Stochastic Integrals with Respect to Optional Semimartingales and Random Measures
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Publication:3217365
DOI10.1137/1129008zbMath0554.60049OpenAlexW2034869435MaRDI QIDQ3217365
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
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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