scientific article

zbMath0635.60021MaRDI QIDQ3774629

Albert N. Shiryaev, Jean Jacod

Publication date: 1987

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

functional limit theoremssemimartingalesSkorokhod topologymartingale problemsprocesses with independent incrementsconvergence in variationtightness criteriaweak convergence of semimartingalesHellinger processesconvergence of likelihood ratio processestheory of convergence in law for processes

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Convergence of probability measures (60B10) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Limit theorems in probability theory (60Fxx)

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problem associated with a degenerate Lévy's operator, Fractional randomness and the Brownian bridge, Remarks on the ergodicity of simulated annealing algorithms on a graph, On the risk management of demand deposits: quadratic hedging of interest rate margins, Local asymptotic normality of a sequential model for marked point processes and its applications, Log-optimal and numéraire portfolios for market models stopped at a random time, A continuous-time asset market game with short-lived assets, Embedding and asymptotic expansions for martingales, Drift and diffusion for a mechanical system, Fokker-Planck equation on a manifold. Effective diffusion and spectrum, Limit theorems of Hilbert valued semimartingales and Hilbert valued martingale measures, Law of large numbers and fluctuations in the sub-critical and \(L^2\) regions for SHE and KPZ equation in dimension \(d \geq 3\), Forward equations for reflected diffusions with jumps, Sample path large deviations for super-Brownian motion, Strong approximation of semimartingales and statistical processes, An averaging principle for dynamical systems in Hilbert space with Markov random perturbations, Stability of backward stochastic differential equations, A large deviation result for maximum likelihood estimator of non-homogeneous Ornstein-Uhlenbeck processes, Some problems associated with Donsker-Varadhan processes, Large deviations in the problem of distinguishing the counting processes, Extensions of the generalized Pólya process, On statistical manifolds of solutions of martingale problems, Maximum likelihood estimators for a supercritical branching diffusion process, Self-similar growth fragmentations as scaling limits of Markov branching processes, Efficient robust nonparametric estimation in a semimartingale regression model, Progressive intrinsic ultracontractivity and heat kernel estimates for non-local Schrödinger operators, Optimal portfolios of a small investor in a limit order market: a shadow price approach, Foundations of continuous-time recursive utility: differentiability and normalization of certainty equivalents, Parametric inference for diffusions observed at stopping times, Infinite rate mutually catalytic branching in infinitely many colonies: construction, characterization and convergence, The geometry of big queues, Limit theorems for additive functionals of path-dependent SDEs, Daphnias: from the individual based model to the large population equation, SPDE limits of many-server queues, Suppressed dispersion for a randomly kicked quantum particle in a Dirac comb, Discrete approximation of symmetric jump processes on metric measure spaces, High-dimensional additive hazards models and the lasso, Diffusion limit of Lévy-Lorentz gas is Brownian motion, Superposition principle for non-local Fokker-Planck-Kolmogorov operators, The Riesz representation theorem and weak\(^\ast\) compactness of semimartingales, Stability of stochastic self-adjusting automatic control systems with after effect. I: Mean square asymptotic stability of systems of linear stochastic differential-difference equations, Two frameworks for pricing defaultable derivatives, Utility indifference hedging with exponential additive processes, The random-time binomial model, On Novikov and arbitrage properties of multidimensional diffusion processes with exploding drift, Hattendorff's theorem for non-smooth continuous-time Markov models. I: Theory, On distributions of exponential functionals of the processes with independent increments, Answers to some questions about Zadeh's extension principle on metric spaces, Nonparametric Bayesian estimators for counting processes, A maximal inequality for continuous martingales and \(M\)-estimation in a Gaussian white noise model, Deviation probability bound for martingales with applications to statistical estimation, Discrete rough paths and limit theorems, The Skorokhod topology on space of fuzzy numbers, Optimal convergence trading with unobservable pricing errors, Controlled stochastic partial differential equations for rabbits on a grassland, Asymptotic distribution of the score test for detecting marks in Hawkes processes, A method to find a stabilizing control for an accumulation fund with functions of an insurance company, Diffusion limit for the partner model at the critical value, Optimal dividend strategies with time-inconsistent preferences, Recursive estimation procedures for one-dimensional parameter of statistical models associated with semimartingales, Model selection for the robust efficient signal processing observed with small Lévy noise, Averaging principles for Markovian