On Discontinuous Martingales
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Publication:4125540
DOI10.1137/1120002zbMATH Open0354.60025OpenAlexW2091016293MaRDI QIDQ4125540FDOQ4125540
Authors: A. Novikov 
Publication date: 1975
Published in: Theory of Probability & Its Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/1120002
Cited In (34)
- Harnack inequalities for McKean-Vlasov SDEs driven by subordinate Brownian motions
- Existence and estimates of moments for Lévy-type processes
- On the Hellinger type distances for filtered experiments
- Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process
- Time fractional stochastic differential equations driven by pure jump Lévy noise
- The Kolmogorov Inequality for the Maximum of the Sum of Random Variables and Its Martingale Analogues
- Approximate Hedging with Constant Proportional Transaction Costs in Financial Markets with Jumps
- Asymptotic properties of the realized skewness and related statistics
- Estimation of linear functionals of Poisson processes
- On the martingale decompositions of Gundy, Meyer, and Yoeurp in infinite dimensions
- Acknowledgement of priority.
- The finiteness of moments of a stochastic exponential.
- Maximal inequalities and exponential estimates for stochastic convolutions driven by Lévy-type processes in Banach spaces with application to stochastic quasi-geostrophic equations
- Strong convergence of the Euler-Maruyama approximation for a class of Lévy-driven SDEs
- Maximum likelihood estimation for doubly stochastic poisson processes with partial observations
- Maximal inequalities and some applications
- Spatial growth processes with long range dispersion: microscopics, mesoscopics and discrepancy in spread rate
- Optimal investment and consumption for financial markets with jumps under transaction costs
- On some maximal inequalities for fractional Brownian motions
- Local characteristics and tangency of vector-valued martingales
- On classical solutions of linear stochastic integro-differential equations
- On the Ruin Problem with Investment When the Risky Asset Is a Semimartingale
- Adaptive efficient estimation for generalized semi-Markov big data models
- Robust adaptive efficient estimation for semi-Markov nonparametric regression models
- On ruin probabilities with investments in a risky asset with a regime-switching price
- Improved estimation method for high dimension semimartingale regression models based on discrete data
- Model selection for the robust efficient signal processing observed with small Lévy noise
- Remarks on moment inequalities and identities for martingales
- The stochastic heat equation with multiplicative Lévy noise: existence, moments, and intermittency
- A weak solution theory for stochastic Volterra equations of convolution type
- Burkholder-Davis-Gundy inequalities in UMD Banach spaces
- A general model in risk theory. An application of modern martingale theory. Part one: Theoretic foundations
- Asymptotically optimal sequential tests for nonhomogeneous processes
- Sur l'int�grabilit� uniforme des martingales exponentielles
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