scientific article
From MaRDI portal
Publication:3915688
zbMath0464.60001MaRDI QIDQ3915688
Claude Dellacherie, Paul-André Meyer
Publication date: 1980
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
semimartingaleBurkholders inequalitiesdecomposition of supermartingalesGirsanov's theorem for semimartingales
Martingales with discrete parameter (60G42) Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) General theory of stochastic processes (60G07) Stochastic integrals (60H05) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)
Related Items
Explicit form and robustness of martingale representations., The gauge theorem for a class of additive functionals of zero energy, Reflected BSDEs and mixed game problem, Viscosity solutions of systems of variational inequalities with interconnected bilateral obstacles of non-local type, A propagation of chaos result for Burgers' equation, Observation sampling and quantisation for continuous-time estimators., Applications of integration by parts formula for infinite-dimensional semimartingales, A general version of the fundamental theorem of asset pricing, An asymptotic condition for computing the logarithmic Sobolev constant on the line, Spectral characterization of the optimal quadratic variation process, Harmonic analysis of stochastic equations and backward stochastic differential equations, The Itô formula for anticipative processes with nonmonotonous time scale via the Malliavin calculus, On discrete inhomogeneous exit problems, Reflected solutions of backward SDE's, and related obstacle problems for PDE's, One-dimensional uniqueness and convergence criteria for exchangeable processes, On inequalities for two-parameter martingales, The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models, Tagged particle motion in a clustered random walk system, Convergence in probability for perturbed stochastic integral equations, On maximal inequalities for stable stochastic integrals, Excursions of a \(BES_ o(d)\) and its drift term \((0<d<1)\), The past of a stopping point and stopping for two-parameter processes, A representation of local time for Lipschitz surfaces, Stability of strong solutions of stochastic differential equations, Construction and regularity of measure-valued Markov branching processes, Non-stopping times and stopping theorems, Covering, measure derivation and dimensions, Controlled diffusion models for optimal dividend pay-out, Density in small time at accessible points for jump processes, Multiple Stratonovich integral and Hu-Meyer formula for Lévy processes, A super-replication theorem in Kabanov's model of transaction costs, Dynamics of multivariate default system in random environment, Optimal investment in markets with over and under-reaction to information, Pricing and hedging in the presence of extraneous risks, On some inequalities for Doob decompositions in Banach function spaces, Geometric arbitrage theory and market dynamics, No-arbitrage under a class of honest times, An enlargement of filtration formula with applications to multiple non-ordered default times, Scaling limits of random planar maps with large faces, On stochastic equations with measurable coefficients driven by symmetric stable processes, On the sub-mixed fractional Brownian motion, Doubly reflected BSDEs driven by a Lévy process, A note on the reflected backward stochastic differential equations driven by a Lévy process with stochastic Lipschitz condition, Reflected backward stochastic differential equations with time delayed generators, Representations for partially exchangeable arrays of random variables, Diffusions conditionnelles. I. Hypoellipticité partielle, Diffusions conditionnelles. II. Générateur conditionel. Application au filtrage, Diffusion approximation of videoconference networks, A representation result for finite Markov chains, Reflected BSDEs with optional barrier in a general filtration, Variational calculation of Laplace transforms via entropy on Wiener space and applications, Ergodic control for a mean reverting inventory model, The obstacle problem of integro-partial differential equations with applications to stochastic optimal control/stopping problem, Representation of the penalty term of dynamic concave utilities, Doubly reflected BSDEs and \(\mathcal{E} ^{{f}}\)-Dynkin games: beyond the right-continuous case, Non-symmetric perturbations of symmetric Dirichlet forms., Progressive enlargement of filtrations and backward stochastic differential equations with jumps, Martingales on Riemannian manifolds with prescribed limit, On Azéma-Yor processes, their optimal properties and the Bachelier-drawdown equation, About the asymptotic behaviour of multidimensional Gaussian martingales and estimates in normal linear regression, Weak approximation of SDEs by discrete-time processes, Reflected BSDEs on filtered probability spaces, Convergence in various topologies for stochastic integrals driven by semimartingales, Some time change representations of stable integrals, via predictable transformations of local martingales, Skorohod problems with nonsmooth boundary conditions, Reflection Brownian motions: Quasimartingales and strong Caccioppoli sets, Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison, A Trotter-type approach to infinite rate mutually catalytic branching, Backward SDEs with constrained jumps and quasi-variational inequalities, Anticipative Markovian transformations on the Poisson space., On the robustness of backward stochastic differential equations., Interplay between dividend rate and business constraints for a financial corporation, The Föllmer-Schweizer decomposition: comparison and description, \(\mathbb L^p\) solutions of reflected BSDEs under monotonicity condition, Probabilistic representation and approximation for coupled systems of variational inequalities, Probabilistic approach to the Dirichlet problem of second order elliptic PDE, Convergence results for continuous-time adaptive stochastic filtering algorithms, Convergence and non-negativity preserving of the solution of balanced method for the delay CIR model