Found 189 Documents (Results 1–100)
Joint distributions of generalized integrable increasing processes and their generalized compensators. (English. Russian original) Zbl 1540.60076
Theory Probab. Appl. 69, No. 1, 1-24 (2024); translation from Teor. Veroyatn. Primen. 69, No. 1, 3-32 (2024).
Mixed norm martingale Hardy spaces and applications in Fourier analysis. (English) Zbl 1542.42026
Aron, Richard M. (ed.) et al., Operator and norm inequalities and related topics. Cham: Birkhäuser. Trends Math., 709-739 (2022).
A representation for filtration-consistent nonlinear expectations and its application. (English) Zbl 07632258
MSC:
60H10
Doob decomposition, Dirichlet processes, and entropies on Wiener space. (English) Zbl 1497.60065
Chen, Zhen-Qing (ed.) et al., Dirichlet forms and related topics, in honor of Masatoshi Fukushima’s beiju, IWDFRT 2022, Osaka, Japan, August 22–26,2022. Singapore: Springer. Springer Proc. Math. Stat. 394, 119-141 (2022).
On the denseness of the subset of discrete distributions in a certain set of two-dimensional distributions. (English) Zbl 1504.60068
A Koopman framework for rare event simulation in stochastic differential equations. (English) Zbl 07518103
Doob’s and Burkholder-Davis-Gundy inequalities with variable exponent. (English) Zbl 1476.60080
Reviewer: Dominique Lépingle (Orléans)
Progress in the theory for martingale spaces with variable exponents. (Chinese. English summary) Zbl 1499.60137
\(\mathbb{L}^{p}\) solutions of reflected backward stochastic differential equations with jumps. (English) Zbl 1454.60084
Enlargement of filtration in discrete time. (English) Zbl 1453.60097
Jiao, Ying (ed.), From probability to finance. Lecture notes of BICMR summer school on financial mathematics, Beijing International Center for Mathematical Research, Beijing, China, May 29 – June 9, 2017. Singapore: Springer. Math. Lect. Peking Univ., 71-144 (2020).
A stochastic sewing lemma and applications. (English) Zbl 1480.60162
Reviewer: Chao Wang (Kunming)
The monotone case approach for the solution of certain multidimensional optimal stopping problems. (English) Zbl 1440.60034
MSC:
60G40
Optional decomposition of optional supermartingales and applications to filtering and finance. (English) Zbl 1496.91081
Monotonic limit theorem for \({L^p}\)-semimartingales on general time horizon. (Chinese. English summary) Zbl 1438.60050
On the uniqueness of the optional decomposition of semimartingales. (English. Russian original) Zbl 1415.60042
Math. Notes 105, No. 3, 478-482 (2019); translation from Mat. Zametki 105, No. 3, 476-480 (2019).
MSC:
60G48
A trick for investigation of near-martingales in quantum probability spaces. (English) Zbl 1458.46052
Jump-filtration consistent nonlinear expectations with \(\mathbb{L}^p\) domains. (English) Zbl 1411.60086
On a property of joint terminal distributions of locally integrable increasing processes and their compensators. (English) Zbl 1438.60056
The joint law of terminal values of a nonnegative submartingale and its compensator. (English. Russian original) Zbl 1434.60125
Theory Probab. Appl. 62, No. 2, 216-235 (2018); translation from Teor. Veroyatn. Primen. 62, No. 2, 267-291 (2017).
Doob decomposition for set-valued inverse supermartingle. (Chinese. English summary) Zbl 1438.60058
MSC:
60G48
Some results for Doob decomposition of set-valued supermartingle. (Chinese. English summary) Zbl 1424.60062
MSC:
60G48
Doob’s inequality, Burkholder-Gundy inequality and martingale transforms on martingale Morrey spaces. (English) Zbl 1399.46038
A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations. (English. French summary) Zbl 1434.60134
General time interval BSDEs under the weak monotonicity condition and nonlinear decomposition for general \(g\)-supermartingales. (English) Zbl 1394.60066
A general Doob-Meyer-Mertens decomposition for \(g\)-supermartingale systems. (English) Zbl 1343.60050
Dynamic programming for general linear quadratic optimal stochastic control with random coefficients. (English) Zbl 1312.93119
Measurability of semimartingale characteristics with respect to the probability law. (English) Zbl 1305.60031
Reviewer: Yuliya S. Mishura (Kyïv)
Double telegraph processes and complete market models. (English) Zbl 1311.60085
Reviewer: Alexander Schnurr (Dortmund)
Stochastic analysis and diffusion processes. (English) Zbl 1303.60003
Oxford Graduate Texts in Mathematics 24. Oxford: Oxford University Press (ISBN 978-0-19-965706-3/hbk; 978-0-19-965707-0/pbk). xi, 352 p. (2014).
