Martingales and Stochastic Integrals
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Publication:3322947
Brownian motionconvergence resultsIto differentiation rulelocal martingalesoptimal stoppingPoisson processupcrossing inequalitiesvon Neumann algebras
Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with discrete parameter (60G42) Martingales with continuous parameter (60G44) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic integrals (60H05)
Cited in
(51)- Spanning and completeness in markets with contingent claims
- A stochastic calculus for continuous N-parameter strong martingales
- A two-step state space time series modeling method
- The Ito-Clifford integral
- Time-dependent coefficients in a Cox-type regression model
- A dynamic reinsurance theory
- Wavelets and stochastic processes
- Statistical inference procedure for a hypergeometric model for capture- recapture experiments
- Doob-Meyer decomposition for set-indexed submartingales
- Transformations of Lebesgue-Stieltjes integrals
- On a representation theorem of Schmeidler
- Statistical inference in regression with heavy-tailed integrated variables
- Stopping and set-indexed local martingales
- Differential equations connecting VaR and CVaR
- Omega ratio optimization with actuarial and financial applications
- Sobolev martingales
- The set-indexed Itô integral
- Risk transference constraints in optimal reinsurance
- VaR as the CVaR sensitivity: applications in risk optimization
- Optimal global approximation of stochastic differential equations with additive Poisson noise
- Locally Most Powerful Sequentially Planned Tests in Continuous Time
- A note on stochastic integrators
- Optimal approximation of stochastic integrals with respect to a homogeneous Poisson process
- scientific article; zbMATH DE number 3909457 (Why is no real title available?)
- scientific article; zbMATH DE number 4076149 (Why is no real title available?)
- scientific article; zbMATH DE number 44889 (Why is no real title available?)
- Martingale problem to Stratonovich stochastic inclusion
- scientific article; zbMATH DE number 481040 (Why is no real title available?)
- 2-microlocal analysis of martingales and stochastic integrals
- scientific article; zbMATH DE number 724790 (Why is no real title available?)
- Toward A Convergence Theory For Continuous Stochastic Securities Market Models1
- A Nonstandard Approach to Option Pricing
- REPRESENTING MARTINGALE MEASURES WHEN ASSET PRICES ARE CONTINUOUS AND BOUNDED
- On the characterization of certain similarly ordered super-additive functionals
- On the rareness of generalized sub- and supermartingales in the class of all uniformlyL1bounded stochastic processes
- Ownership structure and efficiency in large economies
- On a stochastic model for a cooperative banking scheme for microcredit
- scientific article; zbMATH DE number 5587303 (Why is no real title available?)
- Some particular problems of martingale theory
- Measures, Integrals and Martingales
- Stochastic calculus as a tool in survival analysis: A review
- Stochastic calculus as a tool in survival analysis: A review
- Martingales in the Study of Randomness
- Actuarial pricing with financial methods
- V@R representation theorems in ambiguous frameworks
- The Laplace-Stieltjes transform in H_p spaces: an overview
- Pseudo-Riemann-Stieltjes integral
- Randomization in survival analysis
- Martingale measures and stochastic calculus
- Pathwise stochastic integration and applications to the theory of continuous trading
- Bayesian information topologies
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