models of plasticity, Some questions about Zadeh's extension on metric spaces, Rates of convergence to equilibrium for potlatch and smoothing processes, Efficient parametric estimation for a signal-plus-noise Gaussian model from discrete time observations, Polynomials under Ornstein-Uhlenbeck noise and an application to inference in stochastic Hodgkin-Huxley systems, Large time asymptotic properties of the stochastic heat equation, Limit theorems for Lévy flights on a 1D Lévy random medium, The spatial Lambda-Fleming-Viot process with fluctuating selection, Littlewood-Paley-Stein estimates for non-local Dirichlet forms, Fluctuations for the bipartite Sherrington-Kirkpatrick model, Martingale structure for general thermodynamic functionals of diffusion processes under second-order averaging, Diffusion approximations in the online increasing subsequence problem, Option valuation under the VG process by a DG method., Large deviation principle for stochastic convective Brinkman-Forchheimer equations perturbed by pure jump noise, Time reversal of Markov processes with jumps under a finite entropy condition, Superposition principles for the Zakai equations and the Fokker-Planck equations on measure spaces, Homogenization of symmetric Dirichlet forms, Rate of estimation for the stationary distribution of jump-processes over anisotropic Hölder classes, General drawdown based dividend control with fixed transaction costs for spectrally negative Lévy risk processes, Projections of martingales in enlargements of Brownian filtrations under Jacod's equivalence hypothesis, Trait-dependent branching particle systems with competition and multiple offspring, On the optimality of the earliest due date rule in stochastic scheduling and in queueing, The central limit theorem for slow-fast systems with Lévy noise, Limit theorems and ergodicity for general bootstrap random walks, Discrete approximation to Brownian motion with varying dimension in unbounded domains, Regularity of models associated with Markov jump processes, A generalisation of the Burkholder-Davis-Gundy inequalities, On subexponential convergence to equilibrium of Markov processes, Uniform in time propagation of chaos for a Moran model, The dialectics archetypes/types (universal categorical constructions/concrete models) in the work of Alexander Grothendieck, `Analogies,' `interpretations,' `images,' `systems,' and `models': some remarks on the history of abstract representation in the sciences since the nineteenth century, Is infinity that far? A Bayesian nonparametric perspective of finite mixture models, Homogenization of dissipative Hamiltonian systems under Lévy fluctuations, Asymptotic results for a class of Markovian self-exciting processes, Stochastic Processes in the Decades after 1950, Martingales in Japan, Hydrodynamic limit of a stochastic model of proliferating cells with chemotaxis, Error distribution of the Euler approximation scheme for stochastic Volterra equations, On weak convergence of stochastic differential equations with irregular coefficients, Homogenization of non-symmetric jump processes, Fluctuations and moderate deviations for a catalytic Fleming-Viot branching system in nonequilibrium, Pathwise large deviations for the pure jump \(k\)-nary interacting particle systems, A phase transition in block-weighted random maps, Depth-first search performance in a random digraph with geometric outdegree distribution, Supermartingale Brenier's theorem with full-marginals constraint, Limit theorems of invariant measures for multivalued McKean-Vlasov stochastic differential equations, On the rôle of singular functions in extending the probabilistic symbol to its most general class, On a Diffusion Approximation of a Prediction Game, On Maximal Inequalities for Ornstein--Uhlenbeck Processes with Jumps, Optimal investment and reinsurance strategies for an insurer with stochastic economic factor, CONVERGENCE OF BSDEs AND HOMOGENIZATION OF ELLIPTIC SEMI-LINEAR PDEs, Parametric analysis of stochastic oscillators by the statistical modeling method, Optimization of Utility for “Larger Investor” with Anticipation, On the stochastic singular Cucker–Smale model: Well-posedness, collision-avoidance and flocking, Distribution of the amount of genetic material from a chromosomal segment surviving to the following generation, Doob: A Half-Century on, Scoring probability forecasts for point processes: the entropy score and information gain, Fast deterministic pricing of options on Lévy driven assets, An asymptotic optimality result for the multiclass queue with finite buffers in heavy traffic, Nonlinearity Induced Weak Instrumentation, Zero-Inertia Limit: From Particle Swarm Optimization to Consensus-Based Optimization, Jump stochastic differential equations with non-Lipschitz and superlinearly growing coefficients, Nonlinear filtering of stochastic differential equations with correlated Lévy noises, Asymptotic mixed normality and hellinger processes, Large deviations of semimartingales via convergence of the predictable characteristics, On the estimation of the parameters for the Littlewood model in software reliability, Tensor Stein-rules in a generalized tensor regression model, Expansive properties of induced dynamical systems, Moran model with simultaneous strong and weak selections: convergence