Reviewer: Yuliya S. Mishura (Kyïv)
Reflected backward stochastic differential equations and a class of non-linear dynamic pricing rule. (English) Zbl 1285.91149
Doob-Meyer for rough paths. (English) Zbl 1297.60037
Reviewer: Jean Picard (Aubière)
A simplified proof of the Doob-Meyer theorem for nonnegative submartingales. (English. Russian original) Zbl 1278.60080
Mosc. Univ. Comput. Math. Cybern. 37, No. 3, 121-130 (2013); translation from Vestn. Mosk. Univ., Ser. XV 2013, No. 3, 49-60 (2013).
MSC:
60G44
Lévy processes conditioned on having a large height process. (English. French summary) Zbl 1295.60058
Reviewer: Alexander Schnurr (Dortmund)
SLE curves and natural parametrization. (English) Zbl 1288.60098
Reviewer: Erich Häusler (Gießen)
Extended Poisson equation for weakly ergodic Markov processes. (English) Zbl 1278.60098
Theory Probab. Math. Stat. 85, 23-39 (2012); translation from Teor. Jmovirn. Mat. Stat. 85 (2011).
Reviewer: Martin Riedler (Wien)
On absolutely continuous compensators and nonlinear filtering equations in default risk models. (English) Zbl 1282.91325
Reviewer: Aleksandr D. Borisenko (Kyïv)
Representing filtration consistent nonlinear expectations as \(g\)-expectations in general probability spaces. (English) Zbl 1254.60045
Reviewer: Dominique Lepingle (Orléans)
Almost sure asymptotic stability and convergence of stochastic theta methods applied to systems of linear SDEs in \(\mathbb R^d\). (English) Zbl 1268.65009
Primal and dual pricing of multiple exercise options in continuous time. (English) Zbl 1270.91090
Reviewer: Antoine Jacquier (London)
The first attempt on the stochastic calculus on time scale. (English) Zbl 1238.60061
Reviewer: Stavros Vakeroudis (Paris)
A direct proof of the Bichteler-Dellacherie theorem and connections to arbitrage. (English) Zbl 1232.60028
Quantum stochastic integrals and Doob-Meyer decomposition. (English) Zbl 1240.81019
Reviewer: Nicolas Privault (Singapore)
Constructing random times with given survival processes and applications to valuation of credit derivatives. (English) Zbl 1228.91070
Chiarella, Carl (ed.) et al., Contemporary quantitative finance. Essays in honour of Eckhard Platen. Papers based on the presentations at the international conference “Quantitative methods in finance”, Sydney, Australia, December 2009. Berlin: Springer (ISBN 978-3-642-03478-7/hbk). 255-280 (2010).
