scientific article; zbMATH DE number 2006037

zbMath1041.60005MaRDI QIDQ4435813

Philip E. Protter

Publication date: 19 November 2003

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

semimartingalesstochastic differential equationslocal timesstochastic integrationstochastic flows of diffeomorphismsLévy area formulaexpansion of filtrationssigma martingales

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) General theory of stochastic processes (60G07) Stochastic integrals (60H05) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

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some distributional properties of subordinated Gaussian random fields, Estimating stochastic volatility models using realized measures, Some Feller and Osgood type criteria for semilinear stochastic differential equations, Variance reduction estimation for return models with jumps using gamma asymmetric kernels, For what trading strategies is the tax payment stream of infinite variation?, Existence and exponential stability for impulsive stochastic partial functional differential equations, Multivalued monotone stochastic differential equations with jumps, FUNCTIONAL ANALYTIC (IR-)REGULARITY PROPERTIES OF SABR-TYPE PROCESSES, Intensity process and compensator: A new filtration expansion approach and the Jeulin-Yor theorem, Yan theorem in \(L^{\infty}\) with applications to asset pricing, On a stochastic version of Prouse model in fluid dynamics, Stability of infinite dimensional stochastic evolution equations with memory and Markovian jumps, Filtering of a reflected Brownian motion with respect to its local time, First exit times of SDEs driven by stable Lévy processes, The Malliavin gradient method for the calibration of stochastic dynamical models, Asymptotic error for the Milstein scheme for SDEs driven by continuous semimartingales, Hedging life insurance contracts in a Lévy process financial market, An optimal portfolio problem in a defaultable market, Fluid limit theorems for stochastic hybrid systems with application to neuron models, Explicit Solution Processes for Nonlinear Jump-Diffusion Equations, Local martingales with two reflecting barriers, Government Debt Control: Optimal Currency Portfolio and Payments, Uniform Asymptotic Estimates for Ruin Probabilities with Exponential Lévy Process Investment Returns and Two-sided Linear Heavy-tailed Claims, Skew Ornstein-Uhlenbeck processes and their financial applications, Numerical Solution of the Poisson Equation on Domains with a Thin Layer of Random Thickness, On an Optional Semimartingale Decomposition and the Existence of a Deflator in an Enlarged Filtration, BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration, Portfolio optimization in a defaultable Lévy-driven market model, Approximate hedging for nonlinear transaction costs on the volume of traded assets, On a Heath-Jarrow-Morton approach for stock options, THE VALUATION OF OPTIONS ON FOREIGN EXCHANGE RATE IN A TARGET ZONE, An optimal control variance reduction method for density estimation, Homeomorphism flows for non-Lipschitz stochastic differential equations with jumps, Lévy Processes with Two-Sided Reflection, Existence, uniqueness and approximation of a stochastic Schrödinger equation: The diffusive case, The Critical Price of the American Put Near Maturity in the Jump Diffusion Model, Representation of Gaussian semimartingales with applications to the covariance function, PORTFOLIO OPTIMIZATION UNDER NONLINEAR UTILITY, SOLVABILITY AND NUMERICAL SIMULATION OF BSDEs RELATED TO BSPDEs WITH APPLICATIONS TO UTILITY MAXIMIZATION, First Passage Times of (Reflected) Ornstein-Uhlenbeck Processes Over Random Jump Boundaries, Optimal insider control and semimartingale decompositions under enlargement of filtration, Closed-form likelihood estimation for one type of affine point processes, TRACKING ERRORS FROM DISCRETE HEDGING IN EXPONENTIAL LÉVY MODELS, Stochastic mortality under measure changes, Enlargement of filtration and predictable representation property for semi-martingales, Maximum likelihood estimation for the drift parameter in diffusion processes, A Generalized Itô-Ventzell Formula to Derive Forward Utility Models in a Jump Market, Hölder Flow and Differentiability for SDEs with Nonregular Drift, The First Attempt on the Stochastic Calculus on Time Scale, The structure of the stopping region in a Lévy model, Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes, Bias Correction Estimation for a Continuous‐Time Asset Return Model with Jumps, Markov processes and generalized Schrödinger equations, Fractional Fokker-Planck-Kolmogorov