Double martingales

DOI10.1007/BF00532686zbMATH Open0307.60042OpenAlexW4246375778MaRDI QIDQ4064790FDOQ4064790

Authors: Robert J. Elliot 

Publication date: 1976

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00532686

Mathematics Subject Classification ID

Brownian motion (60J65)

Cites Work

• Title not available (Why is that?)
• On Square Integrable Martingales
• The Representation of Functionals of Brownian Motion by Stochastic Integrals
• Title not available (Why is that?)

Cited In (10)

• Good-deal bounds in a regime-switching diffusion market
• Mean-variance asset-liability management problem under non-Markovian regime-switching models
• Backward stochastic differential equations with regime-switching and sublinear expectations
• Levy functionals and jump process martingales
• A stochastic maximum principle for backward control systems with random default time
• Regime-switching risk: to price or not to price?
• A functional Itô's calculus approach to convex risk measures with jump diffusion
• Time-consistent consumption-portfolio control problems with regime-switching-modulated habit formation: an essentially cooperative approach
• Martingale representation and admissible portfolio process with regime switching
• Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model

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