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
- Title not available (Why is that?)
- Functional Large Deviations and Moderate Deviations for Markov-Modulated Risk Models with Reinsurance
- Generalization on optimal multiple stopping with application to swing options with random exercise rights number
- BSDEs of counterparty risk
- The growth of additive processes
- Martingales and Stochastic Integrals
- Pathwise properties and homeomorphic flows for stochastic differential equations driven by \(G\)-Brownian motion
- Arbitrage of the first kind and filtration enlargements in semimartingale financial models
- A general multidimensional Monte Carlo approach for dynamic hedging under stochastic volatility
- Reflected symmetric \(\alpha\)-stable processes and regional fractional Laplacian
- Weak approximations for Wiener functionals
- Sample path large and moderate deviations for risk model with delayed claims
- Ambiguous volatility, possibility and utility in continuous time
- Harmonic analysis of stochastic equations and backward stochastic differential equations
- Uniqueness result for the BSDE whose generator is monotonic in \(y\) and uniformly continuous in \(z\)
- Linear-quadratic optimal control under non-Markovian switching
- A super-replication theorem in Kabanov's model of transaction costs
- Martingale solutions and Markov selection of stochastic 3D Navier-Stokes equations with jump
- On the Burkholder-Davis-Gundy inequalities for continuous martingales
- Anticipated backward SDEs with jumps and quadratic-exponential growth drivers
- On Malliavin's differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures
- Stable process with singular drift
- Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
- Forward equations for option prices in semimartingale models
- Fukushima type decomposition for semi-Dirichlet forms
- Drift operator in a viable expansion of information flow
- A localization formula in Dirichlet form theory
- Martingale representation property in progressively enlarged filtrations
- Exponential martingale and large deviations for a Cox risk process with Poisson shot noise intensity
- A weak version of path-dependent functional Itô calculus
- The minimal entropy martingale measures for exponential additive processes
- The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models
- Absolute continuity of symmetric Markov processes.
- Stability of Doob-Meyer decomposition under extended convergence
- Progressive enlargement of filtrations and backward stochastic differential equations with jumps
- On absolutely continuous compensators and nonlinear filtering equations in default risk models
- \(L^p\)-independence of spectral bounds of generalized non-local Feynman-Kac semigroups
- General gauge and conditional gauge theorems
- Martingale representation theorems for initially enlarged filtrations.
- Laws of the iterated logarithm for locally square integrable martingales
- Markov jump processes in modeling coalescent with recombination
- Potential theory for elliptic systems
- A transformation of Markov jump processes and applications in genetic study
- Fuzzy-valued mappings with finite variation, fuzzy-valued measures and fuzzy-valued Lebesgue-Stieltjes integrals
- Minimal \(f^q\)-Martingale measures for exponential Lévy processes
- Minimal entropy preserves the Lévy property: how and why
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