Publication:4508926

From MaRDI portal


zbMath0977.60005MaRDI QIDQ4508926

L. C. G. Rogers, David Williams

Publication date: 10 October 2000



60-02: Research exposition (monographs, survey articles) pertaining to probability theory


Related Items

A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour, On the martingale property of stochastic exponentials, Stochastic Integrals and Conditional Full Support, Unnamed Item, Discretionary stopping of one-dimensional Itô diffusions with a staircase reward function, A Stochastic Volatility Alternative to SABR, Filtration consistent nonlinear expectations and evaluations of contingent claims, On the path structure of a semimartingale arising from monotone probability theory, Uniform deterministic equivalent of additive functionals and non-parametric drift estimation for one-dimensional recurrent diffusions, Binary sequential representations of random partitions, Pathwise differentiability for SDEs in a convex polyhedron with oblique reflection, Integration with respect to local time and Itô's formula for smooth nondegenerate martingales, Markov mortality models: implications of quasistationarity and varying initial distributions, Representation theorems, set-valued and fuzzy set-valued Itô integral, Non-equilibrium theory of the allele frequency spectrum, On changes of measure in stochastic volatility models, Asymptotic arbitrage and large deviations, Martingale approach to stochastic differential games of control and stopping, A singular control model with application to the goodwill problem, An explicit solution for an optimal stopping/optimal control problem which models an asset sale, Large scale behavior of semiflexible heteropolymers, Behavior near the extinction time in self-similar fragmentations. I: The stable case, Degenerate stochastic differential equations for catalytic branching networks, Riesz transforms on forms and \(L^p\)-Hodge decomposition on complete Riemannian manifolds, Unconstrained recursive importance sampling, A unifying formulation of the Fokker-Planck-Kolmogorov equation for general stochastic hybrid systems, Optimal exercise of executive stock options, Towards a generalization of Dupire's equation for several assets, The alternating marked point process of \(h\)-slopes of drifted Brownian motion, Multifractional, multistable, and other processes with Prescribed local form, Nearest neighbor conditional estimation for Harris recurrent Markov chains, Volatility misspecification, option pricing and superreplication via coupling, Saddlepoint approximations to option prices, Windings of Brownian motion and random walks in the plane, The limits of Sinai's simple random walk in random environment, Random Brownian scaling identities and splicing of Bessel processes, On the distribution of Brownian areas, Brownian excursions, critical random graphs and the multiplicative coalescent, Some Brownian functionals and their laws, New perspectives on Ray's theorem for the local times of diffusions, A degenerate central limit theorem for single resource loss systems, Integrated Brownian motion, conditioned to be positive, Simulation of a space-time bounded diffusion, Hedging options for a large investor and forward-backward SDE's, Shrinkage estimators, Skorokhod's problem and stochastic integration by parts, Random observations of marked Cox processes. Time insensitive functionals, On the distribution of ranked heights of excursions of a Brownian bridge., A cyclically catalytic super-Brownian motion, The first exit time of planar Brownian motion from the interior of a parabola, Eccentric behaviors of the Brownian sheet along lines, Right inverses of nonsymmetric Lévy processes., Pinching and twisting Markov processes, Avoiding the origin: A finite-fuel stochastic control problem, On uniqueness of solutions for the stochastic differential equations of nonlinear filtering, Large deviations of Jackson networks., Brownian motion in a wedge with variable reflection: Existence and uniqueness, On the existence of universal functional solutions to classical SDE's, Numéraire-invariant preferences in financial modeling, Many-server diffusion limits for \(G/Ph/n+GI\) queues, On the first passage problem for correlated Brownian motion, A random walk on \(\mathbb Z\) with drift driven by its occupation time at zero, Genealogy of catalytic branching models, Ergodic behavior of locally regulated branching populations, Model robustness of finite state nonlinear filtering over the infinite time horizon, Boundary driven zero-range processes in random media, Negative Libor rates in the swap market model, Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling, The Laguerre process and generalized Hartman-Watson law, Exit problems in regime-switching models, Intensity process and compensator: A new filtration expansion approach and the Jeulin-Yor theorem, Almost sure convergence of solutions of linear stochastic Volterra equations to nonequilibrium limits, Stochastic equations on compact groups in discrete negative time, Martingale transforms and \(L^p\)-norm estimates of Riesz transforms on complete Riemannian manifolds, Periodic homogenization for inertial particles, A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients, Subtree prune and regraft: a reversible real tree-valued Markov process, Decreasing sequences of \(\sigma\)-fields and a measure change for Brownian motion. I, Retrospective exact simulation of diffusion sample paths with applications, Optimal Stopping for Processes with Independent Increments, and Applications, Asymptotic behavior of a Feller evolution family involved in the Fisher-Wright model, Construction of the Value Function and Optimal Rules in Optimal Stopping of One-Dimensional Diffusions, Multiscale Modelling of Complex Fluids: A Mathematical Initiation