scientific article; zbMATH DE number 3583004
From MaRDI portal
Publication:4151478
zbMath0374.60070MaRDI QIDQ4151478
Publication date: 1976
Full work available at URL: http://www.numdam.org/item?id=SPS_1976__10__245_0
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Related Items
General change of variable formulas for semimartingales in one and finite dimensions ⋮ Trading strategies generated by Lyapunov functions ⋮ A two-sided stochastic integral and its calculus ⋮ Self-avoiding random walk: A Brownian motion model with local time drift ⋮ On the use of semimartingales and stochastic integrals to model continuous trading ⋮ A new aspect of \(L_{\infty}\) in the space of BMO-martingales ⋮ Degenerate elliptic operators, Hardy spaces and diffusions on strongly pseudoconvex domains ⋮ Multi-dimensional BSDE with oblique reflection and optimal switching ⋮ Interpolation between continuous parameter martingale spaces: The real method ⋮ Contingent claims valuation when the security price is a combination of an Itō process and a random point process ⋮ A stochastic calculus for continuous N-parameter strong martingales ⋮ Differentiable selections of multifunctions and their applications ⋮ Occupation time densities for stable-like processes and other pure jump Markov processes ⋮ A self-exciting threshold jump-diffusion model for option valuation ⋮ Approximation of stochastic equations driven by predictable processes ⋮ On continuous local times for functions and stochastic processes ⋮ Stochastic integrals: A combinatorial approach ⋮ Stability of backward stochastic differential equations ⋮ r-variations for two-parameter continuous martingales and Itô's formula ⋮ Rough path properties for local time of symmetric \(\alpha\) stable process ⋮ Multiple Stratonovich integral and Hu-Meyer formula for Lévy processes ⋮ Optimal buffer size and dynamic rate control for a queueing system with impatient customers in heavy traffic ⋮ On transforming the class of BMO-martingales by a change of law ⋮ Semimartingales with values in \(R^m_+\) ⋮ Martingale decompositions and weak differential subordination in UMD Banach spaces ⋮ The dual space of the space BMO for a stochastic point process ⋮ Representation of Banach space valued quasimartingales by real quasimartingales ⋮ Existence of optimal martingales ⋮ BMO-martingales and inequalities ⋮ Weighted norm inequality for operator on martingales ⋮ Remarks on a characterisation of BMO-martingales ⋮ Functional Itō calculus and stochastic integral representation of martingales ⋮ Martingale problem to Stratonovich stochastic inclusion ⋮ Single jump processes and strict local martingales ⋮ Riemann-Stieltjes quasi-martingale integration ⋮ Remarks on the equation \(dX_t=a(X_t)dB_t\). ⋮ Girsanov identities for Poisson measures under quasi-nilpotent transformations ⋮ Stochastic processes with penetrable boundaries ⋮ On the optimal control of stochastic systems with an exponential-of- integral performance index ⋮ A self-similar process arising from a random walk with random environment in random scenery ⋮ A martingale characterization of quantum Poisson processes ⋮ The Meyer-Emery inequalities for norms of stochastic integrals with a parameter ⋮ Diffusions conditionnelles. I. Hypoellipticité partielle ⋮ Local characteristics and tangency of vector-valued martingales ⋮ Martingales and stochastic integrals in the theory of continuous trading ⋮ Stochastic hyperbolic systems, small perturbations and pathwise approximation ⋮ A generalization of Ito's formula ⋮ Product of two multiple stochastic integrals with respect to a normal martingale ⋮ A criterion for uniform integrability of exponential martingales ⋮ Dynamic risk measures: Time consistency and risk measures from BMO martingales ⋮ Finitely additive supermartingales ⋮ Itô calculus without probability in idealized financial markets ⋮ Singular ergodic control for multidimensional Gaussian processes ⋮ A representation free quantum stochastic calculus ⋮ Remarks on the stochastic integral ⋮ Explicit formula for the optimal government debt ceiling ⋮ Splitting at the infimum and excursions in half-lines for random walks and Lévy processes ⋮ On quadratic variation of martingales ⋮ Errata: Stochastic calculus over symmetric Markov processes without time reversal ⋮ On the orthogonal polynomials associated with a Lévy process ⋮ Backward stochastic partial differential equations related to utility maximization and hedging ⋮ Hedging American contingent claims with arbitrage costs ⋮ Strict local martingales with jumps ⋮ Storage model with discontinuous holding cost ⋮ Hedging American contingent claims with constrained portfolios under proportional transaction costs ⋮ Remarks on Föllmer's pathwise Itô calculus ⋮ Change of variable formulas for non-anticipative functionals on path space ⋮ Right-continuous solutions of systems of stochastic integral equations ⋮ Simplified stochastic calculus with applications in economics and finance ⋮ An alternative approach to nonlinear filtering ⋮ Time-space harmonic polynomials relative to a Lévy process ⋮ On the martingale decompositions of Gundy, Meyer, and Yoeurp in infinite dimensions ⋮ Martingales from processes with independent increments ⋮ A quasi-sure optional decomposition and super-hedging result on the Skorokhod space ⋮ Optimal correction problem of a multidimensional stochastic system ⋮ The martingale problem for a class of stable-like processes ⋮ Probabilistic solution of the American options ⋮ On the pricing of contingent claims under constraints ⋮ The intrinsic local time sheet of Brownian motion ⋮ Multi-dimensional Bessel processes as heavy traffic limits of certain tandem queues ⋮ Information structure