towards a \(\Lambda\)-Wright-Fisher SDE, Now decision theory, U-Statistics on the Spherical Poisson Space, Large and moderate deviation principles for McKean-Vlasov SDEs with jumps, Respondent-driven sampling on sparse Erdös-Rényi graphs, Unnamed Item, DIFFUSION LIMITS FOR A MARKOV MODULATED BINOMIAL COUNTING PROCESS, Unnamed Item, Volatility Options in Rough Volatility Models, On the Ruin Problem with Investment When the Risky Asset Is a Semimartingale, The Filtering Equations Revisited, NEW MODEL FOR PRICING QUANTO CREDIT DEFAULT SWAPS, On the Times of Attaining High Levels by a Random Walk in a Random Environment, A Rare-Event Simulation Algorithm for Periodic Single-Server Queues, The equivalent martingale measure conditions in a general model for interest rates, 𝕃^p solutions of reflected backward stochastic differential equations with jumps, Stochastic $\varepsilon$-Optimal Linear Quadratic Adaptation: An Alternating Controls Policy, SKEWED LÉVY MODELS AND IMPLIED VOLATILITY SKEW, KYLE–BACK’S MODEL WITH A RANDOM HORIZON, A fuzzy approach to option pricing in a Levy process setting, Semi-Infinite Paths of the Two-Dimensional Radial Spanning Tree, Weak convergence of semimartingales, Causal transport plans and their Monge–Kantorovich problems, Extinction time of the logistic process, The Kramers problem for SDEs driven by small, accelerated Lévy noise with exponentially light jumps, Deterministic implied volatility models, Supercritical SDEs driven by multiplicative stable-like Lévy processes, Asymptotic inference for an unstable spatial AR model, Log-Modulated Rough Stochastic Volatility Models, Discrete-Time Semi-Markov Random Evolutions and their Applications, Reproducing kernel Hilbert space based on special integrable semimartingales and stochastic integration, Is a Brownian Motion Skew?, Some examples and counterexamples of convergence of \(\sigma\)-algebras and filtrations, On one-dimensional stochastic differential equations driven by stable processes, The characteristic function of rough Heston models, Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs, Stability of solutions of BSDEs with random terminal time, Affine Variance Swap Curve Models, On product-form stationary distributions for reflected diffusions with jumps in the positive orthant, On the formalization of fuzzy random variables, On interpolation series related to the Abel-Goncharov problem, Multiserver queueing systems with retrials and losses, A characterization of compact subsets of fuzzy number space, Discounted Optimal Stopping for Maxima of Some Jump-Diffusion Processes, Optimal hedging for fund and insurance managers with partially observable investment flows, On the Pricing of American Options in Exponential Lévy Markets, Analysis of a Finite State Many Player Game Using Its Master Equation, Filtration stability of backward sde's, Malliavin calculus and martingale expansion, Compactness and convexity on the space of fuzzy sets, Option Pricing and Sensitivity Analysis in the Lévy Forward Process Model, Diffusion approximations for load balancing mechanisms in cloud storage systems, Martingale results in risk theory with a view to ruin probabilities and diffusions, On Exponential Functionals of Processes with Independent Increments, Modeling and estimation of stochastic transition rates in life insurance with regime switching based on generalized Cox processes, Backward Stochastic Riccati Equation with Jumps Associated with Stochastic Linear Quadratic Optimal Control with Jumps and Random Coefficients, Workload-Dependent Dynamic Priority for the Multiclass Queue with Reneging, Approximate Pricing of Call Options on the Quadratic Variation in Lévy Models, No Arbitrage Theory for Bond Markets, Asymptotics for the time of ruin in the war of attrition, Semi-static variance-optimal hedging in stochastic volatility models with Fourier representation, Markovian short rates in multidimensional term structure Lévy models, Guiding the guiders: Foundations of a market-driven theory of disclosure, Limit theorems for singular Skorohod integrals, SURVIVAL INVESTMENT STRATEGIES IN A CONTINUOUS-TIME MARKET MODEL WITH COMPETITION, On the Asymptotic Distribution of Nucleation Times of Polymerization Processes, Path independence of the additive functionals for McKean–Vlasov stochastic differential equations with jumps, The Joint Law of Terminal Values of a Nonnegative Submartingale and Its Compensator, Switching diffusion approximations for optimal power management in parallel processing systems, Pricing discrete barrier options and credit default swaps under Lévy processes, Pricing Variance Swaps on Time-Changed Markov Processes, A Probabilistic Approach to Extended Finite State Mean Field Games, Renewal in Hawkes processes with self-excitation and inhibition, Constructive Quantization and Multilevel Algorithms for Quadrature of Stochastic Differential Equations, A stochastic SIR model with contact-tracing: large population limits and statistical inference, American Option Valuation under Continuous-Time Markov Chains, From microscopic price dynamics to multidimensional rough volatility models, Continuous-state branching processes with spectrally positive migration, Convex Order for Path-Dependent Derivatives: A Dynamic Programming Approach, On the Harmonic Measure of Stable Processes