Comparing Brownian Stochastic Integrals for the Convex Order

DOI10.1007/978-3-319-03512-3_1zbMath1322.60079OpenAlexW130525822MaRDI QIDQ2946082

Marc Yor, Francis Hirsch

Publication date: 16 September 2015

Published in: Modern Stochastics and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-03512-3_1

zbMATH Keywords

Brownian motionstochastic integralsconvex order

Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic integrals (60H05)

Related Items (1)

Convex Order for Path-Dependent Derivatives: A Dynamic Programming Approach

Cites Work

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• Peacocks and associated martingales, with explicit constructions
• Limits of one-dimensional diffusions
• Markov-Komposition und eine Anwendung auf Martingale. (Markov compositions and an application to martingales)
• A new proof of Kellerer’s theorem
• Kellerer’s Theorem Revisited

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