Calcul stochastique et problèmes de martingales

DOI10.1007/BFb0064907zbMath0414.60053OpenAlexW1998107368WikidataQ98840088 ScholiaQ98840088MaRDI QIDQ599437

Jean Jacod

Publication date: 1979

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bfb0064907

zbMATH Keywords

stochastic calculusfilteringmartingale problemsrandom measuresstochastic integral equations

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Random measures (60G57) Stochastic integral equations (60H20)

Related Items

On stochastic differential equations driven by a Cauchy process and other stable Lévy motions, Minimizing shortfall risk and applications to finance and insurance problems, Optimal investment in incomplete markets when wealth may become negative., Optimal consumption choice with intertemporal substitution, Stochastic differential equation for Brox diffusion, Structure condition under initial enlargement of filtration, Optimal portfolios for logarithmic utility., Martingale representation theorems for initially enlarged filtrations., A general problem of an optimal equivalent change of measure and contingent claim pricing in an incomplete market., A Bernstein-von Mises theorem in the nonparametric right-censoring model, Fubini theorem for anticipating stochastic integrals in Hilbert space, Risk theory in a stochastic economic environment, Conservative delta hedging., A Bayesian-martingale approach to the general disorder problem, On the structure of general mean-variance hedging strategies, Polynomial diffusion models for life insurance liabilities, On pathwise stochastic integration, Evolution equations for Markov processes: Application to the white-noise theory of filtering, Mean rates of convergence of empirical measures in the Wasserstein metric, Local asymptotic quadraticity of stochastic process models based on stopping times, Arbitrage possibilities in Bessel processes and their relations to local martingales, A stability result for solutions of stochastic equations driven by point processes, Large deviations for Langevin spin glass dynamics, Log-optimal and numéraire portfolios for market models stopped at a random time, The generalized covariation process and Itô formula, Explicit description of all deflators for market models under random horizon with applications to NFLVR, Harmonic functions for a class of integro-differential operators, Convex concentration for some additive functionals of jump stochastic differential equations, A Gibson approach to infinite-dimensional Brownian diffusions, Stochastic dynamics for an infinite system of random closed strings: A Gibbsian point of view, Making no-arbitrage discounting-invariant: a new FTAP version beyond NFLVR and NUPBR, Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets, BSDEs and log-utility maximization for Lévy processes, No-arbitrage up to random horizon for quasi-left-continuous models, Weak symmetries of stochastic differential equations driven by semimartingales with jumps, Mean-variance hedging via stochastic control and BSDEs for general semimartingales, Martingale decompositions and weak differential subordination in UMD Banach spaces, Iteration of the lent particle method for existence of smooth densities of Poisson functionals, No arbitrage in continuous financial markets, Asymptotic and exact pricing of options on variance, Numerical solution of stochastic quantum master equations using stochastic interacting wave functions, Fluctuations for spatially extended Hawkes processes, Local and global pathwise solutions for a stochastically perturbed nonlinear dispersive PDE, Cone-constrained continuous-time Markowitz problems, Intensity estimation of non-homogeneous Poisson processes from shifted trajectories, Local characteristics and tangency of vector-valued martingales, Single jump filtrations and local martingales, Superposition principle for non-local Fokker-Planck-Kolmogorov operators, Optimal reduction of public debt under partial observation of the economic growth, Nonparametric Bayesian estimators for counting processes, From tick data to semimartingales, Semimartingales and shrinkage of filtration, Probabilistic approach to finite state mean field games, A Knightian irreversible investment problem, On the Cauchy problem for integro-differential operators in Hölder classes and the uniqueness of the martingale problem, Numerical approach for stochastic differential equations of fragmentation; application to avalanches, Strong-viscosity solutions: classical and path-dependent PDEs, Semimartingale stochastic approximation procedure and recursive estimation, Backward stochastic partial differential equations related to utility maximization and hedging, Asymptotic power utility-based pricing and hedging, On an integral equation for the free-boundary of stochastic, irreversible investment problems, Continuous-time public good contribution under uncertainty: a stochastic control approach, Branching processes for the fragmentation equation, No-arbitrage under additional information for thin semimartingale models, Properly discounted