Quelques applications de la formule de changement de variables pour les semimartingales
From MaRDI portal
Publication:5590486
DOI10.1007/BF00534595zbMath0194.49104MaRDI QIDQ5590486
Publication date: 1970
Published in: Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete (Search for Journal in Brave)
Related Items (65)
On exponentials of additive functionals of Markov processes ⋮ Quadratic-exponential functionals of Gaussian quantum processes ⋮ AN ESTIMATE OF THE APPROXIMATION ERROR IN THE FILTERING OF A DISCRETE JUMP PROCESS ⋮ JUMP PROCESSES UNDER PARTIAL OBSERVATIONS: FINITE STATE APPROXIMATION ⋮ Unnamed Item ⋮ Unnamed Item ⋮ A functional Itô's calculus approach to convex risk measures with jump diffusion ⋮ Asymptotic properties of local densities of measures generated by semimartingales ⋮ RISK-NEUTRAL MEASURES AND PRICING FOR A PURE JUMP PRICE PROCESS ⋮ On VIX futures in the rough Bergomi model ⋮ Conditions for optimality in the infinite-horizon portfolio-cum-saving problem with semimartingale investments ⋮ Stochastic integrals: A combinatorial approach ⋮ Stability of backward stochastic differential equations ⋮ PRICING FOR GEOMETRIC MARKED POINT PROCESSES UNDER PARTIAL INFORMATION: ENTROPY APPROACH ⋮ Stochastic product integral w.r.t. infinite dimensional semimartingale:ii–uniform operator topology case ⋮ Stochastic Processes in the Decades after 1950 ⋮ Analytic characterization of conditional gaugeability for non-local Feynman-Kac transforms ⋮ Simplified calculus for semimartingales: multiplicative compensators and changes of measure ⋮ Optimality criteria for controlled discontinuous processes ⋮ Minimal martingale measure: pricing and hedging in a pure jump model under restricted information ⋮ Utility-based hedging and pricing with a nontraded asset for jump processes ⋮ A note on the inhomogeneous linear stochastic differential equation. ⋮ A general model in risk theory. An application of modern martingale theory. Part one: Theoretic foundations ⋮ The Girsanov Theorem Without (So Much) Stochastic Analysis ⋮ Optimal Sure Portfolio Plans ⋮ First steps towards an equilibrium theory for Lévy financial markets ⋮ [https://portal.mardi4nfdi.de/wiki/Publication:4076585 Caract�ristiques locales et conditions de continuit� absolue pour les semi-martingales] ⋮ A PDE approach to jump-diffusions ⋮ Stochastic calculus as a tool in survival analysis: A review ⋮ Stochastic calculus as a tool in survival analysis: A review ⋮ General matrix-valued inhomogeneous linear stochastic differential equations and applications ⋮ UTILITY MAXIMIZATION WITH INTERMEDIATE CONSUMPTION UNDER RESTRICTED INFORMATION FOR JUMP MARKET MODELS ⋮ On Bayesian nonparametric estimation for stochastic processes ⋮ Stochastic Integral Representation of Multiplicative Operator Functionals of a Wiener Process ⋮ [https://portal.mardi4nfdi.de/wiki/Publication:4115871 �tude des solutions extr�males et repr�sentation int�grale des solutions pour certains probl�mes de martingales] ⋮ An equilibrium asset pricing model based on Lévy processes: Relations to stochastic volatility, and the survival hypothesis ⋮ Optimal Investment-consumption for Partially Observed Jump-diffusions ⋮ Changes of filtrations and of probability measures ⋮ On VIX futures in the rough Bergomi model ⋮ [https://portal.mardi4nfdi.de/wiki/Publication:4155579 Sur l'int�grabilit� uniforme des martingales exponentielles] ⋮ Levy systems and absolutely continuous changes of measure for a jump process ⋮ An alternative approach to nonlinear filtering ⋮ A note on exponential martingales ⋮ On stochastic equations with respect to semimartingales I.† ⋮ Control of jump processes and applications ⋮ Representation of gaussian processes equivalent to a gaussian martingalet ⋮ [https://portal.mardi4nfdi.de/wiki/Publication:4176251 Un probl�me de contr�le stochastique avec observation partielle] ⋮ On the uniqueness of a local martingale with a given absolute value ⋮ Path-dependent backward stochastic Volterra integral equations with jumps, differentiability and duality principle ⋮ Wealth optimization and dual problems for jump stock dynamics with stochastic factor ⋮ Transformation of H p -martingales by a change of law ⋮ A representation for a process governed by a system of stochastic equations of filtration type ⋮ Trait-dependent branching particle systems with competition and multiple offspring ⋮ Simplified stochastic calculus via semimartingale representations ⋮ Examples of Nonlinear Continuous Tensor Products of Measure Spaces and Non-Fock Factorizations ⋮ Martingales, potentials and exponentials associated with a two-parameter jump process ⋮ Stability of Dirichlet heat kernel estimates for non-local operators under Feynman-Kac perturbation ⋮ Valuation and martingale properties of shadow prices: an exposition ⋮ Remarks on the rate of strong convergence of Euler-Maruyama approximation for SDEs driven by rotation invariant stable processes ⋮ Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models ⋮ The dialectics archetypes/types (universal categorical constructions/concrete models) in the work of Alexander Grothendieck ⋮ `Analogies,' `interpretations,' `images,' `systems,' and `models': some remarks on the history of abstract representation in the sciences since the nineteenth century ⋮ Quantum stochastic calculus ⋮ Calcul des variations stochastique et processus de sauts ⋮ Gaugeability and conditional gaugeability
Cites Work
This page was built for publication: Quelques applications de la formule de changement de variables pour les semimartingales