Stochastic integration theory.

MaRDI QIDQ5429730zbMATH OpenFDO

Authors Péter Medvegyev

Publication date 4 December 2007

zbMATH Keywords

martingalesstochastic integralsstochastic processes

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with discrete parameter (60G42) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

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Cited in

(31)

• Causality between stopped filtrations and some applications
• Set-valued stochastic integrals and applications
• Lévy processes and infinitely divisible measures in the dual of a nuclear space
• Quantifying the effects of anagenetic and cladogenetic evolution
• Uniform integrability of exponential processes
• Itô's formula for flows of measures on semimartingales
• Statistical causality and stable subspaces of H^p
• On natural and predictable processes
• The first attempt on the stochastic calculus on time scale
• Stochastic dynamic equations on time scales
• scientific article; zbMATH DE number 3909457 (Why is no real title available?)
• Statistical causality and orthogonality of local martingales
• Statistical causality and extremal measures
• Stochastic analysis and applications
• scientific article; zbMATH DE number 921069 (Why is no real title available?)
• On exponential functionals of Lévy processes
• A central limit theorem for punctuated equilibrium
• Exact simulation of extrinsic stress-release processes
• Statistical causality and purely discontinuous local martingales
• Stochastic analysis
• A framework of BSDEs with stochastic Lipschitz coefficients
• Trajectorial market models: arbitrage and pricing intervals
• Entry and exit decisions with linear costs under uncertainty
• Stochastic differential equations. An introduction with applications.
• A Course of Stochastic Analysis
• Test martingales, Bayes factors and \(p\)-values
• Probability theory II. Stochastic calculus. Translated from the Italian
• The Jacod-Yor theorem for sigma martingales and the second fundamental
• Mean field equilibrium asset pricing model under partial observation: an exponential quadratic Gaussian approach
• New proofs to measurable, predictable and optional section theorems
• Stochastic analysis in discrete and continuous settings. With normal martingales.

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