scientific article

zbMath0638.60065MaRDI QIDQ4039796

Ioannis Karatzas, Steven E. Shreve

Publication date: 5 June 1993

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

zbMATH Keywords

Brownian motionlocal timeFeynman-Kac formulaGirsanov theoremmartingale problemHaar functionscomparison of solutionsStochastic differential equationsDoob- Meyer decompositionsemimartingales related to the Brownian motion

Mathematics Subject Classification ID

Brownian motion (60J65) Local time and additive functionals (60J55) Stochastic analysis (60Hxx) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

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volume of traded assets, A multidimensional singular stochastic control problem on a finite time horizon, APPROXIMATIONS OF BOND AND SWAPTION PRICES IN A BLACK–KARASIŃSKI MODEL, Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation, Risk-Neutral Pricing of Financial Instruments in Emission Markets: A Structural Approach, Characterization of the Optimal Policy for a Multidimensional Parabolic Singular Stochastic Control Problem, Mean-field backward–forward stochastic differential equations and nonzero sum stochastic differential games, PORTFOLIO OPTIMIZATION UNDER NONLINEAR UTILITY, A Small-Gain Theorem for Nonlinear Stochastic Systems with Inputs and Outputs I: Additive White Noise, Spectral analysis of a class of nonlocal elliptic operators related to Brownian motion with random jumps, Optimal strategies in a risky debt context, A formulation for fault detection in stochastic continuous-time dynamical systems, Optimal Consumption and Sale Strategies for a Risk Averse Agent, General Smile Asymptotics with Bounded Maturity, An integral equation for American put options on assets with general dividend processes, On the averaged quantum dynamics by white-noise hamiltonians with and without dissipation, Convergence rate for the approximation of the limit law of weakly interacting particles: Application to the Burgers equation, Stochastic Perron’s method and verification without smoothness using viscosity comparison: The linear case, Optimal inference of the scattering cross-section through the phase decoherence, Different types of spdes in the eyes of girsanov's theorem, On Weak Solutions of Stochastic Differential Equations, Rate of convergence of finite difference approximations for degenerate ordinary differential equations, Path regularity for Feller semigroups via Gaussian kernel estimates and generalizations to arbitrary semigroups on \(C_0\), The Strong Convergence and Numerical Stability of Multistep Approximations of Solutions of Stochastic Ordinary Differential Equations, Limit at Zero of the First-Passage Time Density and the Inverse Problem for One-Dimensional Diffusions, Unterscheidungskriterium Partizipationssatz bei der Aktienindexgebundenen Lebensversicherung, Liquidity Risk with Coherent Risk Measures, CRITICAL STOCK PRICE NEAR EXPIRATION, ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS, On quasi-Monte Carlo simulation of stochastic differential equations, An improved lyapunov-function approach to the behavior of diffusion processes in hilbert spaces, Detection of disorder before an observable event, The solution to a second order linear ordinary differential equation with a non-homogeneous term that is a measure, Transition operators of diffusions reduce zero-crossing, PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS, SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION, EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL¹, OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL, Finiteness of integrals of functions of Lévy processes, Convex duality in constrained mean-variance portfolio optimization, Renewal of singularity sets of random self-similar measures, Principle of equivalent utility and universal variable life insurance pricing, Fast Ninomiya–Victoir calibration of the double-mean-reverting model, Brownian-time processes: The PDE connection II and the corresponding Feynman-Kac formula, Adaptive weak approximation of stochastic differential equations, Sur quelques algorithmes récursifs pour les probabilités numériques, Brownian particles with electrostatic repulsion on the circle: Dyson's model for unitary random matrices revisited, Optimization of Utility for “Larger Investor” with Anticipation, Some applications of L2-hedging with a non-negative wealth process, Various passport options and their valuation, Passport options with stochastic volatility, Anticipative portfolio optimization under constraints and a higher interest rate for borrowing, Adapted solution of a backward stochastic nonlinear Volterra integral equation, Asymptotic Behavior of the Fractional Heston Model, A maximum principle for controlled stochastic factor model, The finite–horizon version for a partially–observed stochastic control problem of benesš & rishel, Limiting distributions for minimum relative entropy calibration, On