Sur l'int�grabilit� uniforme des martingales exponentielles

DOI10.1007/BF00641409zbMATH Open0375.60069OpenAlexW2028917576MaRDI QIDQ4155579FDOQ4155579

Authors: Dominique Lépingle, Jean Mémin 

Publication date: 1978

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

Full work available at URL: https://doi.org/10.1007/bf00641409

Mathematics Subject Classification ID

Stochastic integrals (60H05)

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Cited In (73)

• Stochastic equations and limit results for some two-type branching models
• The Minimal Entropy Martingale Measure for Exponential Markov Chains
• Convergence of local supermartingales
• On the minimal martingale measure and the möllmer-schweizer decomposition
• Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models
• ASYMMETRIC INFORMATION IN A FINANCIAL MARKET WITH JUMPS
• Representing filtration consistent nonlinear expectations as \(g\)-expectations in general probability spaces
• Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
• A PDE approach to jump-diffusions
• Girsanov identities for Poisson measures under quasi-nilpotent transformations
• A general definition of influence between stochastic processes
• EXISTENCE OF AN EQUILIBRIUM WITH DISCONTINUOUS PRICES, ASYMMETRIC INFORMATION, AND NONTRIVIAL INITIAL σ‐FIELDS
• Quadratic hedging in an incomplete market derived by an influential informed investor
• Tangent Lévy market models
• The finiteness of moments of a stochastic exponential.
• Weak tail conditions for local martingales
• A characterization of the martingale property of exponentially affine processes
• The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models
• A GENERAL SUBORDINATED STOCHASTIC PROCESS FOR DERIVATIVES PRICING
• Constructing quantum measurement processes via classical stochastic calculus
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• Dynamic risk measures: Time consistency and risk measures from BMO martingales
• Stochastic control by measure transformation: A general existence result
• Nonlinear filtering equations for two-parameter semimartingales
• A weak convergence criterion for constructing changes of measure
• Approximation pricing and the variance-optimal martingale measure
• \(\mathcal E\)-martingales and their applications in mathematical finance
• Recurrent events and the exploding Cox model
• Conditional distributions of dicsontinuous processes. II
• Minimal \(f^q\)-Martingale measures for exponential Lévy processes
• Minimal entropy preserves the Lévy property: how and why
• Weak existence and uniqueness for affine stochastic Volterra equations with \(L^1\)-kernels
• Exponentially affine martingales, affine measure changes and exponential moments of affine processes
• On the Monotone Stability Approach to BSDEs with Jumps: Extensions, Concrete Criteria and Examples
• Optimal portfolio for a small investor in a market model with discontinuous prices
• Stochastic exponentials and logarithms on stochastic intervals. A survey
• Abstract nonlinear filtering theory in the presence of fractional Brownian motion
• Simplified calculus for semimartingales: multiplicative compensators and changes of measure
• Explicit representation of strong solutions of SDEs driven by infinite-dimensional Lévy processes
• Exponential Martingales and Changes of Measure for Counting Processes
• Counterfactual analyses with graphical models based on local independence
• Robustesse de la solution des problemes de filtrage avec bruit blanc independant^†
• Mean-variance hedging for discontinuous semimartingales.
• On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps
• Information on jump sizes and hedging
• Equivalent martingale measures for Lévy-driven moving averages and related processes
• Option hedging by an influential informed investor
• Pricing Variance Swaps on Time-Changed Markov Processes
• Convergence of At-The-Money Implied Volatilities to the Spot Volatility
• A martingale approach to continuous-time marginal structural models
• Optimal Sure Portfolio Plans
• On exponential local martingales associated with strong Markov continuous local martingales
• Convergence comparée des processus
• Utility indifference hedging with exponential additive processes
• ASYMMETRICAL INFORMATION AND INCOMPLETE MARKETS
• Minimal Hellinger martingale measures of order \(q\)
• Equivalent and absolutely continuous measure changes for jump-diffusion processes
• Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework
• BSDEs Driven by Multidimensional Martingales and Their Applications to Markets with Funding Costs
• Two-Armed Restless Bandits with Imperfect Information: Stochastic Control and Indexability
• QUADRATIC HEDGING FOR THE BATES MODEL
• Nonlinear filtering with a symmetric space valued discontinuous observation
• The mixed Novikov–Kazamaki type condition for the uniform integrability of the general stochastic exponential
• Hedging Under Worst-Case-Scenario in a Market Driven by Time-Changed Lévy Noises
• Stochastic Volterra equations for the local times of spectrally positive stable processes
• Weak solutions to gamma-driven stochastic differential equations
• Separation principle for impulse control with partial information
• Affine Volterra processes with jumps
• A Girsanov transformed Clark-Ocone-Haussmann type formula for \(L^1\)-pure jump additive processes and its application to portfolio optimization
• Three Essays on Exponential Hedging with Variable Exit Times
• Reflections on BSDEs
• A general model in risk theory. An application of modern martingale theory. Part one: Theoretic foundations
• Approximation d'tun filtre avec observation sur une variete compacte

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