Works matching DE "SEMIMARTINGALES (Mathematics)"

Results: 210

NON-EXPLOSION AND PATHWISE UNIQUENESS OF STRONG SOLUTIONS FOR JUMP-TYPE STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY OPTIONAL SEMIMARTINGALES UNDER NON-LIPSCHITZ CONDITIONS.

Published in:

TWMS Journal of Applied & Engineering Mathematics, 2025, v. 15, n. 7, p. 1726

By:

HADDADI, M.;
AKDIM, K.

Publication type:

Article

Testing mean stationarity of intraday volatility curves.

Published in:

Quantitative Economics, 2025, v. 16, n. 3, p. 1059, doi. 10.3982/QE2644

By:

Andersen, Torben G.;
Tan, Yingwen;
Todorov, Viktor;
Zhang, Zhiyuan

Publication type:

Article

Kontsevich Integral Invariants for Random Trajectories.

Published in:

Ukrainian Mathematical Journal, 2015, v. 67, n. 1, p. 62, doi. 10.1007/s11253-015-1065-5

By:

Kuznetsov, V.

Publication type:

Article

Smoothing Problem in Anticipating Scenario.

Published in:

Ukrainian Mathematical Journal, 2005, v. 57, n. 9, p. 1424, doi. 10.1007/s11253-006-0005-9

By:

Dorogovtsev, A. A.

Publication type:

Article

Almost sure exponential numerical stability of balanced Maruyama with two step approximations of stochastic time delay Hopfield neural networks.

Published in:

Computational Methods for Differential Equations, 2024, v. 12, n. 1, p. 136, doi. 10.22034/cmde.2023.55861.2330

By:

Kopperundevi, Sivarajan

Publication type:

Article

Stability of Stochastic Reaction-Diffusion Recurrent Neural Networks with Unbounded Distributed Delays.

Published in:

Discrete Dynamics in Nature & Society, 2011, p. 1, doi. 10.1155/2011/570295

By:

Chuangxia Huang;
Xinsong Yang;
Yigang He;
Lehua Huang

Publication type:

Article

Almost Surely Asymptotic Stability of Numerical Solutions for Neutral Stochastic Delay Differential Equations.

Published in:

Discrete Dynamics in Nature & Society, 2011, p. 1, doi. 10.1155/2011/217672

By:

Zhanhua Yu;
Mingzhu Liu

Publication type:

Article

Realized Multi-Power Variation Process for Jump Detection in the Nigerian All Share Index.

Published in:

Tamkang Journal of Mathematics, 2021, v. 52, n. 3, p. 397, doi. 10.5556/j.tkjm.52.2021.3497

By:

Adeosun, Mabel Eruore;
Ugbebor, Olabisi Oreofe

Publication type:

Article

TRAJECTORY-BASED MODELS, ARBITRAGE AND CONTINUITY.

Published in:

International Journal of Theoretical & Applied Finance, 2016, v. 19, n. 3, p. -1, doi. 10.1142/S0219024916500151

By:

ALVAREZ, ALEXANDER;
FERRANDO, SEBASTIAN E.

Publication type:

Article

GENERALIZED BN-S STOCHASTIC VOLATILITY MODEL FOR OPTION PRICING.

Published in:

International Journal of Theoretical & Applied Finance, 2016, v. 19, n. 2, p. -1, doi. 10.1142/S021902491650014X

By:

SENGUPTA, INDRANIL

Publication type:

Article

PRICING AND HEDGING OF ENERGY SPREAD OPTIONS AND VOLATILITY MODULATED VOLTERRA PROCESSES.

Published in:

International Journal of Theoretical & Applied Finance, 2016, v. 19, n. 1, p. -1, doi. 10.1142/S0219024916500023

By:

BENTH, FRED ESPEN;
ZDANOWICZ, HANNA

Publication type:

Article

PROGRESSIVE FILTRATION EXPANSIONS VIA A PROCESS, WITH APPLICATIONS TO INSIDER TRADING.

Published in:

International Journal of Theoretical & Applied Finance, 2015, v. 18, n. 4, p. -1, doi. 10.1142/S0219024915500272

By:

KCHIA, YOUNES;
PROTTER, PHILIP

Publication type:

Article

A CONCISE CHARACTERIZATION OF OPTIMAL CONSUMPTION WITH LOGARITHMIC PREFERENCES.