Reviewer: Klaus Schürger (Bonn)
Continuous stochastic processes in Riesz spaces: The Doob-Meyer decomposition. (English) Zbl 1216.46005
Reviewer: Şafak Alpay (Ankara)
On some inequalities for Doob decompositions in Banach function spaces. (English) Zbl 1221.60064
Reviewer: Christos E. Kountzakis (Karlovassi)
On quadratic \(g\)-evaluations/expectations and related analysis. (English) Zbl 1206.60057
Reviewer: Yuliya S. Mishura (Kyïv)
Doob’s decomposition of set-valued submartingales via ordered near vector spaces. (English) Zbl 1185.60047
Reviewer: Beloslav Riečan (Banská Bystrica)
MSC:
60G48
Optimal stopping time for stochastic processes in continuous time: an application to the employer’s profile formation option. (English) Zbl 1186.60037
Reviewer: Krzysztof Szajowski (Wrocław)
Pricing American contingent claims with frictions. (Chinese. English summary) Zbl 1174.91437
MSC:
91B28
60G46
Optimal stopping time for stochastic processes: an application to the employer’s profile formation option. (English) Zbl 1149.60023
On filtration enlargements and purely discontinuous martingales. (English) Zbl 1157.60038
Reviewer: Jean Picard (Aubière)
Representation theorems for quadratic \(\mathcal F\)-consistent nonlinear expectations. (English) Zbl 1155.60018
Reviewer: Klaus Schürger (Bonn)
\(G_\Gamma\)-expectations and the related nonlinear Doob-Meyer decomposition theorem. (English) Zbl 1200.60046
Tang, Shanjian (ed.) et al., Control theory and related topics. In memory of Professor Xunjing Li, Fudan, China, June 3–5, 2005. Hackensack, NJ: World Scientific (ISBN 978-981-270-582-2/hbk). 122-140 (2007).
Axiomatic characteristics for solutions of reflected backward stochastic differential equations. (English) Zbl 1200.60044
Tang, Shanjian (ed.) et al., Control theory and related topics. In memory of Professor Xunjing Li, Fudan, China, June 3–5, 2005. Hackensack, NJ: World Scientific (ISBN 978-981-270-582-2/hbk). 23-43 (2007).
What can statistics contribute to a causal understanding? (English) Zbl 1142.62001
Reviewer: R. E. Maiboroda (Kyïv)
The estimation-valued property of \(B\)-valued asymptotic martingale. (English) Zbl 1126.60032
MSC:
60G48
Towards a general Doob-Meyer decomposition theorem. (English) Zbl 1113.60037
Reviewer: Yuhu Feng (Shanghai)
Game approach to the optimal stopping problem. (English) Zbl 1084.60027
Reviewer: M. Nisio (Osaka)
An extended version of the Dalang-Morton-Willinger theorem under portfolio constraints. (English. Russian original) Zbl 1099.60034
Theory Probab. Appl. 49, No. 3, 429-443 (2005); translation from Teor. Veroyatn. Primen. 49, No. 3, 503-521 (2004).
Reviewer: Klaus Schürger (Bonn)
Nonlinear Doob-Meyer decomposition for \(g\)-supermartingales without Lipschitz condition on \(g\). (Chinese. English summary) Zbl 1061.60059
Cones and decomposition of sub- and supermartingales. (English) Zbl 1055.60039
Reviewer: Wolfgang Näther (Freiberg)
MSC:
60G48
Tanaka formula for multidimensional Brownian motions. (English) Zbl 1055.60073
Reviewer: Eckhard Giere (Clausthal-Zellerfeld)
Doob-Meyer decomposition of Hilbert space valued functions. (English) Zbl 1038.60036
Reviewer: Yuhu Feng (Shanghai)
Filtration consistent nonlinear expectations. (English) Zbl 1011.60038
Yong, Jiongmin (ed.), Recent developments in mathematical finance. Proceedings of the international conference on mathematical finance, Shanghai, China, May 10-13, 2001. Singapore: World Scientific. 99-116 (2002).
Reviewer: Alexandr B.Vasil’ev (Odessa)
Semi-order fuzzy supermartingales and submartingales with continuous time. (English) Zbl 1015.60039
Reviewer: Wolfgang Näther (Freiberg)
Stochastic processes and stochastic integration in Banach spaces. (English) Zbl 1018.60056
Pap, E. (ed.), Handbook of measure theory. Vol. I and II. Amsterdam: North-Holland. 449-502 (2002).
Reviewer: Kun Soo Chang (Seoul)
Filtration-consistent nonlinear expectations and related \(g\)-expectations. (English) Zbl 1007.60057
Reviewer: Catherine Rainer (Brest)
MSC:
60H10
Semimartingale theory and stochastic calculus. (English) Zbl 1002.60037
Kannan, D. (ed.) et al., Handbook of stochastic analysis and applications. New York, NY: Marcel Dekker. Stat., Textb. Monogr. 163, 47-105 (2001).
Reviewer: Kestutis Kubilius (Vilnius)
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