scientific article; zbMATH DE number 481040
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Publication:4274285
zbMATH Open0781.60002MaRDI QIDQ4274285FDOQ4274285
Authors: Shengwu He, Jia-gang Wang, Jia-An Yan 
Publication date: 13 December 1993
Title of this publication is not available (Why is that?)
Recommendations
semimartingalesstochastic integrationanalytic setsChoquet capacitypredictable representation propertyabsolute continuity and contiguity of measuresweak convergence for cadlag processes
Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Generalizations of martingales (60G48) Stochastic integrals (60H05)
Cited In (only showing first 100 items - show all)
- Optional and predictable projections of set-valued measurable processes
- Absolute continuity of semimartingales
- Existence and uniqueness results for BSDE with jumps: the whole nine yards
- Doob's stopping theorem for fuzzy (super, sub) martingales with discrete time
- Dynamic contracting: accidents lead to nonlinear contracts
- Arbitrage concepts under trading restrictions in discrete-time financial markets
- General dynamic term structures under default risk
- A stochastic-statistical residential burglary model with independent Poisson clocks
- A high-order numerical method for BSPDEs with applications to mathematical finance
- Asymptotic expansion for forward-backward SDEs with jumps
- Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices
- Stability results for martingale representations: the general case
- Robust utility maximization with nonlinear continuous semimartingales
- On subharmonicity for symmetric Markov processes
- Convex integral functionals of regular processes
- Binary funding impacts in derivative valuation
- Stochastic calculus for Markov processes associated with semi-Dirichlet forms
- Bellman equations for terminal utility maximization with general bid and ask prices
- The conservativeness of Girsanov transformed symmetric Markov processes
- Exponential martingales and changes of measure for counting processes
- Strong approximation of locally square-integrable martingales
- Independence times for iid sequences, random walks and Lévy processes
- Reflected backward stochastic differential equations with resistance
- Some recent developments on Lie symmetry analysis of stochastic differential equations
- Optimal stopping of marked point processes and reflected backward stochastic differential equations
- American options in nonlinear markets
- Title not available (Why is that?)
- Optimal Utility with Some Additional Information
- A stochastic-statistical residential burglary model with finite size effects
- Path-dependent backward stochastic Volterra integral equations with jumps, differentiability and duality principle
- The value of informational arbitrage
- Maximal inequalities for additive processes
- A new look at the Lagrange method for continuous-time stochastic optimization
- BSDEs driven by multidimensional martingales and their applications to markets with funding costs
- The Riesz representation theorem and weak\(^\ast\) compactness of semimartingales
- A modified method of successive approximations for stochastic recursive optimal control problems
- Weak Dirichlet processes with jumps
- Limit theorems of Hilbert valued semimartingales and Hilbert valued martingale measures
- On the Theory of (Dual) Projection for Fuzzy Stochastic Processes
- An enlargement of filtration formula with applications to multiple non-ordered default times
- No-arbitrage under a class of honest times
- Title not available (Why is that?)
- Statistical causality and extremal measures
- Utility indifference hedging with exponential additive processes
- Thin times and random times' decomposition
- Exit times for semimartingales under nonlinear expectation
- Projections of martingales in enlargements of Brownian filtrations under Jacod's equivalence hypothesis
- Simplified stochastic calculus via semimartingale representations
- Nonlinear Doob-Meyer decomposition with jumps.
- Optimal control of piecewise deterministic Markov processes: a BSDE representation of the value function
- On martingale measures when asset returns have unpredictable jumps
- Semimartingales and shrinkage of filtration
- TOPOLOGICAL EQUIVALENCE FOR DISCONTINUOUS RANDOM DYNAMICAL SYSTEMS AND APPLICATIONS
- On a class of Lévy-driven McKean-Vlasov SDEs with Hölder coefficients
- An optimal investment strategy for a stream of liabilities generated by a step process in a financial market driven by a Lévy process
- Stochastic evolution equations driven by Lévy processes
- Indifference pricing of insurance contracts in a product space model: Applications
- The strong predictable representation property in initially enlarged filtrations under the density hypothesis
- On the existence of semimartingales with continuous characteristics
- Andô-Douglas type characterization of optional projections and predictable projections
- On the Euler-Maruyama scheme for spectrally one-sided Lévy driven SDEs with Hölder continuous coefficients
- \(L^p\)-theory of forward-backward stochastic differential equations
- ON GIRSANOV AND GENERALIZED FEYNMAN–KAC TRANSFORMATIONS FOR SYMMETRIC MARKOV PROCESSES
- BSDE driven by Poisson point processes with discontinuous coefficient
- On a new set-valued stochastic integral with respect to semimartingales and its applications
- An econometric model of the term structure of interest rates under regime-switching risk
- On the generalized Feynman-Kac transformation for nearly symmetric Markov processes
- On the best constant in Marcinkiewicz-Zygmund inequality
- Escape rate of Markov chains on infinite graphs
- Convergence theorems for fuzzy random variables and fuzzy martingales
- On mixed exponential processes and martingales
- Superharmonic functions of Schrödinger operators and Hardy inequalities
- An unbiased estimator for the survival function of censored data
- Generalized BSDE and reflected BSDE with random time horizon
- Decomposition theorems for fuzzy supermartingales and submartingales
- Stochastic calculus over symmetric Markov processes with time reversal
- Defaultable game options in a hazard process model
- Estimates on the transition densities of Girsanov transforms of symmetric stable processes
- Market viability and martingale measures under partial information
- Completeness of securities market models -- an operator point of view
- Martingale representation in progressively enlarged Lévy filtrations
- Limit theorems for branching Markov processes
- Mean field limit with proliferation
- The Maximum Principle for Progressive Optimal Stochastic Control Problems with Random Jumps
- Reflected and doubly reflected BSDEs driven by RCLL martingales
- On the predictable representation property of martingales associated with Lévy processes
- A formula for transition density function under Girsanov transform
- Information, no-arbitrage and completeness for asset price models with a change point
- Special weak Dirichlet processes and BSDEs driven by a random measure
- Limits of one-dimensional diffusions
- Title not available (Why is that?)
- Kusuoka-Stroock formula on configuration space and regularities of local times with jumps
- Doubly reflected BSDEs with integrable parameters and related Dynkin games
- Path-dependent BSDEs with jumps and their connection to PPIDEs
- Title not available (Why is that?)
- Term structure modelling for multiple curves with stochastic discontinuities
- A generic model for spouse's pensions with a view towards the calculation of liabilities
- Symmetric Skorohod topology on \(n\)-variable functions and hierarchical Markov properties of \(n\)-parameter processes
- Web Markov skeleton processes and their applications
- Martingale representations for functionals of Lévy processes
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