Martingale Analysis for Assets with Discontinuous Returns

DOI10.1287/MOOR.20.1.243zbMATH Open0820.60061OpenAlexW2150583266MaRDI QIDQ4835397FDOQ4835397

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

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zbMATH Keywords

investmentpoint processesoptimal consumptionequivalent martingale measurestochastic intensity

Mathematics Subject Classification ID

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

Cited In (12)

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

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