Martingale Analysis for Assets with Discontinuous Returns

DOI10.1287/moor.20.1.243zbMath0820.60061OpenAlexW2150583266MaRDI QIDQ4835397

Xiuli Chao, Indrajit Bardhan

Publication date: 31 August 1995

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/moor.20.1.243

zbMATH Keywords

equivalent martingale measurepoint processesinvestmentoptimal consumptionstochastic intensity

Mathematics Subject Classification ID

Diffusion processes (60J60) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (10)

ASYMMETRIC INFORMATION IN A FINANCIAL MARKET WITH JUMPS ⋮ Stochastic multi-agent equilibria in economies with jump-diffusion uncertainty ⋮ On martingale measures when asset returns have unpredictable jumps ⋮ OPTIMAL PROPORTIONAL REINSURANCE AND INVESTMENT PROBLEM WITH CONSTRAINTS ON RISK CONTROL IN A GENERAL JUMP-DIFFUSION FINANCIAL MARKET ⋮ A simulation environment for discontinuous portfolio value processes ⋮ Portfolio selection: a review ⋮ The equilibrium allocation of diffusive and jump risks with heterogeneous agents ⋮ Wealth optimization in an incomplete market driven by a jump-diffusion process ⋮ Continuous-time mean–variance portfolio selection with value-at-risk and no-shorting constraints ⋮ Dynamic asset allocation with loss aversion in a jump-diffusion model

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