Pages that link to "Item:Q662437"
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The following pages link to On Azéma-Yor processes, their optimal properties and the Bachelier-drawdown equation (Q662437):
Displayed 17 items.
- The maximum maximum of a martingale with given \(n\) marginals (Q259564) (← links)
- Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model (Q377454) (← links)
- On some universal \(\sigma\)-finite measures related to a remarkable class of submartingales (Q424488) (← links)
- On the drawdown of completely asymmetric Lévy processes (Q454869) (← links)
- Remarks on Föllmer's pathwise Itô calculus (Q2272807) (← links)
- Two explicit Skorokhod embeddings for simple symmetric random walk (Q2274306) (← links)
- On joint distributions of the maximum, minimum and terminal value of a continuous uniformly integrable martingale (Q2347466) (← links)
- On taxed spectrally negative Lévy processes with draw-down stopping (Q2404541) (← links)
- A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options (Q2443194) (← links)
- Martingale Inequalities for the Maximum via Pathwise Arguments (Q2798582) (← links)
- THE INCENTIVES OF HEDGE FUND FEES AND HIGH-WATER MARKS (Q2799996) (← links)
- THE NUMÉRAIRE PROPERTY AND LONG-TERM GROWTH OPTIMALITY FOR DRAWDOWN-CONSTRAINED INVESTMENTS (Q2968274) (← links)
- Some contributions to the study of stochastic processes of the classes and (Q4584696) (← links)
- Dividend payments until draw-down time for risk models driven by spectrally negative Lévy processes (Q5055203) (← links)
- The Joint Law of a Max-Continuous Local Submartingale and Its Maximum (Q5150155) (← links)
- Exit problems for general draw-down times of spectrally negative Lévy processes (Q5226250) (← links)
- Asset management with endogenous withdrawals under a drawdown constraint (Q5234294) (← links)