asset prices are semimartingales, Local martingale and pathwise solutions for an abstract fluids model, Stochastic Fubini theorem for jump noises in Banach spaces, The transformation theorem for two-parameter pure jump martingales, Convergence of local supermartingales, Two fixed point theorems in complete random normed modules and their applications to backward stochastic equations, On the weak representation property in progressively enlarged filtrations with an application in exponential utility maximization, Well-posedness of the 3D stochastic primitive equations with multiplicative and transport noise, Integro-differential optimality equations for the risk-sensitive control of piecewise deterministic Markov processes, On the martingale decompositions of Gundy, Meyer, and Yoeurp in infinite dimensions, Backward stochastic differential equations with no driving martingale, Markov processes and associated pseudo-partial differential equations. II: Decoupled mild solutions and examples, On absolute continuity and singularity of multidimensional diffusions, Optimal stopping with \(f\)-expectations: the irregular case, Lyapunov criteria for the Feller-Dynkin property of martingale problems, Optimal switching problems with an infinite set of modes: an approach by randomization and constrained backward SDEs, Stochastic compressible Euler equations and inviscid limits, Random multiple-fragmentation and flow of particles on a surface, Cylindrical martingale problems associated with Lévy generators, A dual Yamada-Watanabe theorem for Lévy driven stochastic differential equations, Limit theorems of SDEs driven by Lévy processes and application to nonlinear filtering problems, Time reversal of Markov processes with jumps under a finite entropy condition, On the equivalence between some jumping SDEs with rough coefficients and some non-local PDEs, On a theorem by A.S. Cherny for semilinear stochastic partial differential equations, Density of the set of probability measures with the martingale representation property, Shadow martingales -- a stochastic mass transport approach to the peacock problem, A stochastic calculus model of continuous trading: Complete markets, Martingale spaces and representations under absolutely continuous changes of probability, Stochastic integrals and two filtrations, On posterior consistency of survival models, On sequential estimation of parameters in semimartingale regression models with continuous time parameter., Feynman-Kac formula under a finite entropy condition, On the propagation of the weak representation property in independently enlarged filtrations: the general case, The dialectics archetypes/types (universal categorical constructions/concrete models) in the work of Alexander Grothendieck, Interview with Ulf Hashagen: exhibitions and mathematical models in the nineteenth and twentieth centuries, Strict local martingales and bubbles, Logarithmic utility maximization in an exponential Lévy model, Extended convergence to continuous in probability processes with independent increments, Rate of convergence in the functional central limit theorem for semimartingales, A propagation of chaos result for Burgers' equation, A trajectorial interpretation of the dissipations of entropy and Fisher information for stochastic differential equations, Strong supermartingales and limits of nonnegative martingales, A note on two-sided stochastic control problems, Stochastic equation of fragmentation and branching processes related to avalanches, Strong solutions for the stochastic Cahn-Hilliard-Navier-Stokes system, Drift operator in a viable expansion of information flow, Backward SDE representation for stochastic control problems with nondominated controlled intensity, Estimation of continuous-time stochastic volatility models with jumps using high-frequency data, Computable approximations for continuous-time Markov decision processes on Borel spaces based on empirical measures, On exponential local martingales associated with strong Markov continuous local martingales, Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes, Impulsive control for continuous-time Markov decision processes: a linear programming approach, On classical solutions of linear stochastic integro-differential equations, Multiplicative decompositions and frequency of vanishing of nonnegative submartingales, Fragmentation at height associated with Lévy processes, On the existence of optimal partially observed controls, Conditional Lévy processes, Variation and share-weighted variation swaps on time-changed Lévy processes, Nonsemimartingales: stochastic differential equations and weak Dirichlet processes, The Heckman-Opdam Markov processes, Some results on strong solutions of SDEs with applications to interest rate models, Utility maximization in models with conditionally independent increments, The existence of dominating local martingale measures, Stochastic analysis without probability: study of some basic tools, Representation of infinite-dimensional forward price models in commodity markets, On