Optional processes. Theory and applications

DOI10.1201/9780429442490zbMATH Open1471.60003OpenAlexW3033194416MaRDI QIDQ5113837FDOQ5113837

Authors Mohamed N. Abdelghani, Alexander Melnikov

Publication date 18 June 2020

Full work available at URL https://doi.org/10.1201/9780429442490

zbMATH Keywords

portfolio theoryoptional processes

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Portfolio theory (91G10) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30) Financial applications of other theories (91G80) Foundations of stochastic processes (60G05)

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Cited in

(5)

• Parameter estimation in optional semimartingale regression models
• SDEs with two reflecting barriers driven by optional processes with regulated trajectories
• Financial markets in the context of the general theory of optional processes
• On comparison theorem for optional SDEs via local times and applications
• On statistical estimation and inferences in optional regression models

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