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)
- 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
- Numéraire-invariant preferences in financial modeling
- Perturbation of symmetric Markov processes
- Pricing and hedging of american contingent claims in incomplete markets
- Characterization of submartingales of a new class \((\Sigma^r)\)
- Absolute continuity and singularity of probability measures induced by a purely discontinuous Girsanov transform of a stable process
- Heat kernel estimates for stable-like processes on \(d\)-sets.
- \(L^p\)-independence of spectral bounds of Schrödinger-type operators with non-local potentials
- Counterparty risk and funding: immersion and beyond
- Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
- Uniqueness of stable processes with drift
- Stochastic differential equations with Sobolev drifts and driven by \(\alpha\)-stable processes
- Fukushima's decomposition for diffusions associated with semi-Dirichlet forms
- General analytic characterization of gaugeability for Feynman-Kac functionals
- On the stochastic behaviour of optional processes up to random times
- On the minimal entropy martingale measure for Lévy processes
- No-arbitrage up to random horizon for quasi-left-continuous models
- Intensity process and compensator: A new filtration expansion approach and the Jeulin-Yor theorem
- Backward stochastic differential equation with random measures
- An \(L _{2}\)-theory for a class of SPDEs driven by Lévy processes
- Numerical analysis on binomial tree methods for a jump-diffusion model.
- Limit theorems for cylindrical martingale problems associated with Lévy generators
- Drift transforms and Green function estimates for discontinuous processes
- \(L^p\) solution of backward stochastic differential equations driven by a marked point process
- Mean-variance hedging on uncertain time horizon in a market with a jump
- No arbitrage and multiplicative special semimartingales
- Progressive enlargements of filtrations with pseudo-honest times
- On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps
- Stochastic calculus for symmetric Markov processes
- Regularity and stopping theorem for fuzzy martingales with continuous parameters
- Nondifferentiable functions of one-dimensional semimartingales
- Randomized and backward SDE representation for optimal control of non-Markovian SDEs
- Martingale measures and stochastic calculus
- A risk-sharing framework of bilateral contracts
- Weak differentiability of Wiener functionals and occupation times
- Vast volatility matrix estimation for high-frequency financial data
- Schramm-Loewner equations driven by symmetric stable processes
- Central clearing valuation adjustment
- QUADRATIC HEDGING FOR THE BATES MODEL
- Localization for branching Brownian motions in random environment
- An integral equation for American put options on assets with general dividend processes
- 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
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