Double martingales

DOI10.1007/BF00532686MaRDI QIDQ4064790zbMATH OpenOpenAlexFDO

Authors Robert J. Elliot

Publication date 1976

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf00532686

Mathematics Subject Classification ID

Brownian motion (60J65)

Cites work

• scientific article; zbMATH DE number 3223983 (Why is no real title available?)
• scientific article; zbMATH DE number 3334738 (Why is no real title available?)
• On Square Integrable Martingales
• The Representation of Functionals of Brownian Motion by Stochastic Integrals

Cited in

(11)

• Levy functionals and jump process martingales
• Backward stochastic differential equations with regime-switching and sublinear expectations
• Mean-variance asset-liability management problem under non-Markovian regime-switching models
• Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model
• Good-deal bounds in a regime-switching diffusion market
• Martingale representation and admissible portfolio process with regime switching
• A functional Itô's calculus approach to convex risk measures with jump diffusion
• A stochastic maximum principle for backward control systems with random default time
• Time-consistent consumption-portfolio control problems with regime-switching-modulated habit formation: an essentially cooperative approach
• Regime-switching risk: to price or not to price?
• A martingale representation for a European-style option under a semi-Markov-switching diffusion model

This page was built for publication: Double martingales

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4064790)