type equations and their associated stochastic differential equations, A definition and some characteristic properties of pseudo-stopping times, On the Dynamics of Semimartingales with Two Reflecting Barriers, Feynman-Kac Particle Integration with Geometric Interacting Jumps, Optimal execution strategy in the presence of permanent price impact and fixed transaction cost, Fokker-Planck equations for nonlinear dynamical systems driven by non-Gaussian Lévy processes, Variance optimal hedging for continuous time additive processes and applications, Stochastic Integral and Covariation Representations for Rectangular Lévy Process Ensembles, Reflected and doubly reflected BSDEs driven by RCLL martingales, Poisson process and sharp constants in $L^p$ and Schauder estimates for a class of degenerate Kolmogorov operators, Convoluted smoothed kernel estimation for drift coefficients in jump-diffusion models, Elementary symmetric polynomials and martingales for Heckman-Opdam processes, Influence of risk tolerance on long-term investments: a Malliavin calculus approach, Asymptotic analysis for optimal dividends in a dual risk model, A General Optimal Multiple Stopping Problem with an Application to Swing Options, Finite Markov Chains Coupled to General Markov Processes and An Application to Metastability I, STEADY-STATE OPTIMIZATION OF AN EXHAUSTIVE LÉVY STORAGE PROCESS WITH INTERMITTENT OUTPUT AND RANDOM OUTPUT RATE, FIRST EXIT TIMES OF SOLUTIONS OF STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY MULTIPLICATIVE LÉVY NOISE WITH HEAVY TAILS, Unnamed Item, DEFAULTABLE TERM STRUCTURES DRIVEN BY SEMIMARTINGALES, LOCAL RISK MINIMIZATION OF CONTINGENT CLAIMS SIMULTANEOUSLY EXPOSED TO ENDOGENOUS AND EXOGENOUS DEFAULT TIMES, A High-Order Numerical Method for BSPDEs with Applications to Mathematical Finance, Constant proportion portfolio insurance strategies in contagious markets, A multiple-curve Lévy forward rate model in a two-price economy, NONPARAMETRIC STOCHASTIC VOLATILITY, Modeling Capital Gains Taxes for Trading Strategies of Infinite Variation, A numerically efficient closed-form representation of mean-variance hedging for exponential additive processes based on Malliavin calculus, Optimal reinsurance and investment problem in a defaultable market, Solutions of Lévy-driven SDEs with unbounded coefficients as Feller processes, OPTIMAL INVESTMENT FOR A DEFINED-CONTRIBUTION PENSION SCHEME UNDER A REGIME SWITCHING MODEL, Parameter estimation for stochastic Lotka-Volterra model driven by small Lévy noises from discrete observations, Existence and Uniqueness for Non-Markovian Triangular Quadratic BSDEs, Optimal sampling design for global approximation of jump diffusion stochastic differential equations, Portfolio Choice with Market--Credit-Risk Dependencies, Asymptotic optimal tracking: feedback strategies, Dimension reduction for stochastic dynamical systems forced onto a manifold by large drift: a constructive approach with examples from theoretical biology, LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING, PDE APPROACH TO THE VALUATION AND HEDGING OF BASKET CREDIT DERIVATIVES, SHARPE RATIO MAXIMIZATION AND EXPECTED UTILITY WHEN ASSET PRICES HAVE JUMPS, Asymptotic behavior, attracting and quasi-invariant sets for impulsive neutral SPFDE driven by Lévy noise, Solvability of the Nonlinear Dirichlet Problem with Integro-differential Operators, Linear Quadratic Stochastic Control Problems with Stochastic Terminal Constraint, Local Risk-Minimization for Barndorff-Nielsen and Shephard Models with Volatility Risk Premium, A SHOT NOISE MODEL FOR FINANCIAL ASSETS, EXPLICIT HESTON SOLUTIONS AND STOCHASTIC APPROXIMATION FOR PATH-DEPENDENT OPTION PRICING, Shot-Noise Processes in Finance, A Lévy-Driven Asset Price Model with Bankruptcy and Liquidity Risk, Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models, Analysis and Calibration of a Linear Model for Structured Cell Populations with Unidirectional Motion: Application to the Morphogenesis of Ovarian Follicles, D-solutions of BSDEs with Poisson jumps, HYDRODYNAMIC LIMIT OF ORDER-BOOK DYNAMICS, A CONDITIONAL EQUITY RISK MODEL FOR REGULATORY ASSESSMENT, STRONG PREDICTOR–CORRECTOR EULER METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS, Well-posedness by noise for scalar conservation laws, The Maximum Principle for Progressive Optimal Stochastic Control Problems with Random Jumps, ON THE LONG TIME BEHAVIOR OF FREE STOCHASTIC SCHRÖDINGER EVOLUTIONS, Characterization of submartingales of a new class (Σ^r), Problems of Mathematical Finance by Stochastic Control Methods, SPECTRWM: Spectral Random Walk Method