the existence and characterization of arbitrage–free measure in contingent claim valuation, Approximation de newton pour les équations différentielles stochastiques, Modelling of extremal events in insurance and finance, Rank Based Dickey–Fuller Test Statistics, A Note on the Convergence of Integral Functionals of Diffusion Processes. An Application to Strong Convergence, Global Stability of Feedback Systems with Multiplicative Noise on the Nonnegative Orthant, Local times of functions of continuous semimartingales, Recombining Tree Approximations for Optimal Stopping for Diffusions, Duality and lower bounds in optimal stochastic control, Robust reinsurance contracts in continuous time, Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps, The functional Meyer–Tanaka formula, On the existence of shadow prices for optimal investment with random endowment, Stochastic Correlation and Volatility Mean-reversion– Empirical Motivation and Derivatives Pricing via Perturbation Theory, SchröDinger operators - geometric estimates in terms of the occupation time, Unnamed Item, Contingent claim valuation in a market with different interest rates, Optimal Inventory Control with Jump Diffusion and Nonlinear Dynamics in the Demand, On the Convergence of Gradient-Like Flows with Noisy Gradient Input, Existence of Positive Solutions to Stochastic Thin-Film Equations, Linear Quadratic Stochastic Control Problems with Stochastic Terminal Constraint, EXPLICIT HESTON SOLUTIONS AND STOCHASTIC APPROXIMATION FOR PATH-DEPENDENT OPTION PRICING, An analytical approach for behavioral portfolio model with time discounting preference, Noise-induced transitions for one-dimensional diffusions, Toward A Convergence Theory For Continuous Stochastic Securities Market Models¹, A Note On Utility Maximization Under Partial Observations¹, Equilibrium Models With Singular Asset Prices, A Characterization of Complete Security Markets On A Brownian Filtration¹, ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS, Option Pricing Under Incompleteness and Stochastic Volatility, Pricing Options On Risky Assets In A Stochastic Interest Rate Economy¹, Option Pricing When Jump Risk Is Systematic¹, Optimal Investment and Consumption With Two Bonds and Transaction Costs¹, On Global Existence of Solutions of SDE's with Singular Drift, The threshold of stochastic chemostat model with Monod-Haldane response function, Nonlinear stochastic analysis for a stochastic SIS epidemic model, Implied Volatility in Strict Local Martingale Models, Optimal Dividend Strategy for a General Diffusion Process with Time-Inconsistent Preferences and Ruin Penalty, Some analysis of a stochastic logistic growth model, Hedging Index Options With Few Assets¹, Martingale Measures For A Class of Right‐Continuous Processes, ANAYTICAL SOLUTIONS FOR THE PRICING OF AMERICAN BOND AND YIELD OPTIONS¹, A TEST OF A GENERAL EQUILIBRIUM STOCK OPTION PRICING MODEL, ON COMPONENTWISE and VECTOR STOCHASTIC INTEGRATION, CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS¹, THE EARLY EXERCISE PREMIUM REPRESENTATION OF FOREIGN MARKET AMERICAN OPTIONS¹, Scaling and Multiscaling in Financial Series: A Simple Model, Harmonic Measures on Covers of Compact Surfaces of Nonpositive Curvature, Multiresolution approximation for volatility processes, A variance reduction technique based on integral representations, Actionable Information in Vision, A note on monotone iterative technique for one-dimensional stochastic differential equations, Diffusions with a nonlinear irregular drift coefficient and probabilistic interpretation of generalized Burgers' equations, Stochastic Lagrangian method for downscaling problems in computational fluid dynamics, Nonlinear filtering for observations on a random vector field along a random path. Application to atmospheric turbulent velocities, STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE q‐OPTIMAL MEASURE, High Order Stochastic Inclusions and Their Applications, Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance, On the threshold strategies in optimal stopping problems for diffusion processes, Filtration stability of backward sde's, Langevin Equations for Landmark Image Registration with Uncertainty, Integration stochastique multivoque et inclusions differentielles stochastiques, A Generalized Intensity-Based Framework for Single-Name Credit Risk, Unnamed Item, A Stochastic Partial Differential Equation Model for Limit Order Book Dynamics, Unnamed Item, Unnamed Item, Uncertainty Quantification for Markov Processes via Variational Principles and Functional Inequalities, Option valuation with infinitely divisible distributions, Probabilistic approach to the quantum separation effect for the Feynman–Kac semigroup, PRICE IMPACT OF LARGE ORDERS USING HAWKES PROCESSES, General urn models with several types of balls and Gaussian limiting fields, A particle system approach to aggregation phenomena, A Nonuniformly Integrable Martingale