applications for risk-free hedging in a designed model." @default.
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- W2894943107 date "2018-11-01" @default.
- W2894943107 modified "2023-09-24" @default.
- W2894943107 title "Malliavin calculus for subordinated Lévy process" @default.
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- W2894943107 doi "https://doi.org/10.1016/j.chaos.2018.09.027" @default.
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