Stochastic Integration with Jumps
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Publication:4534874
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Cited in
(76)- scientific article; zbMATH DE number 758230 (Why is no real title available?)
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- Laplace transform identities and measure-preserving transformations on the Lie-Wiener-Poisson spaces
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- A stochastic-statistical residential burglary model with independent Poisson clocks
- Spectrally negative Lévy processes perturbed by functionals of their running supremum
- Liouville theorems for non-local operators
- Predicting the time at which a Lévy process attains its ultimate supremum
- Integrability and regularity of the flow of stochastic differential equations with jumps
- Imperfect maintenance policies for warranted products under stochastic performance degradation
- The numéraire portfolio in semimartingale financial models
- Further calculations for the McKean stochastic game for a spectrally negative Lévi process: from a point to an interval
- Lévy-driven Volterra equations in space and time
- scientific article; zbMATH DE number 49027 (Why is no real title available?)
- Regularity of semigroups generated by Lévy type operators via coupling
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- Risk measures for processes and BSDEs
- On strong solutions for positive definite jump diffusions
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- Long-term optimal investment in matrix valued factor models
- Bottleneck options
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- Quadratic control of stochastic hybrid systems with renewal transitions
- Stochastic integration with respect to canonical \(\alpha\)-stable cylindrical Lévy processes
- The Gapeev-Kühn stochastic game driven by a spectrally positive Lévy process
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- Optimal stopping problems for the maximum process with upper and lower caps
- Hybrid simulation scheme for volatility modulated moving average fields
- Stochastic Integration in Banach Spaces
- Game theoretic valuation of deposit insurance under jump risk: from too small to survive to too big to fail
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