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  • Search: subject:"Expectation and derivative operators"
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Year of publication
Subject
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Characteristic functions 1 Expectation and derivative operators 1 Föllmer-Schweizer decomposition 1 Global and local quadratic risk minimization 1 Kunita-Watanabe decomposition 1 Lévy processes 1 Processes with independent increments 1
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Type of publication
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Book / Working Paper 1
Language
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Undetermined 1
Author
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Goutte, Stéphane 1 Oudjane, Nadia 1 Russo, Francesco 1
Institution
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Université Paris-Dauphine (Paris IX) 1
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Economics Papers from University Paris Dauphine 1
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RePEc 1
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On Some Expectation and Derivative Operators Related to Integral Representations of Random Variables with Respect to a PII Process
Goutte, Stéphane; Oudjane, Nadia; Russo, Francesco - Université Paris-Dauphine (Paris IX) - 2013
Föllmer-Schweizer decompositions of H. The representation is expressed by means of two significant maps: the expectation and … derivative operators related to the characteristics of X. We also evaluate the expression for the variance optimal error when …
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