Measurability of semimartingale characteristics with respect to the probability law
From MaRDI portal
Publication:404599
DOI10.1016/j.spa.2014.07.006zbMath1305.60031arXiv1312.1624OpenAlexW2007117584MaRDI QIDQ404599
Publication date: 4 September 2014
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1312.1624
Generalizations of martingales (60G48) Optimal stochastic control (93E20) Martingales with continuous parameter (60G44)
Related Items (31)
Backward SDE representation for stochastic control problems with nondominated controlled intensity ⋮ Incentives, lockdown, and testing: from Thucydides' analysis to the COVID-19 pandemic ⋮ Nonlinear predictable representation and \({\mathbb{L}^1} \)-solutions of backward SDEs and second-order backward SDEs ⋮ On the convergence of closed-loop Nash equilibria to the mean field game limit ⋮ Reduced-form setting under model uncertainty with non-linear affine intensities ⋮ Mean–field moral hazard for optimal energy demand response management ⋮ Non-linear affine processes with jumps ⋮ Markov projection of semimartingales -- application to comparison results ⋮ Nonlinear continuous semimartingales ⋮ Large population games with interactions through controls and common noise: convergence results and equivalence between open-loop and closed-loop controls ⋮ Continuous-time incentives in hierarchies ⋮ Time-inhomogeneous polynomial processes ⋮ Second order backward SDE with random terminal time ⋮ ROBUST UTILITY MAXIMIZATION WITH LÉVY PROCESSES ⋮ Tightness and duality of martingale transport on the Skorokhod space ⋮ Stochastic control for a class of nonlinear kernels and applications ⋮ Adaptive Robust Control in Continuous Time ⋮ Pathwise superhedging on prediction sets ⋮ Viscosity solutions of path-dependent integro-differential equations ⋮ Affine processes under parameter uncertainty ⋮ Robust superhedging with jumps and diffusion ⋮ Duality theory for robust utility maximisation ⋮ A semigroup approach to nonlinear Lévy processes ⋮ Optimal stopping under adverse nonlinear expectation and related games ⋮ Second-order BSDEs with jumps: formulation and uniqueness ⋮ Compactness criterion for semimartingale laws and semimartingale optimal transport ⋮ Nonlinear Lévy processes and their characteristics ⋮ Viscosity solutions to Hamilton-Jacobi-Bellman equations associated with sublinear L\'evy(-type) processes ⋮ Consumption-investment problem with pathwise ambiguity under logarithmic utility ⋮ Reduced-form framework under model uncertainty ⋮ McKean–Vlasov Optimal Control: Limit Theory and Equivalence Between Different Formulations
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
- Superreplication under volatility uncertainty for measurable claims
- A short proof of the Doob-Meyer theorem
- A quasi-sure approach to the control of non-Markovian stochastic differential equations
- Wellposedness of second order backward SDEs
- A direct proof of the Bichteler-Dellacherie theorem and connections to arbitrage
- On the robust superhedging of measurable claims
- Optimal stopping under adverse nonlinear expectation and related games
- Stochastic integration and \(L^ p-\)theory of semimartingales
- Stochastic optimal control. The discrete time case
- On pathwise stochastic integration
- Dual formulation of second order target problems
- Constructing sublinear expectations on path space
- Nonlinear Lévy processes and their characteristics
- Two Person Zero-Sum Game in Weak Formulation and Path Dependent Bellman--Isaacs Equation
- Superhedging and Dynamic Risk Measures under Volatility Uncertainty
- Stochastic Perron's Method and Elementary Strategies for Zero-Sum Differential Games
This page was built for publication: Measurability of semimartingale characteristics with respect to the probability law
