scientific article; zbMATH DE number 481040
From MaRDI portal
Publication:4274285
Recommendations
Cited in
(only showing first 100 items - show all)- Limits of one-dimensional diffusions
- Laws of the iterated logarithm for locally square integrable martingales
- Defaultable game options in a hazard process model
- On mixed exponential processes and martingales
- Convergence theorems for fuzzy random variables and fuzzy martingales
- Completeness of securities market models -- an operator point of view
- On martingale measures when asset returns have unpredictable jumps
- Numerical analysis on binomial tree methods for a jump-diffusion model.
- Drift transforms and Green function estimates for discontinuous processes
- Indifference pricing of insurance contracts in a product space model: Applications
- Nonlinear Doob-Meyer decomposition with jumps.
- Backward stochastic differential equation with random measures
- Decomposition theorems for fuzzy supermartingales and submartingales
- General dynamic term structures under default risk
- A weak version of path-dependent functional Itô calculus
- Reflected backward stochastic differential equations with resistance
- Weak Dirichlet processes with jumps
- No-arbitrage under a class of honest times
- An enlargement of filtration formula with applications to multiple non-ordered default times
- Special weak Dirichlet processes and BSDEs driven by a random measure
- Existence and uniqueness results for BSDE with jumps: the whole nine yards
- Absolute continuity of semimartingales
- On the Euler-Maruyama scheme for spectrally one-sided Lévy driven SDEs with Hölder continuous coefficients
- Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices
- Convex integral functionals of regular processes
- Stochastic calculus for Markov processes associated with semi-Dirichlet forms
- \(L^p\) solution of backward stochastic differential equations driven by a marked point process
- Strong approximation of locally square-integrable martingales
- Regularity and stopping theorem for fuzzy martingales with continuous parameters
- Pricing and hedging of american contingent claims in incomplete markets
- Semi-order fuzzy supermartingales and submartingales with continuous time
- General gauge and conditional gauge theorems
- Doob's stopping theorem for fuzzy (super, sub) martingales with discrete time
- Martingale representation theorems for initially enlarged filtrations.
- Stability of Doob-Meyer decomposition under extended convergence
- Absolute continuity of symmetric Markov processes.
- Symmetric Skorohod topology on n-variable functions and hierarchical Markov properties of n-parameter processes
- Limit theorems of Hilbert valued semimartingales and Hilbert valued martingale measures
- Potential theory for elliptic systems
- On subharmonicity for symmetric Markov processes
- Maximal inequalities for additive processes
- A new look at the Lagrange method for continuous-time stochastic optimization
- An \(L _{2}\)-theory for a class of SPDEs driven by Lévy processes
- Numéraire-invariant preferences in financial modeling
- Utility indifference hedging with exponential additive processes
- Weak differentiability of Wiener functionals and occupation times
- Arbitrage concepts under trading restrictions in discrete-time financial markets
- Andô-Douglas type characterization of optional projections and predictable projections
- Optimal stopping of marked point processes and reflected backward stochastic differential equations
- Thin times and random times' decomposition
- American options in nonlinear markets
- Projections of martingales in enlargements of Brownian filtrations under Jacod's equivalence hypothesis
- Simplified stochastic calculus via semimartingale representations
- Positive XVAs
- A martingale formulation for stochastic compartmental susceptible-infected-recovered (SIR) models to analyze finite size effects in COVID-19 case studies
- Characterisation of honest times and optional semimartingales of class-\((\Sigma)\)
- On the propagation of the weak representation property in independently enlarged filtrations: the general case
- Some recent developments on Lie symmetry analysis of stochastic differential equations
- \(L^p\)-solutions and comparison results for Lévy-driven backward stochastic differential equations in a monotonic, general growth setting
- \(L^0\)-convex compactness and random normal structure in \(L^0(\mathcal{F}, B)\)
- Stochastic filtering of a pure jump process with predictable jumps and path-dependent local characteristics
- XVA metrics for CCP optimization
- BSDEs and log-utility maximization for Lévy processes
- Limit theorems for cylindrical martingale problems associated with Lévy generators
- The Riesz representation theorem and weak\(^\ast\) compactness of semimartingales
- Discrete-type approximations for non-Markovian optimal stopping problems. II
- Exit times for semimartingales under nonlinear expectation
- Dirichlet boundary value problems for elliptic operators with measure data
- Semimartingales and shrinkage of filtration
- Escape rate of Markov chains on infinite graphs
- BSDE driven by Poisson point processes with discontinuous coefficient
- On a new set-valued stochastic integral with respect to semimartingales and its applications
- Nondifferentiable functions of one-dimensional semimartingales
- The conservativeness of Girsanov transformed symmetric Markov processes
- BSDE representation and randomized dynamic programming principle for stochastic control problems of infinite-dimensional jump-diffusions
- Independence times for iid sequences, random walks and Lévy processes
- No-arbitrage under additional information for thin semimartingale models
- Distribution flows associated with positivity preserving coercive forms
- On the weak representation property in progressively enlarged filtrations with an application in exponential utility maximization
- Path-dependent backward stochastic Volterra integral equations with jumps, differentiability and duality principle
- Existence, uniqueness and comparison results for BSDEs with Lévy jumps in an extended monotonic generator setting
- Correction to: ``Existence, uniqueness and comparison results for BSDEs with Lévy jumps in an extended monotonic generator setting
- The value of informational arbitrage
- Term structure modelling for multiple curves with stochastic discontinuities
- Lyapunov criteria for the Feller-Dynkin property of martingale problems
- How local in time is the no-arbitrage property under capital gains taxes?
- Superharmonic functions of Schrödinger operators and Hardy inequalities
- Martingale spaces and representations under absolutely continuous changes of probability
- Market viability and martingale measures under partial information
- On the stochastic behaviour of optional processes up to random times
- BSDEs of counterparty risk
- Randomized and backward SDE representation for optimal control of non-Markovian SDEs
- Optional and predictable projections of normal integrands and convex-valued processes
- Structure condition under initial enlargement of filtration
- The growth of additive processes
- Vast volatility matrix estimation for high-frequency financial data
- On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps
- No-arbitrage up to random horizon for quasi-left-continuous models
- Integral representations of martingales for progressive enlargements of filtrations
- Stochastic calculus for symmetric Markov processes
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4274285)