Bubble with a Crash, A Stable Numerical Scheme for Stochastic Differential Equations with Multiplicative Noise, No Arbitrage Theory for Bond Markets, On driftless one-dimensional sdes with time-dependent diffusion coefficients, Short Communication: Dynamics of Symmetric SSVI Smiles and Implied Volatility Bubbles, A Dynkin Game on Assets with Incomplete Information on the Return, Stochastic Control Liaisons: Richard Sinkhorn Meets Gaspard Monge on a Schrödinger Bridge, INSIDER TRADING WITH TEMPORARY PRICE IMPACT, POLYNOMIAL TERM STRUCTURE MODELS, Unnamed Item, Weak convergence of stochastic integrals with respect to the state occupation measure of a Markov chain, Analytic bond pricing for short rate dynamics evolving on matrix Lie groups, Quantification of model uncertainty on path-spaceviagoal-oriented relative entropy, Kalman--Bucy Filtering and Minimum Mean Square Estimator under Uncertainty, Uniqueness in Cauchy problems for diffusive real-valued strict local martingales, CALCULATION OF ASIAN OPTIONS FOR THE BLACK–SCHOLES MODEL, A Variational Characterization of Langevin-Smoluchowski Diffusions, BROWNIAN MOTION MINUS THE INDEPENDENT INCREMENTS: REPRESENTATION AND QUEUING APPLICATION, A Stochastic Model of Economic Growth in Time-Space, Doob: A Half-Century on, Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics, On an irreversible investment problem with two-factor uncertainty, On local path behavior of Surgailis multifractional processes, Optimal investment strategy for a family with a random household expenditure under the CEV model, Brownian regularity for the Airy line ensemble, and multi-polymer watermelons in Brownian last passage percolation, The inert drift atlas model, Well-posedness of the deterministic transport equation with singular velocity field perturbed along fractional Brownian paths, Weak Energy Shaping for Stochastic Controlled Port-Hamiltonian Systems, Stochastic viscosity approximations of Hamilton–Jacobi equations and variance reduction, On the mathematical theory of ensemble (linear-Gaussian) Kalman-Bucy filtering, Stochastic Continuum Models for High-Entropy Alloys with Short-range Order, Local martingale solutions and pathwise uniqueness for the three-dimensional stochastic inviscid primitive equations, Second-Order Hamilton–Jacobi PDE Problems and Certain Related First-Order Problems, Part 1: Approximation, Flexible Bayesian inference for diffusion processesusing splines, Hidden Dissipation and Convexity for Kimura Equations, Theoretical analysis and numerical approximation for the stochastic thermal quasi-geostrophic model, Optimal consumption and portfolio selection with Epstein-Zin utility under general constraints, Canonical mean-field molecular dynamics derived from quantum mechanics, Martingales in Japan, American option pricing under double Heston stochastic volatility model: simulation and strong convergence analysis, Asset price bubbles, wealth preserving, dominating, and replicating trading strategies, On quadratic multidimensional type-I BSVIEs, infinite families of BSDEs and their applications, RECURSIVE BACKWARD SCHEME FOR THE SOLUTION OF A BSDE WITH A NON LIPSCHITZ GENERATOR, Behavior Near Walls in the Mean-Field Approach to Crowd Dynamics, BARRIER OPTIONS PRICING WITH JOINT DISTRIBUTION OF GAUSSIAN PROCESS AND ITS MAXIMUM, Dynamic Matching for Real-Time Ride Sharing, PRICING PERPETUAL TIMER OPTION UNDER THE STOCHASTIC VOLATILITY MODEL OF HULL–WHITE, On potential theory of hyperbolic Brownian motion with drift, Solving Rough Differential Equations with the Theory of Regularity Structures, Scaled Penalization of Brownian Motion with Drift and the Brownian Ascent, A Multifactor Polynomial Framework for Long-Term Electricity Forwards with Delivery Period, Global solution of nonlinear stochastic heat equation with solutions in a Hilbert manifold, Malliavin differentiability of the Heston volatility and applications to option pricing, A General Benchmark Model for Stochastic Jump Sizes, Another method for solving the problem of stochastic process switching, Numerical approximations for nonlinear stochastic systems with delays, On the steady state of continuous-time stochastic opinion dynamics with power-law confidence, QUANTIFYING THE TRADE-OFF BETWEEN INCOME STABILITY AND THE NUMBER OF MEMBERS IN A POOLED ANNUITY FUND, ON OPTIMAL THRESHOLDS FOR PAIRS TRADING IN A ONE-DIMENSIONAL DIFFUSION MODEL, Another method for solving the problem of stochastic process switching, Catastrophe Risk Bonds, Captive diffusions and their applications to order-preserving dynamics, Stochastic Navier-Stokes equations, Martingale representation theorem for G-Brownian motion, On differential operators in white noise analysis, Wealth optimization in an incomplete market driven by a jump-diffusion process, Equilibrium in a stochastic model with consumption, wages and investment, On a stochastic wave equation with unilateral boundary conditions, Probability density for