Published in:

International Journal of Theoretical & Applied Finance, 2013, v. 16, n. 6, p. -1, doi. 10.1142/S0219024913500350

By:

KORN, RALF;
SEIFRIED, FRANK THOMAS

Publication type:

Article

BROWNIAN SEMISTATIONARY PROCESSES AND CONDITIONAL FULL SUPPORT.

Published in:

International Journal of Theoretical & Applied Finance, 2011, v. 14, n. 4, p. 579, doi. 10.1142/S0219024911006747

By:

PAKKANEN, MIKKO S.

Publication type:

Article

Noncommutative Blackwell-Ross martingale inequality.

Published in:

Infinite Dimensional Analysis, Quantum Probability & Related Topics, 2018, v. 21, n. 1, p. -1, doi. 10.1142/S0219025718500054

By:

Talebi, Ali;
Moslehian, Mohammad Sal;
Sadeghi, Ghadir

Publication type:

Article

UNIQUENESS OF DECOMPOSITIONS OF SKOROHOD-SEMIMARTINGALES.

Published in:

Infinite Dimensional Analysis, Quantum Probability & Related Topics, 2011, v. 14, n. 1, p. 15, doi. 10.1142/S0219025711004274

By:

DI NUNNO, GIULIA;
ØKSENDAL, BERNT;
PAMEN, OLIVIER MENOUKEU;
PROSKE, FRANK;
Obata, N.

Publication type:

Article

Radonification of Cylindrical Semimartingales by a Single Hilbert–Schmidt Operator.

Published in:

Infinite Dimensional Analysis, Quantum Probability & Related Topics, 2002, v. 5, n. 3, p. 429, doi. 10.1142/S0219025702000936

By:

Jakubowski, Adam;
Kwapień, Stanisław;
de Fitte, Paul Raynaud;
Rosiński, Jan

Publication type:

Article

EXPLORING MULTI-RESOLUTION AND MULTI-SCALING VOLATILITY FEATURES.

Published in:

Fractals, 2004, v. 12, n. 2, p. 179, doi. 10.1142/S0218348X04002513

By:

Capobianco, Enrico

Publication type:

Article

Fractional Smoothness of Some Stochastic Integrals.

Published in:

Acta Mathematica Sinica, 2007, v. 23, n. 6, p. 1053, doi. 10.1007/s10114-005-0859-z

By:

Peng Xie;
Xi Cheng Zhang

Publication type:

Article

A Useful Extension of Itô’s Formula with Applications to Optimal Stopping.

Published in:

Acta Mathematica Sinica, 2005, v. 21, n. 4, p. 779, doi. 10.1007/s10114-004-0524-y

By:

Alsmeyer, Gerold;
Jaeger, Markus

Publication type:

Article

On delay-dependent stability for a class of nonlinear stochastic delay-differential equations.

Published in:

Mathematics of Control, Signals & Systems, 2006, v. 18, n. 2, p. 187, doi. 10.1007/s00498-006-0163-1

By:

Rodkina, Alexandra;
Basin, Michael

Publication type:

Article

Distributed stochastic consensus of multi-agent systems with noisy and delayed measurements.

Published in:

IET Control Theory & Applications (Wiley-Blackwell), 2013, v. 7, n. 10, p. 1359, doi. 10.1049/iet-cta.2012.0613

By:

Jun Liu;
Hongtao Zhang;
Xinzhi Liu;
Wei-Chau Xie

Publication type:

Article

Affine processes under parameter uncertainty.

Published in:

Probability, Uncertainty & Quantitative Risk, 2019, v. 4, n. 1, p. N.PAG, doi. 10.1186/s41546-019-0039-1

By:

Fadina, Tolulope;
Neufeld, Ariel;
Schmidt, Thorsten

Publication type:

Article

Pre-averaging estimate of high dimensional integrated covariance matrix with noisy and asynchronous high-frequency data.

Published in:

Random Matrices: Theory & Application, 2018, v. 7, n. 3, p. N.PAG, doi. 10.1142/S2010326318500053

By:

Liu, Zhi;
Xia, Xiaochao;
Zhou, Guoliang

Publication type:

Article

Understanding limit theorems for semimartingales: a short survey.

Published in:

Statistica Neerlandica, 2010, v. 64, n. 3, p. 329, doi. 10.1111/j.1467-9574.2010.00460.x

By:

Podolskij, Mark;
Vetter, Mathias

Publication type:

Article

Multivariate elliptic processes.

