scientific article; zbMATH DE number 6478243

zbMATH Open1331.60001MaRDI QIDQ2943523FDOQ2943523

Authors: A. A. Gushchin 

Publication date: 3 September 2015

Title of this publication is not available (Why is that?)

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zbMATH Keywords

martingalesstochastic processessemimartingalesstochastic exponentialsstochastic integrals

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01)

Cited In (15)

• Stochastic analysis
• A short history of stochastic integration and mathematical finance: the early years, 1880--1970
• Stochastic differential equations. An introduction with applications.
• Theoretical Foundations for Quantitative Finance
• Stochastic calculus and applications
• Simplified stochastic calculus with applications in economics and finance
• Single jump filtrations and local martingales
• The joint law of terminal values of a nonnegative submartingale and its compensator
• The joint law of a max-continuous local submartingale and its maximum
• A Course of Stochastic Analysis
• Stochastic calculus of variations in mathematical finance.
• Stochastic Calculus and Differential Equations for Physics and Finance
• Stochastic calculus for assets with non-Gaussian price fluctuations
• Stochastic processes and financial mathematics. Translated from the German
• Continuous stochastic calculus with applications to finance

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