Measure-valued random processes

DOI10.1007/BF02451429zbMath0554.60057MaRDI QIDQ3217373

Joseph Horowitz

Publication date: 1985

Published in: Unnamed Author (Search for Journal in Brave)

zbMATH Keywords

marked point processesmeasure-valued martingalesgeometrical property of Markov processesmeasure-valued random processes

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Diffusion processes (60J60) Stochastic integrals (60H05) Random measures (60G57) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (10)

Gaussian random measures ⋮ Long- and short-time asymptotics of the first-passage time of the Ornstein–Uhlenbeck and other mean-reverting processes ⋮ On the extension of bimeasures ⋮ A dynamic programming approach to distribution-constrained optimal stopping ⋮ Games with incomplete information in continuous time and for continuous types ⋮ Model-Independent Bounds for Asian Options: A Dynamic Programming Approach ⋮ The joint distribution of the hitting time and place to a sphere or spherical shell for Brownian motion with drift ⋮ On a notion of partially conditionally identically distributed sequences ⋮ Hitting spheres with Brownian motion revisited ⋮ On the first hitting time density for a reducible diffusion process

Cites Work

• Calcul stochastique et problèmes de martingales
• \(L_p\)-intensities of random measures
• Hitting spheres with Brownian motion
• Point processes and queues. Martingale dynamics
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• Semimartingales: A course on stochastic processes
• Surmartingales régulières à valeurs mesures et desintegrations régulières d'une mesure
• Semimartingales and Markov processes
• Remarks on Bimeasures
• [https://portal.mardi4nfdi.de/wiki/Publication:4170005 Calcul stochastique d�pendant d'un param�tre]
• Optional supermartingales and the andersen-jessen theorem
• Geostochastic calculus
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• Class 𝐷 supermartingales
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