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We present a Malliavin calculus approach to sensitivity analysis of European options in a jump-diffusion model. The lack of differentiability due to the presence of a jump component is tackled using partial differentials with respect to the (absolutely continuous) Gaussian part. The method appears to be particularly efficient to compute sensitivities with(More)
We prove a moment identity on the Wiener space that extends the Skorohod isometry to arbitrary powers of the Skorohod integral on the Wiener space. As simple consequences of this identity we obtain sufficient conditions for the Gaussianity of the law of the Skorohod integral and a recurrence relation for the moments of second order Wiener integrals. We also(More)
We use a white noise approach to Malliavin calculus to prove the following white noise generalization of the Clark-Haussmann-Ocone formula F (ω) = E[F ] + T 0 E[D t F |F t ] ⋄ W (t)dt Here E[F ] denotes the generalized expectation, D t F (ω) = dF dω is the (generalized) Malliavin derivative,⋄ is the Wick product and W (t) is 1-dimensional Gaussian white(More)
We use a white noise approach to Malliavin calculus to prove the following white noise generalization of the Clark-Haussmann-Ocone formula F (ω) = E[F ] + T 0 E[D t F |F t ] W (t)dt Here E[F ] denotes the generalized expectation, D t F (ω) = dF dω is the (generalized) Malliavin derivative, is the Wick product and W (t) is 1-dimensional Gaussian white noise.(More)
—Ambient RF (Radio Frequency) energy harvesting techniques have recently been proposed as a potential solution to provide proactive energy replenishment for wireless devices. This paper aims to analyze the performance of a battery-free wireless sensor powered by ambient RF energy harvesting using a stochastic-geometry approach. Specifically, we consider a(More)
The gradient and divergence operators of stochastic analysis on Rieman-nian manifolds are expressed using the gradient and divergence of the at Brownian motion. By this method we obtain the almost-sure version of several useful identities that are usually stated under expectations. The manifold-valued Brownian motion and random point measures on manifolds(More)