scientific article; zbMATH DE number 3610547

MaRDI QIDQ4176233zbMATH OpenFDO

Authors Marc Yor

Publication date 1976

Full work available at URL http://www.numdam.org/item?id=SPS_1976__10__481_0, https://eudml.org/doc/113091

zbMATH Keywords

Stochastic IntegralsSemimartingalesLocal MartingalesSolution of Stochastic Differential Equations

Mathematics Subject Classification ID

Stochastic integrals (60H05)

Cited in

(9)

• Changes of filtrations and of probability measures
• A bound for the expected hitting time of storage processes
• Processus de vie et de mort sur ? avec interaction selon les particules les plus proches
• \(\mathcal E\)-martingales and their applications in mathematical finance
• Locally most powerful sequential tests for stochastic processes
• A note on the inhomogeneous linear stochastic differential equation.
• Convergence comparée des processus
• Explicit formula of optimal replacement under additive shock processes
• Some exponential type bounds for hitting time distributions of storage processes

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