Stability results for martingale representations: The general case (Q5240180): Difference between revisions

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scientific article; zbMATH DE number 7121894

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English	Stability results for martingale representations: The general case	scientific article; zbMATH DE number 7121894

Statements

scholarly article

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Stability results for martingale representations: The general case (English)

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Antonis Papapantoleon

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Dylan Possamaï

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Alexandros Saplaouras

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Transactions of the American Mathematical Society

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publication date

24 October 2019

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full work available at URL

https://arxiv.org/abs/1806.01172

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zbMATH Keywords

martingale representations

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stability results

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varying filtrations

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quasi left continuity

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predictable representation property

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Skorokhod topology

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MaRDI profile type

MaRDI publication profile

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Filtration stability of backward sde's

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Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs

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Closedness results for BMO semi-martingales and application to quadratic BSDEs

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Donsker-type theorem for BSDEs

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On the robustness of backward stochastic differential equations.

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BS\(\Delta\)Es and BSDEs with non-Lipschitz drivers: comparison, convergence and robustness

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Stochastic Calculus and Applications

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On the convergence of Dirichlet processes

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Stability in \(\mathbb D\) of martingales and backward equations under discretization of filtration

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Corrigendum to ``Stability in \(\mathbb D\) of martingales and backward equations under discretization of filtration''

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Some examples and counterexamples of convergence of \(\sigma\)-algebras and filtrations

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Weighted norm inequalities and hedging in incomplete markets

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Real Analysis and Probability

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From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process<sup>1</sup>

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Stabilit� des solutions des �quations diff�rentielles stochastiques application aux int�grales multiplicatives stochastiques

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Convergence in distribution and Skorokhod convergence for the general theory of processes

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Calcul stochastique et problèmes de martingales

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Explicit form and robustness of martingale representations.

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Convergence en loi des suites d'integrales stochastiques sur l'espace \({\mathbb{D}}^ 1\) de Skorokhod. (Convergence in law of sequences of stochastic integrals on the Skorokhod space \({\mathbb{D}}^ 1)\)

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PROGRESSIVE FILTRATION EXPANSIONS VIA A PROCESS, WITH APPLICATIONS TO INSIDER TRADING

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Weak limit theorems for stochastic integrals and stochastic differential equations

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Weak approximations for Wiener functionals

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Weak differentiability of Wiener functionals and occupation times

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A weak version of path-dependent functional Itô calculus

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Numerical method for backward stochastic differential equations

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S p stability of solutions of symmetric stochastic differential equations with discontinuous driving semimartingales

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Convergence of BS\(\operatorname{\Delta}\)Es driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver

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Espaces de semi martingales et changement de probabilit�

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Stability of Doob-Meyer decomposition under extended convergence

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44th seminar on probability. Including papers from the `Journées de Probabilités', Dijon, France, June 2010

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Föllmer-Schweizer decomposition and mean-variance hedging for general claims

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On Embedding Right Continuous Martingales in Brownian Motion

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Existence and uniqueness results for BSDE with jumps: the whole nine yards

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Stability results for martingale representations: The general case

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Weak approximation of second-order BSDEs

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? p stability of solutions of stochastic differential equations

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Approximations of solutions of stochastic differential equations driven by semimartingales

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Variance-Optimal Hedging in Discrete Time

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Stability of strong solutions of stochastic differential equations

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Within and beyond the reach of Brownian innovation

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Identifiers

zbMATH Open document ID

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10.1090/tran/7880

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:5240180

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