and equilibrium asset prices ⋮ Uniqueness for diffusions with piecewise constant coefficients ⋮ Concentration of scalar ergodic diffusions and some statistical implications ⋮ Semi-martingale inequalities via the Garsia-Rodemich-Rumsey lemma, and applications to local times ⋮ Option replication with transaction costs: general diffusion limits ⋮ Singular optimal strategies for investment with transaction costs ⋮ Martingale spaces and representations under absolutely continuous changes of probability ⋮ Some recent developments in nonlinear filtering theory ⋮ On Wong-Zakai approximation of stochastic differential equations ⋮ Nonlinear filtering equations for two-parameter semimartingales ⋮ On sequential estimation of parameters in semimartingale regression models with continuous time parameter. ⋮ Uniform integrability of continuous exponential martingales ⋮ Optimum portfolio diversification in a general continuous-time model ⋮ Necessary and sufficient conditions for the convergence of semimartingales to processes with conditionally independent increments ⋮ Remarks on the finite energy condition in additive white noise filtering ⋮ Symmetric polynomials of random variables attracted to an infinitely divisible law ⋮ Sup-norm adaptive drift estimation for multivariate nonreversible diffusions ⋮ Switching game of backward stochastic differential equations and associated system of obliquely reflected backward stochastic differential equations ⋮ Doubly reflected backward stochastic differential equations in the predictable setting ⋮ Systems of equations driven by stable processes ⋮ Optimal Couplings on Wiener Space and An Extension of Talagrand’s Transport Inequality ⋮ Unnamed Item ⋮ The Hilbert Transform and Orthogonal Martingales in Banach Spaces ⋮ Doob: A Half-Century on ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Nonparametric estimation based on censored observations of a Markov renewal process ⋮ Unnamed Item ⋮ A comparison theorem for stochastic equations of optional semimartingales ⋮ Maximal inequalities and some applications ⋮ Unnamed Item ⋮ La martingale d’Azéma ⋮ On Martingale Chaoses ⋮ La variation d'ordre p des semi-martingales ⋮ Unnamed Item ⋮ Transformation des martingales locales par changement absolument continu de probabilities ⋮ Reflected brownian motion in a wedge: Semimartingale property ⋮ Mean stochastic comparison of diffusions ⋮ [https://portal.mardi4nfdi.de/wiki/Publication:4115871 �tude des solutions extr�males et repr�sentation int�grale des solutions pour certains probl�mes de martingales] ⋮ Markov solutions of stochastic differential equations ⋮ Optimal control of a jump process ⋮ [https://portal.mardi4nfdi.de/wiki/Publication:4121258 Stabilit� des solutions des �quations diff�rentielles stochastiques application aux int�grales multiplicatives stochastiques] ⋮ Diffusion processes on an open book and the averaging principle ⋮ Hypoellipticity theorems and conditional laws ⋮ Processus à accroissements indépendants: Une condition nécessaire et suffisante de convergence en loi ⋮ Quasimartingales, martingales locales, semimartingales et filtration naturelle ⋮ Local time-space stochastic calculus for Lévy processes ⋮ Local times for a class of purely discontinuous martingales ⋮ The calculus of boundary processes ⋮ Martingale structure of Skorohod integral processes ⋮ Nouveaux résultats sur le grossissement des tribus ⋮ Changes of filtrations and of probability measures ⋮ [https://portal.mardi4nfdi.de/wiki/Publication:4148562 R�gularit� et continuit� des processus] ⋮ Temps d'arret stricts et martingales de sauts ⋮ Study of a filtration expanded to include an honest time ⋮ ? p stability of solutions of stochastic differential equations ⋮ Probability unfolding, 1965‒2015 ⋮ Sous-espaces stables de martingales ⋮ [https://portal.mardi4nfdi.de/wiki/Publication:4165998 Sur un th�or�me de J.M. Bismut] ⋮ Les inegalites de sous-martingales, comme consequences de la relation de domination ⋮ On reflected Stratonovich stochastic differential equations ⋮ [https://portal.mardi4nfdi.de/wiki/Publication:4170005 Calcul stochastique d�pendant d'un param�tre] ⋮ Mesures associées à une forme de Dirichlet. Applications ⋮ On the uniqueness of a local martingale with a given absolute value ⋮ A limit theorem related to a new class of self similar processes ⋮ (Semi-) martingale inequalities and local times ⋮ Representation and transformation of two-parameter martingales under a change of measure ⋮ Optimal Control of Debt-to-GDP Ratio in an $N$-State Regime Switching Economy ⋮ On “predicted miss” stochastic control problems ⋮ A generalized formula of Ito and some other properties of stochastic flows ⋮ Stochastic integrators with stationary independent increments ⋮ Comportement des semi-martingales dans un grossissement de filtration ⋮ Examples of optimal control for partially observable systems:comparison, classical, and martingale methods ⋮ [https://portal.mardi4nfdi.de/wiki/Publication:3923330 Generalised arc length for brownian motion and L�vy processes] ⋮ Excursions of Markov processes: An approach via Markov additive processes ⋮ Representation of the square integrable martingales generated by a two-parameter Lévy process ⋮ Finite optimal filters for a class of nonlinear diffusions with jumping parameters ⋮ Discretization of one-dimensional stochastic differential equations whose generators are divergence form with a discontinuous coefficient ⋮ Reflected BSDEs when the obstacle is predictable and nonlinear optimal stopping problem ⋮ Sur la variation quadratique de certaines mesures vectorielles ⋮ Calcul des variations stochastique et processus de sauts ⋮ Calculation of some conditional excursion formulae