with jump, Potential theory of moderate Markov dual processes, Time consistent dynamic risk processes, On point processes in the plane, Stochastic PDIEs with nonlinear Neumann boundary conditions and generalized backward doubly stochastic differential equations driven by Lévy processes, On solutions of one-dimensional stochastic differential equations driven by stable Lévy motion, On the excursions of Markov processes in classical duality, On isomorphisms between Hardy spaces on complex balls, Stochastic integrals of point processes and the decomposition of two- parameter martingales, Invertibility of adapted perturbations of the identity on abstract Wiener space, Analytic semimartingales and their boundary values, A finite horizon optimal switching problem with memory and application to controlled SDDEs, Valuation and martingale properties of shadow prices: an exposition, Stochastic Feynman-Kac formula, \(\mathcal E\)-martingales and their applications in mathematical finance, Rosenthal's inequality for point process martingales, Nonlinear reflecting diffusion process, and the propagation of chaos and fluctuations associated, Regularity and decomposition of two-parameter supermartingales, About Gaussian schemes in stochastic approximation, Numerical simulation of quadratic BSDEs, Riesz decompositions and subtractivity for excessive measures., Stochastic differential equations for multi-dimensional domain with reflecting boundary, Étude asymptotique par des mesures de \({\mathbb{R}}^ 3\) de saucisses de Wiener localisées, Structure condition under initial enlargement of filtration, Support theorem for jump processes., A general problem of an optimal equivalent change of measure and contingent claim pricing in an incomplete market., Risk theory in a stochastic economic environment, An ideal class to construct solutions for skew Brownian motion equations, Euler's approximations of solutions of SDEs with reflecting boundary., Profile of a self-similar growth-fragmentation, Reflected backward stochastic differential equation with jumps and RCLL obstacle, A stability result for solutions of stochastic equations driven by point processes, A new existence result for quadratic BSDEs with jumps with application to the utility maximization problem, Power utility maximization under partial information: some convergence results, Log-optimal and numéraire portfolios for market models stopped at a random time, Intrinsic area near the origin for self-similar growth-fragmentations and related random surfaces, Explicit description of all deflators for market models under random horizon with applications to NFLVR, Reflected BSDEs in non-convex domains, Three Essays on Exponential Hedging with Variable Exit Times, Stochastic calculus for continuous additive functionals of zero energy, RBSDEs with optional barriers: monotone approximation, On the stochastic control-stopping problem, Central limit theorem for a system of Markovian particles with mean field interactions, Understanding the dual formulation for the hedging of path-dependent options with price impact, Predictable solution for reflected BSDEs when the obstacle is not right-continuous, Radonification of cylindrical semimartingales on Hilbert spaces, Limit behaviour of the minimal solution of a BSDE with singular terminal condition in the non Markovian setting, The most visited site of Brownian motion and simple random walk, No-arbitrage up to random horizon for quasi-left-continuous models, A jump-type SDE approach to real-valued self-similar Markov processes, Reciprocal Processes: A Stochastic Analysis Approach, BSDEs with right upper-semicontinuous reflecting obstacle and stochastic Lipschitz coefficient, Semimartingales on duals of nuclear spaces, Well-posedness for a pseudomonotone evolution problem with multiplicative noise, Martingale e geometria degli spazi di Banach, A note on optional Snell envelopes and reflected backward SDEs, Optimal Inventory Control with Jump Diffusion and Nonlinear Dynamics in the Demand, On the strict value of the non-linear optimal stopping problem, Explicit Description of HARA Forward Utilities and Their Optimal Portfolios, From the decompositions of a stopping time to risk premium decompositions, On some inequalities for the optional projection and the predictable projection of a discrete parameter process, Non-parametric adaptive estimation of the drift for a jump diffusion process, Irregular barrier reflected BDSDEs with general jumps under stochastic Lipschitz and linear growth conditions, Scaling limit for stochastic control problems in population dynamics, Nonnegativity preserving convergent schemes for stochastic porous-medium equations, Un esempio di applicazione della teoria «generale» dei processi a un problema di rappresentazione di martingale, Moderate deviations and functional LIL for super-Brownian motion, The multi-player nonzero-sum Dynkin game in discrete time, Fully-Dynamic Risk-Indifference Pricing and No-Good-Deal Bounds, Solving Semilinear Partial Differential Equations With Probabilistic Potential Theory, Convergence of weighted averages of martingales in Banach function spaces, Change of variable formulas for non-anticipative functionals, On Well-Posedness of Semilinear Stochastic Evolution Equations on $L_p$ Spaces, Regenerative real trees, On one-parameter proofs of almost sure convergence of multiparameter processes, Monotonic limit theorem for BSDEs with regulated trajectories, Reflected brownian motion in a wedge: Semimartingale property, Quasilinear stochastic PDEs with two obstacles: probabilistic approach, Martingale driven BSDEs, PDEs and other related deterministic problems, Solvability of backward stochastic differential equations with quadratic growth, Asymptotic arbitrage with small transaction costs, Convergence in energy, Local times for a class of purely discontinuous martingales, Stochastic integral representation and regularity of the density for the exit measure of super-Brownian motion, Existence of the solutions of backward-forward SDE's with continuous monotone coefficients, No-arbitrage