for the Numerical Solution of Stochastic Partial Differential Equations, FIRST PASSAGE TIMES OF REFLECTED GENERALIZED ORNSTEIN–UHLENBECK PROCESSES, Risk Minimization for a Filtering Micromovement Model of Asset Price, Nonlinear stochastic integration with a non-smooth family of integrators, Finite- and Infinite-Time Ruin Probabilities with General Stochastic Investment Return Processes and Bivariate Upper Tail Independent and Heavy-Tailed Claims, On Some Expectation and Derivative Operators Related to Integral Representations of Random Variables with Respect to a PII Process, On Entire Moments of Self-Similar Markov Processes, Decomposition of Order Statistics of Semimartingales Using Local Times, Diffusion approximation of stochastic master equations with jumps, Stock market insider trading in continuous time with imperfect dynamic information, Arbitrage and approximate arbitrage: the fundamental theorem of asset pricing, The explicit chaotic representation of the powers of increments of Lévy processes, Almost sure convergence of a semidiscrete Milstein scheme for SPDEs of Zakai type, A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour, Strong Solutions of a Class of Stochastic Differential Equations with Jumps, A mathematical model for multi-name credit based on community flocking, Unifying the Dynkin and Lebesgue–Stieltjes formulae, Analysis of a Finite State Many Player Game Using Its Master Equation, PRICING OF CYBER INSURANCE CONTRACTS IN A NETWORK MODEL, Utility maximization in a jump market model, On singular stochastic control and optimal stopping of spectrally negative jump diffusions, What is the time value of a stream of investments?, Pricing Asset Scheduling Flexibility using Optimal Switching, A Lattice‐Based Method for Pricing Electricity Derivatives Under the Threshold Model, A local discontinuous Galerkin method for nonlinear parabolic SPDEs, $\mathcal{L}^p$-PROJECTIONS OF RANDOM VARIABLES AND ITS APPLICATION TO FINANCE, The second-order parabolic PDEs with singular coefficients and applications, Controllability for impulsive neutral stochastic delay partial differential equations driven by fBm and Lévy noise, Slow manifolds for dynamical systems with non-Gaussian stable Lévy noise, A result on the Laplace transform associated with the sticky Brownian motion on an interval, Optimal Contract for a Fund Manager with Capital Injections and Endogenous Trading Constraints, Quasi-regular Dirichlet forms and the obstacle problem for elliptic equations with measure data, Numerical Solutions of Stochastic Differential Delay Equations with Jumps, MAXIMIZING THE GROWTH RATE UNDER RISK CONSTRAINTS, Instantaneous Mean-Variance Hedging and Sharpe Ratio Pricing in a Regime-Switching Financial Model, On regularity properties of Bessel flow, Backward stochastic Volterra integral equations with jumps in a general filtration, A Dynkin Game on Assets with Incomplete Information on the Return, A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes, Pricing Variance Swaps on Time-Changed Markov Processes, Modelling electricity prices: a time change approach, Wavelet-Based Methods for High-Frequency Lead-Lag Analysis, Approximation of the height process of a continuous state branching process with interaction, No Arbitrage and the Growth Optimal Portfolio, Liquidity Risk with Coherent Risk Measures, Solving the drift control problem, Finiteness of integrals of functions of Lévy processes, Stochastic impulsive fractional differential evolution equations with infinite delay, Double Smoothed Volatility Estimation of Potentially Non‐stationary Jump‐diffusion Model of Shibor, IMPLICIT TRANSACTION COSTS AND THE FUNDAMENTAL THEOREMS OF ASSET PRICING, Jump Diffusion Approximation for the Price Dynamics of a Fully State Dependent Limit Order Book Model, The Minimal Entropy Martingale Measure for Exponential Markov Chains, Martingale representations in progressive enlargement by the reference filtration of a semi-martingale: a note on the multidimensional case, Unique strong solutions of Lévy processes driven stochastic differential equations with discontinuous coefficients, Quadratic variation of a càdlàg semimartingale as a.s. limit of the normalized truncated variations, Stochastic delay differential equations and related autoregressive models, Stochastic averaging principle for two-time-scale jump-diffusion SDEs under the non-Lipschitz coefficients, Statistical causality and purely discontinuous local martingales, On perpetual American options in a multidimensional Black–Scholes model, Stochastic Control of Optimized Certainty Equivalents, Weak solutions to