Martingales and Stochastic Integrals
DOI10.1017/CBO9780511897221zbMATH Open0537.60047OpenAlexW2021718102MaRDI QIDQ3322947FDOQ3322947
Authors: P. Ekkehard Kopp 
Publication date: 1984
Full work available at URL: https://doi.org/10.1017/cbo9780511897221
Recommendations
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)
- A dynamic reinsurance theory
- Title not available (Why is that?)
- Time-dependent coefficients in a Cox-type regression model
- 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
- Actuarial pricing with financial methods
- A stochastic calculus for continuous N-parameter strong martingales
- Sobolev martingales
- V@R representation theorems in ambiguous frameworks
- Martingale problem to Stratonovich stochastic inclusion
- Pseudo-Riemann-Stieltjes integral
- Stochastic calculus as a tool in survival analysis: A review
- A Nonstandard Approach to Option Pricing
- On the characterization of certain similarly ordered super-additive functionals
- Statistical inference in regression with heavy-tailed integrated variables
- A two-step state space time series modeling method
- 2-microlocal analysis of martingales and stochastic integrals
- Some particular problems of martingale theory
- Doob-Meyer decomposition for set-indexed submartingales
- Spanning and completeness in markets with contingent claims
- On a representation theorem of Schmeidler
- Martingales in the Study of Randomness
- Risk transference constraints in optimal reinsurance
- 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
- Toward A Convergence Theory For Continuous Stochastic Securities Market Models1
- Randomization in survival analysis
- Optimal global approximation of stochastic differential equations with additive Poisson noise
- 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
- The Laplace-Stieltjes transform in \(H_p\) spaces: an overview
- Optimal approximation of stochastic integrals with respect to a homogeneous Poisson process
- Wavelets and stochastic processes
- Title not available (Why is that?)
- Title not available (Why is that?)
- Transformations of Lebesgue-Stieltjes integrals
- Title not available (Why is that?)
- Martingale measures and stochastic calculus
- Omega ratio optimization with actuarial and financial applications
- Title not available (Why is that?)
- Measures, Integrals and Martingales
- Stochastic calculus as a tool in survival analysis: A review
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)