the loss of the semimartingale property at the hitting time of a level, On stochastic equations with measurable coefficients driven by symmetric stable processes, Markov chains approximation of jump-diffusion stochastic master equations, An analytic approach to stochastic Volterra equations with completely monotone kernels, Utility-based hedging and pricing with a nontraded asset for jump processes, A note on utility maximization with unbounded random endowment, Stochastic calculus for a time-changed semimartingale and the associated stochastic differential equations, Pathwise stochastic integration and applications to the theory of continuous trading, Realized Laplace transforms for pure-jump semimartingales, The extremal family generated by the Yule process, A representation result for finite Markov chains, ANOVA for diffusions and Itō processes, Absolute continuity for some one-dimensional processes, Model problem for integro-differential Zakai equation with discontinuous observation processes, Elementary embeddings and games in adapted probability logic, Exponential utility maximization under partial information, Statistical causality, extremal measures and weak solutions of stochastic differential equations with driving semimartingales, On the duality principle in option pricing: semimartingale setting, Time-varying jump tails, Regularity of the density for the total weighted occupation measure of super-Brownain motion, Ruin probabilities under general investments and heavy-tailed claims, Existence of an endogenously complete equilibrium driven by a diffusion, Risk measures for processes and BSDEs, Portfolio optimization with insider's initial information and counterparty risk, Arbitrage opportunities in diverse markets via a non-equivalent measure change, On \(L_p\)-theory for stochastic parabolic integro-differential equations, Martingale representation property in progressively enlarged filtrations, Utility maximisation and utility indifference price for exponential semi-martingale models and HARA utilities, The strong predictable representation property in initially enlarged filtrations under the density hypothesis, Uncertain calculus with finite variation processes, Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison, A law of the iterated logarithm for stochastic integrals, A criterium for the strict positivity of the density of the law of a Poisson process, Pathwise solutions of the 2-D stochastic primitive equations, A new formula for some linear stochastic equations with applications, Ruin probability in the Cramér-Lundberg model with risky investments, On the optimality of threshold control in queues with model uncertainty, The Föllmer-Schweizer decomposition: comparison and description, Esscher transform and the duality principle for multidimensional semimartingales, \(L^{2}\)-approximating pricing under restricted information, Existence, uniqueness and approximation of the jump-type stochastic Schrödinger equation for two-level systems, Optimal control for semilinear evolution equations, Variance-optimal hedging for processes with stationary independent increments, A note on the no arbitrage condition for international financial markets, Nonlinear stochastic integrals for hyperfinite Lévy processes, COGARCH as a continuous-time limit of GARCH(1,1), On Hölder solutions of the integro-differential Zakai equation, Minimal Hellinger martingale measures of order \(q\), Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting, An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint, Information, no-arbitrage and completeness for asset price models with a change point, Second-order BSDEs with jumps: formulation and uniqueness, The martingale problem for a class of stable-like processes, Comparing the minimal Hellinger martingale measure of order \(q\) to the \(q\)-optimal martingale measure, Optimal Markov strategies for controlled Ito processes, On quasi likelihood for semimartingales, Optimal portfolio for a small investor in a market model with discontinuous prices, Une extension des théorèmes de Ray et Knight sur les temps locaux Browniens. (An extension of the theorems of Ray and Knight on Brownian local times), On the variation distance for probability measures defined on a filtered space, Web Markov skeleton processes and their applications, Quasi-stationary distributions and diffusion models in population dynamics, Decoupled mild solutions of path-dependent PDEs and integro PDEs represented by BSDEs driven by cadlag martingales, Robustness in the theory of nonlinear filtration, Continuity properties of Hilbert space valued martingales, Properties of solutions of stochastic differential equations, Mortality and aging in a heterogeneous population: A stochastic process model with observed and unobserved variables, Systems weakened by failures, Stability theorem for stochastic differential equations with jumps, Weak convergence of semimartingales and discretisation methods, On the existence of solutions of stochastic differential equations with singular drifts, Hawkes