gamma-driven stochastic differential equations, Finite Horizon Impulse control of Stochastic Functional Differential Equations, The reverse Hölder inequality for matrix-valued stochastic exponentials and applications to quadratic BSDE systems, A Meyer-Itô formula for stable processes via fractional calculus, Nonparametric two-step estimation of drift function in the jump-diffusion model with noisy data, Controlling mean exit time of stochastic dynamical systems based on quasipotential and machine learning, The sticky Lévy process as a solution to a time change equation, Non-binary branching process and non-Markovian exploration process, First-order linear Marcus SPDEs, On independence of time and cause, Delay‐dependent stability analysis and stabilization of stochastic time‐delay systems governed by the Poisson process and Brownian motion, Uniqueness for an obstacle problem arising from logistic-type equations with fractional Laplacian, The dynamics of Pareto distributed wealth in a small open economy, Non-linear affine processes with jumps, Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework, Statistical causality, optional and predictable projections, Integrability and Regularity of the Flow of Stochastic Differential Equations with Jumps, On first passage times of sticky reflecting diffusion processes with double exponential jumps, Poisson stochastic master equation unravelings and the measurement problem: A quantum stochastic calculus perspective, Asymptotic Analysis of a Multiclass Queueing Control Problem Under Heavy Traffic with Model Uncertainty, Solvability of coupled FBSDEs with diagonally quadratic generators, Approximation of the stochastic 2D hydrodynamical type systems driven by non-Gaussian Lévy noise, Permutation invariant functionals of Lévy processes, ESTIMATING THE QUADRATIC VARIATION SPECTRUM OF NOISY ASSET PRICES USING GENERALIZED FLAT-TOP REALIZED KERNELS, Optimal Market Making under Partial Information with General Intensities, Purchasing Term Life Insurance to Reach a Bequest Goal: Time-Dependent Case, European Options in a Nonlinear Incomplete Market Model with Default, A FINANCIAL MARKET OF A STOCHASTIC DELAY EQUATION, Hedging the Risk of Delayed Data in Defaultable Markets, Continuous-time Random Walks for the Numerical Solution of Stochastic Differential Equations, Mean-Variance Portfolio Selection for Partially Observed Point Processes, m-Double Poisson Lévy markets, A General Benchmark Model for Stochastic Jump Sizes, AN ALTERNATIVE INTEREST RATE TERM STRUCTURE MODEL, Non‐stationary autoregressive processes with infinite variance, On the conditional default probability in a regulated market with jump risk, WHY DOES A HUMAN DIE? 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risk-minimization, Local times for functions with finite variation: two versions of Stieltjes change-of-variables formula, Optimal Investment Under Information Driven Contagious Distress, ON THE TIMING OPTION IN A FUTURES CONTRACT, Remark on pathwise uniqueness of stochastic differential equations driven by Lévy processes, Almost sure exponential stability for time-changed stochastic differential equations, Method of moment estimation in the COGARCH(1,1) model, Probability density for a hyperbolic SPDE with time dependent coefficients, The representation of American options prices under stochastic volatility and jump-diffusion dynamics, Parametric Estimation for Subordinators and Induced OU Processes, Monotone utility convergence, Asymptotic Behavior of a Generalized TCP Congestion Avoidance Algorithm, Probabilistic aspects of critical growth-fragmentation equations, Weak approximation of martingale representations, On Exponential Stabilization of $N$-Level Quantum Angular Momentum Systems, A Discontinuous Galerkin Method for Stochastic Conservation Laws, Sticky Brownian Motion and Its Numerical Solution, A UNIVERSAL OPTIMAL CONSUMPTION RATE FOR AN INSIDER, A Strong Averaging Principle for Lévy Diffusions in Foliated Spaces with Unbounded Leaves, On regular variation for infinitely divisible random vectors and additive processes, On the existence of sure profits via flash strategies, Some explicit results on one kind of sticky diffusion, The first passage problem for stable linear delay equations perturbed by power law Lévy noise, Systems of BSDES with oblique reflection and related optimal switching problems, The Tanaka Formula for Symmetric Stable Processes with Index $\alpha$, $0<\alpha<2$, Successive enlargement of filtrations and application to insider information, Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching Model: Time-Consistent