Stochastic Integrals with Respect to Optional Semimartingales and Random Measures

DOI10.1137/1129008zbMath0554.60049OpenAlexW2034869435MaRDI QIDQ3217365

Leonid I. Galtchouk

Publication date: 1985

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/1129008

zbMATH Keywords

stochastic integralsoptional semimartingales

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Random measures (60G57)

Related Items (10)

Existence and uniqueness of stochastic equations of optional semimartingales under monotonicity condition ⋮ On comparison theorem for optional SDEs via local times and applications ⋮ Optional decomposition of optional supermartingales and applications to filtering and finance ⋮ On linear stochastic equations of optional semimartingales and their applications ⋮ On reflection with two-sided jumps ⋮ A comparison theorem for stochastic equations of optional semimartingales ⋮ Optimal portfolios of a small investor in a limit order market: a shadow price approach ⋮ Parameter estimation in optional semimartingale regression models ⋮ Characteristics and Constructions of Default Times ⋮ Characterisation of honest times and optional semimartingales of class-\((\Sigma)\)

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