processes on large networks, On contiguity of probability measures corresponding to semimartingales, Forward, backward and symmetric stochastic integration, General dynamic term structures under default risk, Asymptotic inference for semimartingale models with singular parameter points, Exponential families of stochastic processes and Lévy processes, Invariance principles in mathematical statistics, Uniqueness and absolute continuity of weak solutions for parabolic SPDE's, Ruin problems and myopic portfolio optimization in continuous trading, Formes de Dirichlet générales et densité des variables aléatoires réelles sur l'espace de Wiener. (General Dirichlet forms and density of real random variables on Wiener space), Information structures and viable price systems, G-stable convergence of semimartingales, Reflecting or sticky Markov processes with Lévy generators as the limit of storage processes, Multiperiod security markets with differential information, A stability theorem for stochastic differential equations with application to storage processes, random walks and optimal stochastic control problems, On the use of semimartingales and stochastic integrals to model continuous trading, Zero-sum discounted reward criterion games for piecewise deterministic Markov processes, The small-mass limit and white-noise limit of an infinite dimensional generalized Langevin equation, Strong consistency of least squares estimates in linear regression models driven by semimartingales, Perfect cocycles through stochastic differential equations, Partial likelihood process and asymptotic normality, Local time and excursions of reflected Brownian motion in a wedge, Convergence en loi des suites d'integrales stochastiques sur l'espace \({\mathbb{D}}^ 1\) de Skorokhod. (Convergence in law of sequences of stochastic integrals on the Skorokhod space \({\mathbb{D}}^ 1)\), Stochastic multiplicative measures, generalized Markov semigroups, and group-valued stochastic processes and fields, Convergence towards Burger's equation and propagation of chaos for weakly asymmetric exclusion processes, Contingent claims valuation when the security price is a combination of an Itō process and a random point process, A large scale analysis of unreliable stochastic networks, Uniqueness and propagation of chaos for the Boltzmann equation with moderately soft potentials, Green measures of Ito processes, Point processes indexed by directed sets, General Wald-type identities for exchangeable sequences and processes, Laws of large numbers for semimartingales with applications to stochastic regression, Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach, Mean-variance hedging based on an incomplete market with external risk factors of non-Gaussian OU processes, On the Hellinger type distances for filtered experiments, Stability of strong solutions of stochastic differential equations, A law of large numbers for wide range eclusion processes in random media, Random time change and an integral representation for marked stopping times, Optimal consumption and portfolio policies when asset prices follow a diffusion process, On complete securities markets and the martingale property of securities prices, Weak Dirichlet processes with jumps, From Tanaka's formula to Itô's formula: The fundamental theorem of stochastic calculus, An enlargement of filtration formula with applications to multiple non-ordered default times, Rational hedging and valuation of integrated risks under constant absolute risk aversion., A complete explicit solution to the log-optimal portfolio problem., Factorization of a multiplicative functional of nonlinear filtering theory, Special weak Dirichlet processes and BSDEs driven by a random measure, Locally most powerful sequential tests for stochastic processes, Martingales and stochastic integrals in the theory of continuous trading, Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem, Nonanticipative risk sensitive control: the martingale method., The valuation of American call options on the minimum of two dividend-paying assets, Existence of optimal controls for a partially observed semimartingale, Existence and uniqueness results for BSDE with jumps: the whole nine yards, Doubly reflected BSDEs and \(\mathcal{E} ^{{f}}\)-Dynkin games: beyond the right-continuous case, On tightness and stopping times, Weak convergence of stochastic point processes, Financial options and statistical prediction intervals, An extension of a theorem of K. Yamada to equations ``with memory, Optimal consumption from investment and random endowment in incomplete semimartingale markets., Option hedging for semimartingales, Propriétés de martingales, explosion et représentation de Lévy- Khintchine d'une classe de processus de branchement à valeurs mesures. (Martingale properties, explosions and Levy-Khinchine representation of measure valued branching processes), Dynkin game with asymmetric information, Itô's formula for pseudo-processes, Martingale representation for degenerate diffusions, Some time change representations of stable