Solutions, The first exit problem of reaction-diffusion equations for small multiplicative L\'evy noise, Component structure of the configuration model: Barely supercritical case, CURRENCY DERIVATIVES UNDER A MINIMAL MARKET MODEL WITH RANDOM SCALING, Book Review: Stochastic calculus for finance, OPTIMAL CREDIT ALLOCATION UNDER REGIME UNCERTAINTY WITH SENSITIVITY ANALYSIS, Occupation Times, Drawdowns, and Drawups for One-Dimensional Regular Diffusions, Asymptotic Analysis of Stock Price Densities and Implied Volatilities in Mixed Stochastic Models, Absolute continuity and singularity of probability measures induced by a purely discontinuous Girsanov transform of a stable process, On Singular Control Problems, the Time-Stretching Method, and the Weak-M1 Topology, Jump-diffusion unravelling of a non-Markovian generalized Lindblad master equation, Metastability in a class of hyperbolic dynamical systems perturbed by heavy-tailed Lévy type noise, A Least Squares Estimator for Lévy-driven Moving Averages Based on Discrete Time Observations, Admission Control for Multidimensional Workload input with Heavy Tails and Fractional Ornstein-Uhlenbeck Process, Existence of Nash equilibrium points for Markovian non-zero-sum stochastic differential games with unbounded coefficients, Elliptic PDEs with distributional drift and backward SDEs driven by a càdlàg martingale with random terminal time, Deep ReLU neural networks overcome the curse of dimensionality for partial integrodifferential equations, Generalized Cox model for default times, Inference for a discretized stochastic logistic differential equation and its application to biological growth, Stochastic differential equations with critically irregular drift coefficients, A sharp \(L_p\)-regularity result for second-order stochastic partial differential equations with unbounded and fully degenerate leading coefficients, Zero-sum stochastic differential games of impulse versus continuous control by FBSDEs, Reflected backward stochastic differential equations associated to jump Markov processes and application to partial differential equations, Continuity and approximation properties of solutions to fractional neutral stochastic functional differential equations with non-Lipschitz coefficients, On the existence and uniqueness of solution to a stochastic chemotaxis-Navier-Stokes model, The relative frequency between two continuous-state branching processes with immigration and their genealogy, Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model, Optimal cash management using impulse control, Limit theorems of invariant measures for multivalued McKean-Vlasov stochastic differential equations, Nonlinear continuous semimartingales, Model‐free portfolio theory: A rough path approach, Impulse control of conditional McKean-Vlasov jump diffusions, Systematic staleness, On the finiteness of the moments of the measure of level sets of random fields, Optimal investment and reinsurance strategies under 4/2 stochastic volatility model, Nonlinear BSDEs on a general filtration with drivers depending on the martingale part of the solution, Reflected generalized discontinuous BSDEs with rcll barrier and an obstacle problem of IPDE with nonlinear Neumann boundary conditions, Maximal inequalities and some applications, General criteria for the study of quasi-stationarity, Lévy flows and associated stochastic PDEs, Maximum principle for stochastic control of SDEs with measurable drifts, Mean-square convergence and stability of compensated stochastic theta methods for jump-diffusion SDEs with super-linearly growing coefficients, Approximation of the invariant measure of stable SDEs by an Euler-Maruyama scheme, A calendar year mortality model in continuous time, The impact of simultaneous shocks to financial markets and mortality on pension buy-out prices, On properties and applications of Gaussian subordinated Lévy fields, On Lasso and Slope drift estimators for Lévy-driven Ornstein-Uhlenbeck processes, Optimal friction matrix for underdamped Langevin sampling, Nadaraya-Watson estimators for reflected stochastic processes, Reflecting Brownian motion in generalized parabolic domains: explosion and superdiffusivity, On the stochastic differentiability of noncausal processes with respect to the process with quadratic variation, Causal predictability between stochastic processes and filtrations, Lévy Langevin Monte Carlo, The cutoff phenomenon in Wasserstein distance for nonlinear stable Langevin systems with small Lévy noise, Large deviations for Lévy diffusions in the small noise regime, Unnamed Item, Unnamed Item, Unnamed Item