scientific article

zbMath0694.60047MaRDI QIDQ3996259

Philip E. Protter

Publication date: 17 September 1992

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

zbMATH Keywords

semimartingalesstochastic differential equationslocal timesstochastic integrationstochastic flows of diffeomorphismsLévy area formula

Mathematics Subject Classification ID

General theory of stochastic processes (60G07) Stochastic integrals (60H05) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

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INFORMATION-BASED ASSET PRICING, Ong−evaluations with domains under jump filtration, Linear-quadratic optimal control under non-Markovian switching, Kyle--Back Equilibrium Models and Linear Conditional Mean-Field SDEs, Various Sharp Estimates for Semi-discrete Riesz Transforms of the Second Order, Infinite horizon optimal control of forward–backward stochastic system driven by Teugels martingales with Lévy processes, Toward A Convergence Theory For Continuous Stochastic Securities Market Models¹, From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process¹, Optimal Consumption‐Portfolio Policies With Habit Formation¹, Realized wavelet-based estimation of integrated variance and jumps in the presence of noise, Thiele's differential equation with stochastic interest of diffusion type, Unnamed Item, Discrete approximation of stochastic integrals with respect to fractional Brownian motion of Hurst indexH>1/2, The Upper and Lower Solutions Method for Stochastic Inclusions with Discontinuous Multivalued Mappings, On the pathwise uniqueness of solutions of stochastic differential equations driven by symmetric stable Lévy processes, The Kurzweil-Henstock theory of stochastic integration, Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps, Cultural Epigenetics: On the Heritability of Complex Diseases, Estimation of the integrated volatility using noisy high-frequency data with jumps and endogeneity, Forward-backward SDEs with discontinuous coefficients, A Microeconomic Approach to Diffusion Models For Stock Prices, Optimal Investment With Undiversifiable Income Risk, OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS, MARTINGALE MEASURES FOR DISCRETE‐TIME PROCESSES WITH INFINITE HORIZON, Pricing of index options under a minimal market model with log-normal scaling, Likelihood-based inference for correlated diffusions, A Cameron-Martin Type Quasi-Invariance Theorem for Pinned Brownian Motion on a Compact Riemannian Manifold, On Quadraticg-Evaluations/Expectations and Related Analysis, Stochastic Functional Inclusion Driven by Semimartingale, ON SOLVING STOCHASTIC INITIAL-VALUE DIFFERENTIAL EQUATIONS, STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE q‐OPTIMAL MEASURE, VASIČEK BEYOND THE NORMAL, A GENERAL FRAMEWORK FOR PRICING CREDIT RISK, Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Levy Processes, Hedging Options: The Malliavin Calculus Approach versus the Delta-Hedging Approach, Fractional random fields associated with stochastic fractional heat equations, On product-form stationary distributions for reflected diffusions with jumps in the positive orthant, High Order Stochastic Inclusions and Their Applications, Filtration stability of backward sde's, MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL, On Ito-Kurzweil-Henstock Integral and Integration-by-Part Formula, Pricing of Swing Options in a Mean Reverting Model with Jumps, Stochastic integrals and stochastic equations in set-valued and fuzzy-valued frameworks, Probabilistic approach to the quantum separation effect for the Feynman–Kac semigroup, Jump-diffusions in Hilbert spaces: existence, stability and numerics, A stochastic target formulation for optimal switching problems in finite horizon, First passage times of a jump diffusion process, On Empirical Processes for Ergodic Diffusions and Rates of Convergence of M‐estimators, Multidimensional Insurance Model with Risk-Reducing Treaty, On Neumann eigenfunctions in lip domains, Double-stepped adaptive control for hybrid systems with unknown Markov jumps and stochastic noises, MultiFactor Valuation of Floating Range Notes, Option pricing with Lévy-Stable processes generated by Lévy-Stable integrated variance, On synchronized Fleming–Viot particle systems, On output functionals of boundary value problems on stochastic domains, Interest Rate Derivatives Pricing with Volatility Smile, Different types of spdes in the eyes of girsanov's theorem, Remarks on the transformation of Ito&apos;s formula for jump-diffusion processes, A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS, Arrow-Mangasarian Sufficient Conditions for Controlled Semimartingales, Itô formula for stochastic integrals w.r.t. compensated Poisson random measures on separable Banach spaces, OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS, Unnamed Item, On explicit solutions to stochastic differential equations, Detection of disorder before an observable event, MINIMIZING TRANSACTION COSTS OF OPTION HEDGING STRATEGIES, Reflected BSDEs when the obstacle is not right-continuous in a general filtration, Studying anticipation on financial markets by BSDE, Principle of equivalent utility and universal variable life insurance pricing, Optimal Investment and Dividend Strategy under Renewal Risk Model, Nonzero sum linear–quadratic stochastic differential games and backward–forward equations, Viable solutions of set-valued stochastic equation, Stochastic integral representations, stochastic derivatives and minimal variance hedging