Simplified calculus for semimartingales: multiplicative compensators and changes of measure (Q6157012): Difference between revisions

From MaRDI portal
Added link to MaRDI item.
ReferenceBot (talk | contribs)
Changed an Item
(One intermediate revision by one other user not shown)
Property / OpenAlex ID
 
Property / OpenAlex ID: W3036455429 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Enlargement of Filtration with Finance in View / rank
 
Normal rank
Property / cites work
 
Property / cites work: Repr�sentation multiplicative d'une surmartingale born�e / rank
 
Normal rank
Property / cites work
 
Property / cites work: On \(q\)-optimal martingale measures in exponential Lévy models / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the hedging of options on exploding exchange rates / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the structure of general mean-variance hedging strategies / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pure-jump semimartingales / rank
 
Normal rank
Property / cites work
 
Property / cites work: Simplified stochastic calculus with applications in economics and finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Simplified stochastic calculus via semimartingale representations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Absolute continuity of symmetric Markov processes. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Financial Modelling with Jump Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Quelques applications de la formule de changement de variables pour les semimartingales / rank
 
Normal rank
Property / cites work
 
Property / cites work: Esscher transform and the duality principle for multidimensional semimartingales / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stabilit� des solutions des �quations diff�rentielles stochastiques application aux int�grales multiplicatives stochastiques / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5479597 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Minimax and minimal distance martingale measures and their relationship to portfolio optimization / rank
 
Normal rank
Property / cites work
 
Property / cites work: Transformation of Markov processes by multiplicative functionals / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4155568 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4778955 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Minimal \(f^q\)-Martingale measures for exponential Lévy processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the variation distance for probability measures defined on a filtered space / rank
 
Normal rank
Property / cites work
 
Property / cites work: Exponentially affine martingales, affine measure changes and exponential moments of affine processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: The cumulant process and Esscher's change of measure / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the stochastic behaviour of optional processes up to random times / rank
 
Normal rank
Property / cites work
 
Property / cites work: Filtration shrinkage, the structure of deflators, and failure of market completeness / rank
 
Normal rank
Property / cites work
 
Property / cites work: Second-order BSDEs with jumps: formulation and uniqueness / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic exponentials and logarithms on stochastic intervals. A survey / rank
 
Normal rank
Property / cites work
 
Property / cites work: Convergence of local supermartingales / rank
 
Normal rank
Property / cites work
 
Property / cites work: Sur l'int�grabilit� uniforme des martingales exponentielles / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4164593 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Doob's maximal identity, multiplicative decompositions and enlargements of filtrations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Supermartingales as Radon-Nikodym densities and related measure extensions / rank
 
Normal rank
Property / cites work
 
Property / cites work: A new proof for the conditions of Novikov and Kazamaki / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4098435 / rank
 
Normal rank

Revision as of 09:09, 1 August 2024

scientific article; zbMATH DE number 7697553
Language Label Description Also known as
English
Simplified calculus for semimartingales: multiplicative compensators and changes of measure
scientific article; zbMATH DE number 7697553

    Statements

    Simplified calculus for semimartingales: multiplicative compensators and changes of measure (English)
    0 references
    0 references
    0 references
    19 June 2023
    0 references
    Girsanov
    0 references
    Lévy-Khintchin
    0 references
    Mellin transform
    0 references
    predictable compensator
    0 references
    process with independent increments
    0 references
    semimartingale representation
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references