scientific article; zbMATH DE number 3583004

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Time-space harmonic polynomials relative to a Lévy process
The martingale problem for a class of stable-like processes
Probabilistic solution of the American options
Nonlinear filtering equations for two-parameter semimartingales
Uniform integrability of continuous exponential martingales
Necessary and sufficient conditions for the convergence of semimartingales to processes with conditionally independent increments
Symmetric polynomials of random variables attracted to an infinitely divisible law
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
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
Occupation time densities for stable-like processes and other pure jump Markov processes
Approximation of stochastic equations driven by predictable processes
r-variations for two-parameter continuous martingales and Itô's formula
On transforming the class of BMO-martingales by a change of law
Semimartingales with values in R^m_+
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
Riemann-Stieltjes quasi-martingale integration
Remarks on the equation \(dX_t=a(X_t)dB_t\).
Stochastic processes with penetrable boundaries
On the optimal control of stochastic systems with an exponential-of- integral performance index
Diffusions conditionnelles. I. Hypoellipticité partielle
Martingales and stochastic integrals in the theory of continuous trading
A generalization of Ito's formula
A criterion for uniform integrability of exponential martingales
Singular ergodic control for multidimensional Gaussian processes
A representation free quantum stochastic calculus
Right-continuous solutions of systems of stochastic integral equations
An alternative approach to nonlinear filtering
Martingales from processes with independent increments
Optimal correction problem of a multidimensional stochastic system
Option replication with transaction costs: general diffusion limits
Singular optimal strategies for investment with transaction costs
General change of variable formulas for semimartingales in one and finite dimensions
Degenerate elliptic operators, Hardy spaces and diffusions on strongly pseudoconvex domains
On continuous local times for functions and stochastic processes
Stochastic integrals: A combinatorial approach
Remarks on the stochastic integral
Hedging American contingent claims with constrained portfolios under proportional transaction costs
On the pricing of contingent claims under constraints
Multi-dimensional Bessel processes as heavy traffic limits of certain tandem queues
Uniqueness for diffusions with piecewise constant coefficients
Semi-martingale inequalities via the Garsia-Rodemich-Rumsey lemma, and applications to local times
On sequential estimation of parameters in semimartingale regression models with continuous time parameter.
Interpolation between continuous parameter martingale spaces: The real method
Stability of backward stochastic differential equations
Functional Itō calculus and stochastic integral representation of martingales
Product of two multiple stochastic integrals with respect to a normal martingale
Simplified stochastic calculus with applications in economics and finance
A quasi-sure optional decomposition and super-hedging result on the Skorokhod space
Concentration of scalar ergodic diffusions and some statistical implications
Sup-norm adaptive drift estimation for multivariate nonreversible diffusions
Doubly reflected backward stochastic differential equations in the predictable setting
Local characteristics and tangency of vector-valued martingales
Stochastic hyperbolic systems, small perturbations and pathwise approximation
On quadratic variation of martingales
Backward stochastic partial differential equations related to utility maximization and hedging
Strict local martingales with jumps
Storage model with discontinuous holding cost
Remarks on Föllmer's pathwise Itô calculus
On the martingale decompositions of Gundy, Meyer, and Yoeurp in infinite dimensions
Martingale spaces and representations under absolutely continuous changes of probability
Trading strategies generated by Lyapunov functions
Multi-dimensional BSDE with oblique reflection and optimal switching
Rough path properties for local time of symmetric \(\alpha\) stable process
Martingale decompositions and weak differential subordination in UMD Banach spaces
On the orthogonal polynomials associated with a Lévy process
Hedging American contingent claims with arbitrage costs
Diffusion processes on an open book and the averaging principle
Local time-space stochastic calculus for Lévy processes
Martingale structure of Skorohod integral processes
On reflected Stratonovich stochastic differential equations
Switching game of backward stochastic differential equations and associated system of obliquely reflected backward stochastic differential equations
Discretization of one-dimensional stochastic differential equations whose generators are divergence form with a discontinuous coefficient
Hypoellipticity theorems and conditional laws
Processus à accroissements indépendants: Une condition nécessaire et suffisante de convergence en loi
Nouveaux résultats sur le grossissement des tribus
Changes of filtrations and of probability measures
Nonparametric estimation based on censored observations of a Markov renewal process
Reflected brownian motion in a wedge: Semimartingale property
Mean stochastic comparison of diffusions
Local times for a class of purely discontinuous martingales
A self-exciting threshold jump-diffusion model for option valuation
Excursions of Markov processes: An approach via Markov additive processes
scientific article; zbMATH DE number 3662294 (Why is no real title available?)
scientific article; zbMATH DE number 3664110 (Why is no real title available?)
Les inegalites de sous-martingales, comme consequences de la relation de domination
On the uniqueness of a local martingale with a given absolute value
(Semi-) martingale inequalities and local times
Representation and transformation of two-parameter martingales under a change of measure
A generalized formula of Ito and some other properties of stochastic flows
Stochastic integrators with stationary independent increments
Examples of optimal control for partially observable systems:comparison, classical, and martingale methods

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