Quelques applications de la formule de changement de variables pour les semimartingales

Cites Work

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On Square Integrable Martingales
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Transformation of Markov processes by multiplicative functionals
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Cited In (65)

JUMP PROCESSES UNDER PARTIAL OBSERVATIONS: FINITE STATE APPROXIMATION
The Girsanov theorem without (so much) stochastic analysis
Stochastic Processes in the Decades after 1950
On VIX futures in the rough Bergomi model
General matrix-valued inhomogeneous linear stochastic differential equations and applications
Levy systems and absolutely continuous changes of measure for a jump process
Changes of filtrations and of probability measures
`Analogies,' `interpretations,' `images,' `systems,' and `models': some remarks on the history of abstract representation in the sciences since the nineteenth century
The dialectics archetypes/types (universal categorical constructions/concrete models) in the work of Alexander Grothendieck
Stochastic Integral Representation of Multiplicative Operator Functionals of a Wiener Process
A note on exponential martingales
Calcul des variations stochastique et processus de sauts
Optimal Investment-consumption for Partially Observed Jump-diffusions
Valuation and martingale properties of shadow prices: an exposition
Conditions for optimality in the infinite-horizon portfolio-cum-saving problem with semimartingale investments
Un probl�me de contr�le stochastique avec observation partielle
Wealth optimization and dual problems for jump stock dynamics with stochastic factor
On stochastic equations with respect to semimartingales I.^†
Gaugeability and conditional gaugeability
�tude des solutions extr�males et repr�sentation int�grale des solutions pour certains probl�mes de martingales
Stochastic calculus as a tool in survival analysis: A review
Minimal martingale measure: pricing and hedging in a pure jump model under restricted information
Utility-based hedging and pricing with a nontraded asset for jump processes
A PDE approach to jump-diffusions
Caract�ristiques locales et conditions de continuit� absolue pour les semi-martingales
Stochastic product integral w.r.t. infinite dimensional semimartingale:ii–uniform operator topology case
Stability of Dirichlet heat kernel estimates for non-local operators under Feynman-Kac perturbation
Remarks on the rate of strong convergence of Euler-Maruyama approximation for SDEs driven by rotation invariant stable processes
Stability of backward stochastic differential equations
Representation of gaussian processes equivalent to a gaussian martingalet
Asymptotic properties of local densities of measures generated by semimartingales
On exponentials of additive functionals of Markov processes
Control of jump processes and applications
Title not available (Why is that?)
On the uniqueness of a local martingale with a given absolute value
Optimality criteria for controlled discontinuous processes
PRICING FOR GEOMETRIC MARKED POINT PROCESSES UNDER PARTIAL INFORMATION: ENTROPY APPROACH
An equilibrium asset pricing model based on Lévy processes: Relations to stochastic volatility, and the survival hypothesis
A representation for a process governed by a system of stochastic equations of filtration type
Examples of Nonlinear Continuous Tensor Products of Measure Spaces and Non-Fock Factorizations
Title not available (Why is that?)
An alternative approach to nonlinear filtering
Quantum stochastic calculus
Path-dependent backward stochastic Volterra integral equations with jumps, differentiability and duality principle
Simplified calculus for semimartingales: multiplicative compensators and changes of measure
Transformation of H p -martingales by a change of law
A note on the inhomogeneous linear stochastic differential equation.
Analytic characterization of conditional gaugeability for non-local Feynman-Kac transforms
A functional Itô's calculus approach to convex risk measures with jump diffusion
Risk-neutral measures and pricing for a pure jump price process
First steps towards an equilibrium theory for Lévy financial markets
On Bayesian nonparametric estimation for stochastic processes
Optimal Sure Portfolio Plans
On VIX futures in the rough Bergomi model
Simplified stochastic calculus via semimartingale representations
Trait-dependent branching particle systems with competition and multiple offspring
Quadratic-exponential functionals of Gaussian quantum processes
UTILITY MAXIMIZATION WITH INTERMEDIATE CONSUMPTION UNDER RESTRICTED INFORMATION FOR JUMP MARKET MODELS
AN ESTIMATE OF THE APPROXIMATION ERROR IN THE FILTERING OF A DISCRETE JUMP PROCESS
Stochastic integrals: A combinatorial approach
A general model in risk theory. An application of modern martingale theory. Part one: Theoretic foundations
Stochastic calculus as a tool in survival analysis: A review
Martingales, potentials and exponentials associated with a two-parameter jump process
Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models
Sur l'int�grabilit� uniforme des martingales exponentielles

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