integrals, via predictable transformations of local martingales, Non-parametric estimation of the spiking rate in systems of interacting neurons, Remarks on the stochastic integral, Martingale densities for general asset prices, A continuous-time portfolio turnpike theorem, \(L^p\) solution of backward stochastic differential equations driven by a marked point process, Local asymptotic mixed normality for semimartingale experiments, Strong approximation of locally square-integrable martingales, Mixed control problem under partial observation, Variance swaps on time-changed Lévy processes, On the robustness of backward stochastic differential equations., A parallel between Brownian bridges and gamma bridges, Fractional generalizations of Zakai equation and some solution methods, Some Markov processes with Brownian exit distributions, Sharp conditions for certain ruin in a risk process with stochastic return on investments, Additional logarithmic utility of an insider, Residual risks and hedging strategies in Markovian markets, Dominated families of martingale, supermartingale and quasimartingale laws, A strong law of large numbers for vector Gaussian martingales and a statistical application in linear regression, Multi-dimensional Bessel processes as heavy traffic limits of certain tandem queues, On a stochastic evolution equation, On solutions of one-dimensional stochastic differential equations driven by stable Lévy motion, Time reversal and reflected diffusions, Generalization of an inequality of Birnbaum and Marshall, with applications to growth rates for submartingales, Embedding a stochastic difference equation into a continuous-time process, Order of convergence of regression parameter estimates in models with infinite variance, Stochastic integrals of point processes and the decomposition of two- parameter martingales, Filtered statistical models and Hellinger processes, The asymptotic elasticity of utility functions and optimal investment in incomplete markets, Stability results for a general class of interacting point processes dynamics, and applications, Backward stochastic differential equation with random measures, Valuation and martingale properties of shadow prices: an exposition, Large deviation principle in nonparametric estimation of marked point processes, Completeness of securities market models -- an operator point of view, \(\mathcal E\)-martingales and their applications in mathematical finance, Two limit theorems for queueing systems around the convergence of stochastic integrals with respect to renewal processes, Rate conservation laws: A survey, Controlled Diffusion Mean Field Games with Common Noise and McKean--Vlasov Second Order Backward SDEs, An Example of Martingale Representation in Progressive Enlargement by an Accessible Random Time, Optimal Control of Piecewise Deterministic Markov Processes, A note on the Flesaker-Hughston model of the term structure of interest rates, Optimal consumption with Hindy–Huang–Kreps preferences under nonlinear expectations, Weak Solutions of Forward–Backward SDE's, Backward Stochastic PDE and Imperfect Hedging, AnS-Related DCV Generated by a Convex Function in a Jump Market, On the existence and characterization of arbitrage–free measure in contingent claim valuation, Three Essays on Exponential Hedging with Variable Exit Times, A note on completeness in large financial markets, Efficient and superefficient estimators of filtered Poisson process intensities, PRICING FOR GEOMETRIC MARKED POINT PROCESSES UNDER PARTIAL INFORMATION: ENTROPY APPROACH, Martingales with sufficient statistics, Statistical causality, martingale problems and local uniqueness, Martingale representations in progressive enlargement by the reference filtration of a semi-martingale: a note on the multidimensional case, On the existence of semimartingales with continuous characteristics, Product and moment formulas for iterated stochastic integrals (associated with Lévy processes), Martingale representation in progressively enlarged Lévy filtrations, Hamilton-Jacobi-Bellman inequality for the average control of piecewise deterministic Markov processes, An axiomatic approach to the valuation of cash flows, MARTINGALE REPRESENTATIONS IN PROGRESSIVE ENLARGEMENT BY MULTIVARIATE POINT PROCESSES, The mixed Novikov–Kazamaki type condition for the uniform integrability of the general stochastic exponential, A comparison theorem for stochastic equations of optional semimartingales, L^p-solution for BSDEs with jumps in the casep<2, Log-Optimal Portfolio without NFLVR: Existence, Complete Characterization, and Duality, Unnamed Item, On the minimal martingale measure and the möllmer-schweizer decomposition, When Capital Is a Funding Source: The Anticipated Backward Stochastic Differential Equations of X-Value Adjustments, Options Prices in Incomplete Markets, Martingale representation processes and applications in the market viability under information flow expansion, Game Options in an Imperfect Market with Default, DETERMINISTIC CRITERIA FOR THE ABSENCE AND EXISTENCE