Stochastic analysis for obtuse random walks
From MaRDI portal
Publication:495716
DOI10.1007/s10959-013-0522-zzbMath1323.60062arXiv1212.2324OpenAlexW2086395507MaRDI QIDQ495716
Publication date: 15 September 2015
Published in: Journal of Theoretical Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1212.2324
stochastic integralsoption hedgingdiscrete-time normal martingaleschaotic calculusobtuse random walks
Martingales with discrete parameter (60G42) Sums of independent random variables; random walks (60G50) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Stochastic integrals (60H05)
Related Items
Malliavin calculus for marked binomial processes and applications, Bounds in total variation distance for discrete-time processes on the sequence space
Cites Work
- Unnamed Item
- Unnamed Item
- Repeated quantum interactions and Unitary random walks
- Stochastic analysis of Bernoulli processes
- Local martingales and the fundamental asset pricing theorems in the discrete-time case
- Concentration and deviation inequalities in infinite dimensions via covariance representations
- Multiple Wiener integral
- A generalized clark representation formula, with application to optimal portfolios
- Stochastic finance. An introduction in discrete time