a hyperbolic SPDE with time dependent coefficients, Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence, Stochastic differential algebraic equations of index 1 and applications in circuit simulation., Stochastic differential equations—some new ideas, Simple proof of a large deviation result, Bounds for perpetual American option prices in a jump diffusion model, Conjugate duality in problems of constrained utility maximization, Discretionary stopping of one-dimensional Itô diffusions with a staircase reward function, Transport of a quantum particle in a time-dependent white-noise potential, A reliable numerical analysis for stochastic gonorrhea epidemic model with treatment effect, Euler scheme for solutions of a countable system of stochastic differential equations, On Threshold Strategies and the Smooth-Fit Principle for Optimal Stopping Problems, Robust stability and performance of stochastic uncertain systems on an infinite time interval, Reflected diffusions in a non smooth region and an application to storage theory, Two-player zero-sum stochastic differential games with random horizon, Advection-dispersion across interfaces, NONPARAMETRIC HYPOTHESIS OF DRIFT FUNCTION IN LOCALLY STATIONARY DIFFUSION MODELS, HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS, A renewal-process-type expression for the moments of inverse subordinators, Geographic environmental Kuznets curves: the optimal growth linear-quadratic case, How Receptor Surface Diffusion and Cell Rotation Increase Association Rates, The Tanaka Formula for Symmetric Stable Processes with Index $\alpha$, $0<\alpha<2$, Sequential entry and exit decisions with an ergodic performance criterion, Switching Times from Season to Single Tickets, Stochastic differential algebraic equations of index 1 and applications in circuit simulation., Strong Solutions of Some One-dimensional SDEs with Random and Unbounded Drifts, Diffusions from infinity, Conditioned Lyapunov exponents for random dynamical systems, Relations Between Information and Estimation in the Presence of Feedback, Asymptotic Perron's Method and Simple Markov Strategies in Stochastic Games and Control, Discrete-time classical and quantum Markovian evolutions: Maximum entropy problems on path space, Valuation and Parities for Exchange Options, Asymptotic Glosten--Milgrom Equilibrium, Asymptotics of Forward Implied Volatility, Asymptotic expansion of the log-partition function for a gas of interacting Brownian loops. II., Finite Speed of Propagation and Waiting Times for the Stochastic Porous Medium Equation: A Unifying Approach, A Nonconvex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries, Optimal Installation of Solar Panels with Price Impact: A Solvable Singular Stochastic Control Problem, Exact simulation of coupled Wright–Fisher diffusions, Joint Online Parameter Estimation and Optimal Sensor Placement for the Partially Observed Stochastic Advection-Diffusion Equation, Parameter Estimation in an SPDE Model for Cell Repolarization, Capital Allocation In Insurance, Unified signature cumulants and generalized Magnus expansions, VALUATION OF GENERAL CONTINGENT CLAIMS WITH SHORT SELLING BANS: AN EQUAL-RISK PRICING APPROACH, Stochastic rotating waves, On Smile Properties of Volatility Derivatives: Understanding the VIX Skew, Moment evolution equations and moment matching for stochastic image EPDiff, Dynamics of finite inhomogeneous particle systems with exclusion interaction, Importance sampling for the empirical measure of weakly interacting diffusions, Tightness of discrete Gibbsian line ensembles with exponential interaction Hamiltonians, Discrete-Time Approximation of Stochastic Optimal Control with Partial Observation, A large deviation theorem for a supercritical super-Brownian motion with absorption, Deep Curve-Dependent PDEs for Affine Rough Volatility, Synchronization of power systems under stochastic disturbances, Ornstein-Uhlenbeck process driven by \(\alpha\)-stable process and its gamma subordination, The geometry of near ground states in Gaussian polymer models, Rogue traders, HOW LARGE IS THE JUMP DISCONTINUITY IN THE DIFFUSION COEFFICIENT OF A TIME-HOMOGENEOUS DIFFUSION?, Well-posedness for a stochastic 2D Euler equation with transport noise, Dynamic Programming Equation for the Mean Field Optimal Stopping Problem, Synchronization of Coupled Phase Oscillators with Stochastic Disturbances and the Cycle Space of the Graph, Data-driven computational methods for quasi-stationary distribution and sensitivity analysis, Stochastic differential equations with local interactions, The Maximality Principle in Singular Control with Absorption and Its Applications to the Dividend Problem, Mean–variance hedging of contingent claims with random maturity, Research on investment incorporating both environmental performance and long (short) term financial performance of firms, On the Modeling of Impulse Control with Random Effects for Continuous Markov Processes