OF ARBITRAGE IN MULTI-DIMENSIONAL DIFFUSION MARKETS, Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models, Toward A Convergence Theory For Continuous Stochastic Securities Market Models¹, Optimal Sure Portfolio Plans, A Characterization of Complete Security Markets On A Brownian Filtration¹, A Martingale Representation Result and an Application to Incomplete Financial Markets, Structure Conditions under Progressively Added Information, Stability of Traveling Waves for Reaction-Diffusion Equations with Multiplicative Noise, The identification problem for BSDEs driven by possibly non-quasi-left-continuous random measures, Filtrage d'une diffusion reflechie a sauts, observee a travers un processus ponctuel marque, Defaultable Bond Markets with Jumps, Skeletal stochastic differential equations for superprocesses, An Open-System Approach to Complex Biological Networks, UTILITY MAXIMIZATION IN A PURE JUMP MODEL WITH PARTIAL OBSERVATION, Anomalous Diffusions in Option Prices: Connecting Trade Duration and the Volatility Term Structure, Time Discrete Taylor Approximations for It?? Processes with Jump Component, The Joint Law of a Max-Continuous Local Submartingale and Its Maximum, Local strong solutions to the stochastic compressible Navier–Stokes system, Unnamed Item, On the McKean-Vlasov Limit for Interacting Diffusions, TIME‐CHANGED ORNSTEIN–UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS, The It{\^o}-Tanaka Trick: a non-semimartingale approach, Necessary conditions for optimal singular stochastic control problems, A note on 𝐿₂-estimates for stable integrals with drift, The Mean-Variance Hedging in a Bond Market with Jumps, Interacting Brownian particles and Gibbs fields on pathspaces, Change of filtrations and mean–variance hedging, The calculus of boundary processes, On the Convergence of thep-Optimal Martingale Measures to the Minimal Entropy Martingale Measure, On a Class of Path-Dependent Singular Stochastic Control Problems, Computable approximations for average Markov decision processes in continuous time, On a multiplicative functional transformation arising in nonlinear filtering theory, A stochastic jump inventory model with deteriorating items, Central limit theorems for local martingales, Unnamed Item, On a Comparison Result for Markov Processes, Semimartingales and Markov processes, Stability analysis for a class of nonlinear time-changed systems, MARKOWITZ'S PORTFOLIO OPTIMIZATION IN AN INCOMPLETE MARKET, [https://portal.mardi4nfdi.de/wiki/Publication:4188519 Un th�or�me de Vitali-Hahn-Saks pour les semimartingales], Existence of weak solutions for stochastic differential equations with driving semimartingales, [https://portal.mardi4nfdi.de/wiki/Publication:4194221 Espaces de semi martingales et changement de probabilit�], Path-dependent martingale problems and additive functionals, Stochastic integrators with stationary independent increments, A MODEL FOR HIGH FREQUENCY DATA UNDER PARTIAL INFORMATION: A FILTERING APPROACH, Successive enlargement of filtrations and application to insider information, THE FUNDAMENTAL THEOREMS OF ASSET PRICING AND THE CLOSED-END FUND PUZZLE, Backward stochastic Volterra integral equations with jumps in a general filtration, Stability results for martingale representations: The general case, The Joint Law of Terminal Values of a Nonnegative Submartingale and Its Compensator, Constrained BSDEs Driven by a Non-Quasi-Left-Continuous Random Measure and Optimal Control of PDMPs on Bounded Domains, WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS, Impulsive Control for Continuous-Time Markov Decision Processes, THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS, Modelling electricity prices: a time change approach, Filtering formulas and the ./M/1 queue in a quasireversible network, Valuation and Parities for Exchange Options, Characterizations and embedding properties in exchangeability, Power Utility Maximization Problems Under Partial Information and Information Sufficiency in a Brownian Setting, Weak Euler Approximation for Itô Diffusion and Jump Processes, On a problem of necessary and sufficient conditions in the functional central limit theorem for local martingales, Unnamed Item, On the predictable representation property of martingales associated with Lévy processes, The generalized Langevin equation with power-law memory in a nonlinear potential well, Feynman–Kac equation for anomalous processes with space- and time-dependent forces, A general poisson approximation theorem, Statistical causality and local uniqueness for solutions of the martingale problem, Calcul des variations stochastique et processus de sauts, Recursive parameter estimation for counting processes with linear intensity, BOUNDS ON OPTION PRICES IN POINT PROCESS DIFFUSION MODELS, Partially informed investors: hedging in an incomplete market with default, Stochastic exponentials and logarithms on stochastic intervals. A survey, Strong approximation of stochastic differential equations driven by a time-changed Brownian motion with time-space-dependent