Stochastic Calculus and Applications
From MaRDI portal
Publication:5254980
DOI10.1007/978-1-4939-2867-5zbMath1338.60001OpenAlexW4235679898MaRDI QIDQ5254980
Robert J. Elliott, Samuel N. Cohen
Publication date: 11 June 2015
Published in: Probability and Its Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-1-4939-2867-5
martingalesstochastic processesstochastic controlsemimartingalesstochastic differential equationsfilteringstochastic integralsstopping timesrandom measures
Martingales with discrete parameter (60G42) Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Generalizations of martingales (60G48) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) General theory of stochastic processes (60G07) Stochastic integrals (60H05) Random measures (60G57)
Related Items
On the Monotone Stability Approach to BSDEs with Jumps: Extensions, Concrete Criteria and Examples, European Option Pricing with Stochastic Volatility Models Under Parameter Uncertainty, Reflected and doubly reflected BSDEs driven by RCLL martingales, A weak version of path-dependent functional Itô calculus, Nonlinear filtering of partially observed systems arising in singular stochastic optimal control, Optimal sizing of the sediment replenishment capacity based on robust ergodic control of subordinator-driven dynamics, Backward stochastic differential equations with regime-switching and sublinear expectations, Estimating the Matthew Effects: Switching Pareto Dynamics, LATENCY AND LIQUIDITY RISK, Sequential systems of reflected backward stochastic differential equations with application to impulse control, Stochastic filtering of a pure jump process with predictable jumps and path-dependent local characteristics, Efficient Approximation of SDEs Driven by Countably Dimensional Wiener Process and Poisson Random Measure, Strong Convergence Rates for Euler Approximations to a Class of Stochastic Path-Dependent Volatility Models, Pathwise stochastic control with applications to robust filtering, On the continuity of the root barrier, The obstacle problem for quasilinear stochastic integral-partial differential equations, Stochastic differential equations on fractal sets, Optional decomposition of optional supermartingales and applications to filtering and finance, Markov-modulated jump-diffusion models for the short rate: pricing of zero coupon bonds and convexity adjustment, BSDEs and log-utility maximization for Lévy processes, Optimal control for stochastic Volterra equations with multiplicative Lévy noise, Unbiased Deep Solvers for Linear Parametric PDEs, Existence, uniqueness and strict comparison theorems for BSDEs driven by RCLL martingales, Mean-field risk sensitive control and zero-sum games for Markov chains, Semimartingale price systems in models with transaction costs beyond efficient friction, Well-posedness of a system of SDEs driven by jump random measures, Mean–field moral hazard for optimal energy demand response management, Duality for optimal consumption with randomly terminating income, Maximum Principle for Optimal Control of Stochastic Evolution Equations with Recursive Utilities, Value function estimators for Feynman-Kac forward-backward SDEs in stochastic optimal control, Propagation of chaos for maxima of particle systems with mean-field drift interaction, Statistical causality, optional and predictable projections, Time-consistent consumption-portfolio control problems with regime-switching-modulated habit formation: an essentially cooperative approach, Notes on backward stochastic differential equations for computing XVA, Optimal reinsurance and dividend under model uncertainty, Robust optimal asset-liability management with mispricing and stochastic factor market dynamics, Maximal inequalities and some applications, Robust optimal investment strategies for mean-variance asset-liability management under 4/2 stochastic volatility models, Rogue traders, From Markov processes to semimartingales, Dynamic programming approach to reflected backward stochastic differential equations, Designing universal causal deep learning models: The geometric (Hyper)transformer, Itô stochastic differentials, A stochastic maximum principle for Markov chains of mean-field type, Efficient approximate solution of jump-diffusion SDEs via path-dependent adaptive step-size control, Diffusion process with evolution and its parameter estimation, Existence and uniqueness results for BSDE with jumps: the whole nine yards, Stochastic Games for Fuel Follower Problem: $N$ versus Mean Field Game, Anticipated backward SDEs with jumps and quadratic-exponential growth drivers, A framework of BSDEs with stochastic Lipschitz coefficients, Optimal Monitoring Schedule in Dynamic Contracts, Equilibrium price and optimal insider trading strategy under stochastic liquidity with long memory, Consumption, investment and healthcare with aging, The Joint Law of a Max-Continuous Local Submartingale and Its Maximum, Optimal investment-consumption and life insurance selection problem under inflation. A BSDE approach, Semimartingales and shrinkage of filtration, Adaptive Robust Control in Continuous Time, An extension of Pratelli's inequality, \(L^p\) solution of backward stochastic differential equations driven by a marked point process, Fractional Wishart processes and \(\varepsilon\)-fractional Wishart processes with applications, Analysis and computation of a discrete costly observation model for growth estimation and management of biological resources, The mean squared loss control problem for a partially observed Markov chain, Remarks on Föllmer's pathwise Itô calculus, BSDE representation and randomized dynamic programming principle for stochastic control problems of infinite-dimensional jump-diffusions, Koopman operator spectrum for random dynamical systems, Nash equilibria for nonzero-sum ergodic stochastic differential games, A semi-martingale representation for a semi-Markov chain with application to finance, Optimal control and zero-sum games for Markov chains of mean-field type, Event-triggered minimax state estimation with a relative entropy constraint, A probabilistic verification theorem for the finite horizon two-player zero-sum optimal switching game in continuous time, Robust filtering and propagation of uncertainty in hidden Markov models, HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS, An optimal consumption and investment problem with partial information, Optimal investment-consumption-insurance with partial information, An approximation scheme for quasi-stationary distributions of killed diffusions, Limit theorems for stochastic variational inequalities with non-Lipschitz coefficients, Realized cumulants for martingales, Parameter Uncertainty in the Kalman--Bucy Filter, On the controller-stopper problems with controlled jumps, Optimum fitting of Richards growth model in random environment, Stochastic integration with respect to cylindrical semimartingales, Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework, Gittins' theorem under uncertainty, Stability results for martingale representations: The general case, The Joint Law of Terminal Values of a Nonnegative Submartingale and Its Compensator, Markov-modulated affine processes, Hedging strategy for unit-linked life insurance contracts with self-exciting jump clustering, Martingale spaces and representations under absolutely continuous changes of probability, Dynamic credit quality evaluation with social network data, Duality for optimal consumption under no unbounded profit with bounded risk, Household consumption-investment-insurance decisions with uncertain income and market ambiguity, Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate, Unified signature cumulants and generalized Magnus expansions, A STOCHASTIC CONTROL APPROACH TO BID-ASK PRICE MODELLING, Instantons for rare events in heavy-tailed distributions