under additional information for thin semimartingale models, Non parametric estimation of the diffusion coefficients of a diffusion with jumps, Obliquely reflected backward stochastic differential equations, Time-changed local martingales under signed measures, Utility maximization in a jump market model, Koszul Complexes, Harmonic Oscillators, and the Todd Class, From local volatility to local Lévy models, Optimal stopping of marked point processes and reflected backward stochastic differential equations, Thin times and random times' decomposition, Information uncertainty related to marked random times and optimal investment, Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions, Optimal stopping with \(f\)-expectations: the irregular case, Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization, Weak Solutions to Stochastic Wave Equations with Values in Riemannian Manifolds, Multilevel path simulation to jump-diffusion process with superlinear drift, Comments on ``Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems, Unnamed Item, Large time behavior of solutions to parabolic equations with Dirichlet operators and nonlinear dependence on measure data, A characterization of semimartingales on nuclear spaces, Stochastic integration with respect to cylindrical semimartingales, Regularity of models associated with Markov jump processes, Positive XVAs, Markov processes with identical last exit distributions, Doob decomposition, Dirichlet processes, and entropies on Wiener space, On \(L^p\) Liouville theorems for Dirichlet forms, On generalized reflected BSDEs with Rcll obstacle, Investment under uncertainty with financial constraints, A definition and some characteristic properties of pseudo-stopping times, Stochastic integrals and two filtrations, \(L^p\) solutions of backward stochastic differential equations., Reflected BSDEs when the obstacle is not right-continuous in a general filtration, Approximation and Stability of Solutions of SDEs Driven by a Symmetric α Stable Process with Non-Lipschitz Coefficients, Non-linear Dynkin games over split stopping times, Distance de Hellinger-Kakutani des lois correspondant à deux processus à accroissements indépendants, Doubly reflected backward stochastic differential equations in the predictable setting, Ranked Fragmentations, Gaugeability and conditional gaugeability, On a theorem of Cartan, The Minimal Entropy Martingale Measure for Exponential Markov Chains, Infinite Horizon Stochastic Impulse Control with Delay and Random Coefficients, Infinite horizon impulse control problem with jumps and continuous switching costs, The obstacle problem for quasilinear stochastic integral-partial differential equations, Reflected backward doubly stochastic differential equations with discontinuous barrier, On a switching control problem with càdlàg costs, Log-Optimal Portfolio without NFLVR: Existence, Complete Characterization, and Duality, Average preserving variation processes in view of optimization, Affine term structure models: A time‐change approach with perfect fit to market curves, Existence and uniqueness for reflected BSDE with multivariate point process and right upper semicontinuous obstacle, Higher order time discretization method for the stochastic Stokes equations with multiplicative noise, A new Mertens decomposition of \(\mathscr{Y}^{g , \xi} \)-submartingale systems. Application to BSDEs with weak constraints at stopping times, A Weak Law of Large Numbers for Dependent Random Variables, Reflected BSDEs with logarithmic growth and applications in mixed stochastic control problems, Penalization method for reflected BDSDEs with two-sided jumps and driven by Lévy process, On the stochastic integral representation of Brownian functionals, RBDSDEs with jumps and optional Barrier and mean field game with common noise, Representation for martingales living after a random time with applications, PORTFOLIO OPTIMIZATION IN A DEFAULT MODEL UNDER FULL/PARTIAL INFORMATION, Reflected generalized BSDE with jumps under stochastic conditions and an obstacle problem for integral-partial differential equations with nonlinear Neumann boundary conditions, Convergent finite element based discretization of a stochastic two‐phase flow model, Reflected generalized discontinuous BSDEs with rcll barrier and an obstacle problem of IPDE with nonlinear Neumann boundary conditions, Maximal inequalities and some applications, Mean-field doubly reflected backward stochastic differential equations, Expansion of a filtration with a stochastic process: the information drift, Scaling limits of bisexual Galton–Watson processes, Causal predictability between stochastic processes and filtrations, On a projection least squares estimator for jump diffusion processes, Unnamed Item, Structure Conditions under Progressively Added Information, European Options in a Nonlinear Incomplete Market Model with Default, D-solutions of BSDEs with Poisson jumps, Causal transport plans and their Monge–Kantorovich problems, Characterization of submartingales of a new class (Σr), Optimal Stopping Problems for a Family of Continuous-Time Markov Processes, On Entire Moments of Self-Similar Markov Processes, Representation of the distributions on Wiener space and stochastic calculus of variations, Local times for functions with finite variation: two versions of Stieltjes change-of-variables formula, A note on 𝐿₂-estimates for stable integrals with drift, Derivatives pricing viap-optimal martingale measures: some extreme cases, Bayes factor for non-dominated statistical models, Stochastic Convolutions Driven by Martingales: Maximal Inequalities and Exponential Integrability, Martingales and function spaces, On the maximal inequalities of Burkholder, Davis and Gundy, Path-dependent martingale problems and additive functionals, Backward stochastic Volterra integral equations with jumps in a general filtration, On a Stochastic Model for a Cooperative Banking Scheme for Microcredit, Reflected BSDEs when the obstacle is predictable and nonlinear optimal stopping problem, Kellerer’s Theorem Revisited