Martingales and Stochastic Integrals
From MaRDI portal
Publication:3322947
Brownian motionPoisson processoptimal stoppingvon Neumann algebrasconvergence resultslocal martingalesupcrossing inequalitiesIto differentiation rule
Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Martingales with discrete parameter (60G42) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)
Cited in
(50)- Stochastic calculus as a tool in survival analysis: A review
- A dynamic reinsurance theory
- Time-dependent coefficients in a Cox-type regression model
- scientific article; zbMATH DE number 481040 (Why is no real title available?)
- Locally Most Powerful Sequentially Planned Tests in Continuous Time
- On the rareness of generalized sub- and supermartingales in the class of all uniformlyL1bounded stochastic processes
- A stochastic calculus for continuous N-parameter strong martingales
- Actuarial pricing with financial methods
- Sobolev martingales
- Martingale problem to Stratonovich stochastic inclusion
- V@R representation theorems in ambiguous frameworks
- Pseudo-Riemann-Stieltjes integral
- Statistical inference in regression with heavy-tailed integrated variables
- A two-step state space time series modeling method
- A Nonstandard Approach to Option Pricing
- Stochastic calculus as a tool in survival analysis: A review
- On the characterization of certain similarly ordered super-additive functionals
- 2-microlocal analysis of martingales and stochastic integrals
- Doob-Meyer decomposition for set-indexed submartingales
- Spanning and completeness in markets with contingent claims
- Some particular problems of martingale theory
- On a representation theorem of Schmeidler
- Risk transference constraints in optimal reinsurance
- Martingales in the Study of Randomness
- REPRESENTING MARTINGALE MEASURES WHEN ASSET PRICES ARE CONTINUOUS AND BOUNDED
- Ownership structure and efficiency in large economies
- The set-indexed Itô integral
- VaR as the CVaR sensitivity: applications in risk optimization
- Differential equations connecting VaR and CVaR
- Randomization in survival analysis
- Optimal global approximation of stochastic differential equations with additive Poisson noise
- Toward A Convergence Theory For Continuous Stochastic Securities Market Models1
- The Ito-Clifford integral
- Bayesian information topologies
- Stopping and set-indexed local martingales
- On a stochastic model for a cooperative banking scheme for microcredit
- A note on stochastic integrators
- Statistical inference procedure for a hypergeometric model for capture- recapture experiments
- Pathwise stochastic integration and applications to the theory of continuous trading
- Optimal approximation of stochastic integrals with respect to a homogeneous Poisson process
- Wavelets and stochastic processes
- The Laplace-Stieltjes transform in \(H_p\) spaces: an overview
- scientific article; zbMATH DE number 724790 (Why is no real title available?)
- scientific article; zbMATH DE number 3909457 (Why is no real title available?)
- Transformations of Lebesgue-Stieltjes integrals
- Martingale measures and stochastic calculus
- scientific article; zbMATH DE number 5587303 (Why is no real title available?)
- Omega ratio optimization with actuarial and financial applications
- scientific article; zbMATH DE number 4076149 (Why is no real title available?)
- Measures, Integrals and Martingales
This page was built for publication: Martingales and Stochastic Integrals
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3322947)
