scientific article

zbMath1059.60059MaRDI QIDQ3158928

Hiroshi Kunita

Publication date: 1 February 2005

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Lévy processesrepresentation theoremsMartingales with jumpsupper and lower hedging strategies

Mathematics Subject Classification ID

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JDOI variance reduction method and the pricing of American-style options ⋮ Well-posedness of a system of SDEs driven by jump random measures ⋮ Characterization of the Minimal Penalty of a Convex Risk Measure with Applications to Robust Utility Maximization for Lévy Models ⋮ Recovering Brownian and jump parts from high-frequency observations of a Lévy process ⋮ Online drift estimation for jump-diffusion processes ⋮ Minimal \(f^q\)-Martingale measures for exponential Lévy processes ⋮ Optimal portfolios in Lévy markets under state-dependent bounded utility functions ⋮ Itô's stochastic calculus: its surprising power for applications ⋮ Bismut-Elworthy-Li-type formulae for stochastic differential equations with jumps ⋮ The Predictable Representation Property of Compensated-Covariation Stable Families of Martingales ⋮ On the weak representation property in progressively enlarged filtrations with an application in exponential utility maximization ⋮ On \(q\)-optimal martingale measures in exponential Lévy models ⋮ RISK INDIFFERENCE PRICING IN JUMP DIFFUSION MARKETS

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