Optional processes. Theory and applications

DOI10.1201/9780429442490MaRDI QIDQ5113837zbMATH OpenOpenAlexFDO

Authors Mohamed N. Abdelghani, Alexander Melnikov

Publication date 18 June 2020

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

zbMATH Keywords

optional processesportfolio theory

Mathematics Subject Classification ID

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

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Cited in

(7)

• Financial markets in the context of the general theory of optional processes
• On statistical estimation and inferences in optional regression models
• On comparison theorem for optional SDEs via local times and applications
• Parameter estimation in optional semimartingale regression models
• SDEs with two reflecting barriers driven by optional processes with regulated trajectories
• Stochastic differential equations with respect to optional semimartingales and two reflecting regulated barriers
• Criteria for what makes a local optional martingale a true martingale

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