Calcul stochastique d�pendant d'un param�tre

From MaRDI portal
Publication:4170005


DOI10.1007/BF00715187zbMath0388.60056MaRDI QIDQ4170005

Marc Yor, Christophe Stricker

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/bf00715187


60H05: Stochastic integrals

60H20: Stochastic integral equations


Related Items

A Cameron-Martin Type Quasi-Invariance Theorem for Pinned Brownian Motion on a Compact Riemannian Manifold, Unnamed Item, Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics, ANTICIPATIVE STOCHASTIC INTEGRALS EQUATIONS DRIVEN BY SEMIMARTINGALES, Filtrage d'une diffusion reflechie a sauts, observee a travers un processus ponctuel marque, Existence, uniqueness and Malliavin differentiability of Lévy-driven BSDEs with locally Lipschitz driver, STRICT LOCAL MARTINGALES VIA FILTRATION ENLARGEMENT, Semi-static variance-optimal hedging in stochastic volatility models with Fourier representation, \(L_{2}\)-variation of Lévy driven BSDEs with non-smooth terminal conditions, Arbitrage of the first kind and filtration enlargements in semimartingale financial models, Inequalities for the moments of stochastic integrals and stochastic Volterra equations driven a two-parameter Wiener process, Utility maximisation and utility indifference price for exponential semi-martingale models and HARA utilities, The strong predictable representation property in initially enlarged filtrations under the density hypothesis, On the path structure of a semimartingale arising from monotone probability theory, A limit theorem for a class of stochastic integral equations, Existence and continuity with respect to parameter of solutions to stochastic Volterra equations in a plane, Hitting properties of parabolic s.p.d.e.'s with reflection., The Meyer-Emery inequalities for norms of stochastic integrals with a parameter, On filtration enlargements and purely discontinuous martingales, What happens after a default: the conditional density approach, Two-parameter stochastic Volterra equations, Properties of solutions of stochastic differential equations, Regularity and decomposition of two-parameter supermartingales, Local times of continuous N-parameter strong martingales, A stochastic calculus for continuous N-parameter strong martingales, From Tanaka's formula to Itô's formula: The fundamental theorem of stochastic calculus, Dynamics of multivariate default system in random environment, Conditioned stochastic differential equations: theory, examples and application to finance., Additional logarithmic utility of an insider, A property of two-parameter martingales with path-independent variation, Two-parameter diffusion processes and martingales, Observation sampling and quantisation for continuous-time estimators., Martingale representation theorems for initially enlarged filtrations., Functional central limit theorem for flows generated by stochastic equations with interaction, Projections of martingales in enlargements of Brownian filtrations under Jacod's equivalence hypothesis, Spatial convergence for semi-linear backward stochastic differential equations in Hilbert space: a mild approach, Filtration shrinkage, the structure of deflators, and failure of market completeness, Progressive enlargement of filtrations with initial times, The value of informational arbitrage, BSDEs of counterparty risk, Structure condition under initial enlargement of filtration, Lévy-driven Volterra equations in space and time, Probabilistic interpretation for solutions of fully nonlinear stochastic pdes, Intersection local times of perturbed Brownian motions and applications, GIRSANOV TRANSFORMATION AND ITS APPLICATION TO THE THEORY OF ENLARGEMENT OF FILTRATIONS, On an Optional Semimartingale Decomposition and the Existence of a Deflator in an Enlarged Filtration, On differentiability with respect to the initial data of the solution to an SDE with a Lévy noise and discontinuous coefficients, Expected Utility Maximization for Exponential Lévy Models with Option and Information Processes, Hypoellipticity theorems and conditional laws, Inequalities for upcrossings of semimartingales via skorohod embedding, The stochastic Fubini theorem revisited, Random Time with Differentiable Conditional Distribution Function, Measure-valued random processes, Robustesse de la solution des problemes de filtrage avec bruit blanc independant, Local times for a class of purely discontinuous martingales, Transformation of Gaussian measure by infinite-dimensional stochastic flow, Separation principle for impulse control with partial information, Nonlinear flows of stochastic linear delay equations, Semimartingales and Markov processes, (Semi-) martingale inequalities and local times, Stochastic integrators with stationary independent increments, Martingales dépendant d'un paramètre: une formule d'Ito



Cites Work