scientific article; zbMATH DE number 3669557

MaRDI QIDQ3866874zbMATH OpenFDO

Authors Jean Jacod

Publication date 1980

Full work available at URL http://www.numdam.org/item?id=SPS_1980__14__161_0, https://eudml.org/doc/113274

zbMATH Keywords

change of filtrationsemimartingalesstochastic integrals

Mathematics Subject Classification ID

Stochastic integrals (60H05)

Cited in

(15)

• Defaultable game options in a hazard process model
• Completeness of securities market models -- an operator point of view
• A complete explicit solution to the log-optimal portfolio problem.
• Arbitrage and utility maximization in market models with an insider
• Remarks on the stochastic integral
• Optimal portfolios for logarithmic utility.
• On admissible strategies in robust utility maximization
• On utility maximization under convex portfolio constraints
• Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics
• The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions
• Semimartingale price systems in models with transaction costs beyond efficient friction
• Input-to-state stability of linear stochastic functional differential equations
• Weak and strong solutions of stochastic differential equations
• On the hedging of options on exploding exchange rates
• The effect of trading futures on short sale constraints

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