Stochastic Integration with Jumps
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Publication:4534874
DOI10.1017/CBO9780511549878zbMATH Open1002.60001MaRDI QIDQ4534874FDOQ4534874
Authors: Klaus Bichteler 
Publication date: 12 June 2002
Recommendations
stochastic differential equationsDaniell integralrandom measuresprocesses with jumpssemimartingale integrators
Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)
Cited In (75)
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- Optimal Stopping for Exponential Lévy Models with Weighted Discounting
- Feynman-Kac formula for BSDEs with jumps and time delayed generators associated to path-dependent nonlinear Kolmogorov equations
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- Optimal stopping of the stable process with state-dependent killing
- Stochastic wave equation with heavy-tailed noise: uniqueness of solutions and past light-cone property
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- Optimally Stopping at a Given Distance from the Ultimate Supremum of a Spectrally Negative Lévy Process
- \(L^p\) optimal prediction of the last zero of a spectrally negative Lévy process
- A probability approximation framework: Markov process approach
- Absolute continuity of semimartingales
- Laplace transform identities and measure-preserving transformations on the Lie-Wiener-Poisson spaces
- Integrability conditions for space-time stochastic integrals: theory and applications
- Well-posedness and large deviations for 2D stochastic Navier-Stokes equations with jumps
- Hybrid simulation scheme for volatility modulated moving average fields
- A stochastic-statistical residential burglary model with independent Poisson clocks
- Optimal stopping problems for the maximum process with upper and lower caps
- A Stochastic-Statistical Residential Burglary Model with Finite Size Effects
- Well-posedness of stochastic 2D hydrodynamics type systems with multiplicative Lévy noises
- Supermartingales as Radon-Nikodym densities and related measure extensions
- Bottleneck options
- Spectrally negative Lévy processes perturbed by functionals of their running supremum
- Girsanov identities for Poisson measures under quasi-nilpotent transformations
- Controlled sequential Monte Carlo
- Random transformations and invariance of semimartingales on Lie groups
- A new construction of the \(\sigma \)-finite measures associated with submartingales of class \((\Sigma )\)
- Market viability via absence of arbitrage of the first kind
- Stochastic calculus over symmetric Markov processes without time reversal
- Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison
- On the semimartingale property of discounted asset-price processes
- The numéraire portfolio in semimartingale financial models
- Weak symmetries of stochastic differential equations driven by semimartingales with jumps
- On strong solutions for positive definite jump diffusions
- The Gapeev-Kühn stochastic game driven by a spectrally positive Lévy process
- Stochastic Integration with Jumps
- Balance, growth and diversity of financial markets
- Lévy-driven Volterra equations in space and time
- Kusuoka-Stroock formula on configuration space and regularities of local times with jumps
- Regularity of semigroups generated by Lévy type operators via coupling
- Abstract, classic, and explicit turnpikes
- Coexistence of grass, saplings and trees in the Staver-Levin forest model
- Criteria for ergodicity of Lévy type operators in dimension one
- A note on utility indifference pricing
- On the stochastic behaviour of optional processes up to random times
- Approximation to stable law by the Lindeberg principle
- Quadratic control of stochastic hybrid systems with renewal transitions
- The continuous behavior of the numéraire portfolio under small changes in information structure, probabilistic views and investment constraints
- No-arbitrage concepts in topological vector lattices
- A capped optimal stopping problem for the maximum process
- Distributional properties of solutions of \(\text dV_{T} = V_{T-} \text dU_{T} + \text dL_T\) with Lévy noise
- Imperfect maintenance policies for warranted products under stochastic performance degradation
- Risk measures for processes and BSDEs
- Cylindrical martingale problems associated with Lévy generators
- A reading guide for last passage times with financial applications in view
- Stochastic Volterra integral equations with a parameter
- Predicting the time at which a Lévy process attains its ultimate supremum
- On some universal \(\sigma\)-finite measures related to a remarkable class of submartingales
- Modelling Electricity Futures by Ambit Fields
- Liouville theorems for non-local operators
- Further calculations for the McKean stochastic game for a spectrally negative Lévi process: from a point to an interval
- A new kind of augmentation of filtrations suitable for a change of probability measure by a strict local martingale
- Long-Term Optimal Investment in Matrix Valued Factor Models
- Clark-Ocone formula and variational representation for Poisson functionals
- Numerical simulation of nonlinear dynamical systems driven by commutative noise
- Multifractality of products of geometric Ornstein-Uhlenbeck-type processes
- Equivalent martingale measures for Lévy-driven moving averages and related processes
- Game theoretic valuation of deposit insurance under jump risk: from too small to survive to too big to fail
- On two multistable extensions of stable Lévy motion and their semi-martingale representations
- Long-term optimal portfolios with floor
- Stochastic integration with respect to canonical \(\alpha\)-stable cylindrical Lévy processes
- Invariance of Poisson measures under random transformations
- Integrability and Regularity of the Flow of Stochastic Differential Equations with Jumps
- Stochastic Integration in Banach Spaces
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