coefficients, Optimal control of piecewise deterministic Markov processes: a BSDE representation of the value function, Random Time with Differentiable Conditional Distribution Function, Strong solutions of stochastic differential equations for multiparameter processes, Girsanov Theory Under a Finite Entropy Condition, Power utility maximization under partial information: some convergence results, Some dimension-free features of vector-valued martingales, Asymptotic properties of local densities of measures generated by semimartingales, On a Connection between Power and Logarithmic Utility Maximization Problems in the Exponential Lévy Model, Strong approximations of semimartingales by processes with independent increments, On Gittins' index theorem in continuous time, Conditions for optimality in the infinite-horizon portfolio-cum-saving problem with semimartingale investments, Modeling Capital Gains Taxes for Trading Strategies of Infinite Variation, The exp-UIV for Markets with Partial Information and Complete Information, On Stochastic Differential Equations with Reflecting Barriers, Stochastic product integral w.r.t infinite dimensional semimartingale i - exponentials of semimartingales, On the one-dimensional distributions of counting processes with stochastic intensities^†, Unnamed Item, Fractional generalizations of filtering problems and their associated fractional Zakai equations, Measure-valued random processes, Stochastic product integral w.r.t. infinite dimensional semimartingale:ii–uniform operator topology case, Parameter sensitivity in stochastic optimal control^∗, Functional Itô versus Banach space stochastic calculus and strict solutions of semilinear path-dependent equations, Regularity of solutions of linear stochastic equations in hilbert spaces, SDEs driven by a time-changed Lévy process and their associated time-fractional order pseudo-differential equations, Explicit Description of HARA Forward Utilities and Their Optimal Portfolios, Expected Utility Maximization for Exponential Lévy Models with Option and Information Processes, Integral representation of martingales motivated by the problem of endogenous completeness in financial economics, A functional limit theorem for stochastic integrals driven by a time-changed symmetric \(\alpha\)-stable Lévy process, Stochastic variational inequalities with jumps, BSDEs driven by time-changed Lévy noises and optimal control, Local and global existence of smooth solutions for the stochastic Euler equations with multiplicative noise, On the Cauchy problem for integro-differential operators in Sobolev classes and the martingale problem, A general model in risk theory. An application of modern martingale theory. Part one: Theoretic foundations, Controlled Heterogeneous Collection: The Role of Occupation Numbers, The Minimal Entropy and the Convergence of thep-Optimal Martingale Measures in a General Jump Model, Power variation from second order differences for pure jump semimartingales, Time-changed CIR default intensities with two-sided mean-reverting jumps, An Analytical Valuation Framework for Financial Assets with Trading Suspensions, Change of variable formulas for non-anticipative functionals, A NOTE ON REAL-WORLD AND RISK-NEUTRAL DYNAMICS FOR HEATH–JARROW–MORTON FRAMEWORKS, A partially observed ultra-high-frequency data model: risk-minimizing hedging, The numéraire portfolio in semimartingale financial models, On convergence to the exponential utility problem, On convergence in variation of the distributions of multivariate point processes, Mean Variance Hedging in a General Jump Model, GIRSANOV TRANSFORMATION AND ITS APPLICATION TO THE THEORY OF ENLARGEMENT OF FILTRATIONS, [https://portal.mardi4nfdi.de/wiki/Publication:3317833 Semi-martingales index�es par une partie de ?d et formule de lto. Cas continu], Reflected brownian motion in a wedge: Semimartingale property, Existence and uniqueness of the solutions of stochastic differential equations, Solvability of backward stochastic differential equations with quadratic growth, Euclidean quantum mechanics in the momentum representation, Stopped Doob inequality forp-th moment, 0 <p<∞, stochastic convolution integrals, Fragmentation associated with Lévy processes using snake, Diffusion approximation of stochastic master equations with jumps, Semimartingales gaussiennes — application au probleme de l'innovation, Inequalities for upcrossings of semimartingales via skorohod embedding, Ruin probability in the presence of risky investments, Processus à accroissements indépendants: Une condition nécessaire et suffisante de convergence en loi, The Mean-Variance Hedging of a Defaultable Option with Partial Information, Two parameter optimal stopping and bi-Markov processes, Local times for a class of purely discontinuous martingales, Last exit decompositions and regularity at the boundary of transition probabilities, A stopped Doob inequality for stochastic convolution integrals and stochastic evolution equations, Stochastic integral representation and regularity of the density for the exit