On Discontinuous Martingales
From MaRDI portal
Publication:4125540
DOI10.1137/1120002zbMath0354.60025OpenAlexW2091016293MaRDI QIDQ4125540
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
Related Items
Maximum likelihood estimation for doubly stochastic poisson processes with partial observations ⋮ Acknowledgement of priority. ⋮ On classical solutions of linear stochastic integro-differential equations ⋮ Adaptive efficient estimation for generalized semi-Markov big data models ⋮ Spatial growth processes with long range dispersion: microscopics, mesoscopics and discrepancy in spread rate ⋮ On the Hellinger type distances for filtered experiments ⋮ 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 ⋮ The Kolmogorov Inequality for the Maximum of the Sum of Random Variables and Its Martingale Analogues ⋮ The stochastic heat equation with multiplicative Lévy noise: existence, moments, and intermittency ⋮ Maximal inequalities and some applications ⋮ Optimal investment and consumption for financial markets with jumps under transaction costs ⋮ Remarks on moment inequalities and identities for martingales ⋮ Approximate Hedging with Constant Proportional Transaction Costs in Financial Markets with Jumps ⋮ On the Ruin Problem with Investment When the Risky Asset Is a Semimartingale ⋮ Local characteristics and tangency of vector-valued martingales ⋮ A general model in risk theory. An application of modern martingale theory. Part one: Theoretic foundations ⋮ The finiteness of moments of a stochastic exponential. ⋮ On some maximal inequalities for fractional Brownian motions ⋮ Existence and estimates of moments for Lévy-type processes ⋮ Asymptotically optimal sequential tests for nonhomogeneous processes ⋮ Burkholder-Davis-Gundy inequalities in UMD Banach spaces ⋮ Strong convergence of the Euler-Maruyama approximation for a class of Lévy-driven SDEs ⋮ Model selection for the robust efficient signal processing observed with small Lévy noise ⋮ [https://portal.mardi4nfdi.de/wiki/Publication:4155579 Sur l'int�grabilit� uniforme des martingales exponentielles] ⋮ Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process ⋮ On the martingale decompositions of Gundy, Meyer, and Yoeurp in infinite dimensions ⋮ Estimation of linear functionals of Poisson processes ⋮ Time fractional stochastic differential equations driven by pure jump Lévy noise ⋮ Maximal Inequalities and Exponential Estimates for Stochastic Convolutions Driven by Lévy-type Processes in Banach Spaces with Application to Stochastic Quasi-Geostrophic Equations ⋮ Robust adaptive efficient estimation for semi-Markov nonparametric regression models ⋮ Asymptotic properties of the realized skewness and related statistics ⋮ A weak solution theory for stochastic Volterra equations of convolution type ⋮ Harnack inequalities for McKean-Vlasov SDEs driven by subordinate Brownian motions
