scientific article; zbMATH DE number 3757436

MaRDI QIDQ3940583zbMATH OpenFDO

Authors Jean Jacod, Philip Protter

Publication date 1982

Full work available at URL http://www.numdam.org/item?id=SPS_1982__16__447_0, https://eudml.org/doc/113399

zbMATH Keywords

semimartingaleexistence theoremlocal characteristics

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cited in

(12)

• Number of paths versus number of basis functions in American option pricing
• Backward SDE representation for stochastic control problems with nondominated controlled intensity
• Markov chains approximation of jump-diffusion stochastic master equations
• Classical solutions to reaction-diffusion systems for hedging problems with interacting Itô and point processes
• Existence, uniqueness and approximation of the jump-type stochastic Schrödinger equation for two-level systems
• Poisson and diffusion approximation of stochastic master equations with control
• Optimal market making under partial information with general intensities
• Feynman-Kac theorem in random environments and partial integro-differential equations
• Jump-diffusion processes in random environments
• �quations de type de Boltzmann, spatialement homog�nes
• Mean field games with controlled jump-diffusion dynamics: existence results and an illiquid interbank market model
• Numerical solution of stochastic quantum master equations using stochastic interacting wave functions

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