measure of super-Brownian motion, [https://portal.mardi4nfdi.de/wiki/Publication:3347061 �quations de type de Boltzmann, spatialement homog�nes], MEAN VARIANCE HEDGING IN A GENERAL JUMP MARKET, Modelling a multitype branching Brownian motion: Filtering of a measure-valued process, The Predictable Representation Property of Compensated-Covariation Stable Families of Martingales, MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL, Up and down credit risk, A Markov Model for the Spread of Viruses in an Open Population, Locally Ф-integrable σ-martingale densitiesfor general semimartingales, Quadratic BSDEs with jumps: Related nonlinear expectations, Constrained and Unconstrained Optimal Discounted Control of Piecewise Deterministic Markov Processes, Fokker-Planck-Kolmogorov equations associated with time-changed fractional Brownian motion, The Dynamic Convex Valuation Related to the Price Process in a Market with General Jumps, A Weak Dynamic Programming Principle for Combined Optimal Stopping/Stochastic Control with ${\cal E}^{f}$-expectations, INFORMATION ASYMMETRY IN PRICING OF CREDIT DERIVATIVES, THE COMPATIBLE BOND-STOCK MARKET WITH JUMPS, Regularity of the density of a stable-like driven SDE with Hölder continuous coefficients, Mean-Variance Hedging in Large Financial Markets, On the Nonlinear Filtering Equations for Superprocesses in Random Environment, Small-Time Asymptotics of Option Prices and First Absolute Moments, Applications of the Quadratic Covariation Differentiation Theory: Variants of the Clark-Ocone and Stroock's Formulas, Storage-Limited Queues in Heavy Traffic, Some properties of the variance-optimal martingale measure for discontinuous semimartingales, STATISTICAL CAUSALITY AND STABLE SUBSPACES OF, Local Time and a Tanaka Formula for a Class of Discontinuous Measure-Valued Branching Processes, Investment with Sequence Losses in an Uncertain Environment and Mean-Variance Hedging, Stochastic integrals on general topological measurable spaces, Risk minimizing hedging for a partially observed high frequency data model, Perpetual barrier options in jump-diffusion models, Distance de Hellinger-Kakutani des lois correspondant à deux processus à accroissements indépendants, A simple proof of Kramkov's result on uniform supermartingale decompositions, A Note on One-Dimensional Stochastic Equations, Jump Diffusion Approximation for the Price Dynamics of a Fully State Dependent Limit Order Book Model, Unnamed Item, Robust utility maximization with nonlinear continuous semimartingales, Strong solutions for the stochastic Allen-Cahn-Navier-Stokes system, The sticky Lévy process as a solution to a time change equation, Functional equations for the stochastic exponential, Some Remarks on Enlargement of Filtration and Finance, Stochastic Processes in the Decades after 1950, Encounters with Martingales in Stochastic Control, Rates of convergence for the number of zeros of random trigonometric polynomials, Convex duality for partial hedging of American options: continuous price processes, Birth death swap population in random environment and aggregation with two timescales, CBI-time-changed Lévy processes, Weak Dirichlet processes and generalized martingale problems, Rough paths and SPDE, Diffusive limits of Lipschitz functionals of Poisson measures, Representation for martingales living after a random time with applications, Adaptive discounted control for piecewise deterministic Markov processes, Nonlinear continuous semimartingales, Option pricing with illiquidity during a high volatile period, Kalikow decomposition for counting processes with stochastic intensity and application to simulation algorithms, The martingale problem method revisited, A subdiffusive stochastic volatility jump model, Rogue traders, A palm space approach to non-linear Hawkes processes, Time changes and stationarity issues for extended scalar autoregressive models, Unnamed Item, MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS, Canonical representation of weak semimartingales defined on the plane, Some results on quadratic hedging with insider trading, Weak convergence of semimartingales, On one-dimensional stochastic differential equations driven by stable processes, Existence of Arrow-Radner equilibrium with endogenously complete markets under incomplete information, The optimal consumption function in a Brownian model of accumulation. Part A: The consumption function as solution of a boundary value problem, Pricing issues with investment flows. Applications to market models with frictions, Density estimate in small time for jump processes with singular Lévy measures, Derivatives pricing viap-optimal martingale measures: some extreme cases, Optimal stopping, free boundary, and American option in a jump-diffusion model, Supermartingales as Radon-Nikodym densities and related measure extensions, Unnamed Item, Absolute continuity and singularity of probability measures induced by a purely discontinuous Girsanov transform of a stable process, Unified signature cumulants and generalized Magnus expansions