Published in:

Statistica Neerlandica, 2010, v. 64, n. 3, p. 352, doi. 10.1111/j.1467-9574.2010.00465.x

By:

Bingham, N. H.;
Fry, John M.;
Kiesel, Rüdiger

Publication type:

Article

Optimal maintenance scheduling for a complex manufacturing system subject to deterioration.

Published in:

Annals of Operations Research, 2014, v. 217, n. 1, p. 1, doi. 10.1007/s10479-014-1543-4

By:

Ahmadi, Reza

Publication type:

Article

AN ASYMPTOTIC FORMULA FOR THE SEMIMARTINGALE LOCAL TIME OF REFLECTING BROWNIAN MOTION ON AN INTERVAL.

Published in:

Bulletin of the Transilvania University of Brasov, Series III: Mathematics, Informatics, Physics, 2014, v. 7, n. 56-1, p. 47

By:

PASCU, Mihai N.;
PASCU, Nicolae R.;
RACHIERU, Oana

Publication type:

Article

STATISTICAL CAUSALITY AND MARTINGALE REPRESENTATION PROPERTY WITH APPLICATION TO STOCHASTIC DIFFERENTIAL EQUATIONS.

Published in:

Bulletin of the Australian Mathematical Society, 2014, v. 90, n. 2, p. 327, doi. 10.1017/S000497271400029X

By:

PETROVIĆ, LJILJANA;
VALJAREVIĆ, DRAGANA

Publication type:

Article

Stability analysis of stochastic reaction-diffusion delayed neural networks with Levy noise.

Published in:

Neural Computing & Applications, 2011, v. 20, n. 4, p. 535, doi. 10.1007/s00521-011-0541-6

By:

Peng, Jun;
Liu, Zaiming

Publication type:

Article

INFERENCE FOR THE JUMP PART OF QUADRATIC VARIATION OF ITÔ SEMIMARTINGALES.

Published in:

Econometric Theory, 2010, v. 26, n. 2, p. 331, doi. 10.1017/S0266466609100014

By:

Veraart, Almut E. D.

Publication type:

Article

REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS.

Published in:: Econometric Theory, 2008, v. 24, n. 4, p. 888, doi. 10.1017/S0266466608080365
Publication type:: Article

LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS.

Published in:

Econometric Theory, 2006, v. 22, n. 4, p. 677

By:

Ole E. Barndorff-Nielsen;
Svend Erik Graversen;
Jean Jacod;
Neil Shephard

Publication type:

Article

Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models.

Published in:

Applied Mathematical Finance, 2017, v. 24, n. 1, p. 23, doi. 10.1080/1350486X.2017.1327324

By:

Criens, David;
Glau, Kathrin;
Grbac, Zorana

Publication type:

Article

A SEMIMARTINGALE CHARACTERIZATION OF AVERAGE OPTIMAL STATIONARY POLICIES FOR MARKOV DECISION PROCESSES.

Published in:

Journal of Applied Mathematics & Stochastic Analysis, 2006, p. 1, doi. 10.1155/JAMSA/2006/81593

By:

Quanxin Zhu;
Xianping Guo

Publication type:

Article

SOME SELF-ADJOINT QUANTUM SEMIMARTINGALES.

Published in:

Proceedings of the London Mathematical Society, 2006, v. 92, n. 3, p. 791, doi. 10.1017/S0024611505015650

By:

BELTON, ALEXANDER C. R.

Publication type:

Article

Fock Space and the Poisson Process.

Published in:

Proceedings of the London Mathematical Society, 2004, v. 89, n. 3, p. 787, doi. 10.1112/S0024611504014820

By:

S. Pathmanathan;
G. F. Vincent-Smith

Publication type:

Article

Locally Ф-integrable σ-martingale densitiesfor general semimartingales.

Published in:

Stochastics: An International Journal of Probability & Stochastic Processes, 2016, v. 88, n. 2, p. 191, doi. 10.1080/17442508.2015.1052809

By:

Choulli, Tahir;
Schweizer, Martin

Publication type:

Article

Small time central limit theorems for semimartingales with applications.

Published in:

Stochastics: An International Journal of Probability & Stochastic Processes, 2015, v. 87, n. 5, p. 723, doi. 10.1080/17442508.2014.1000326

By:

Gerhold, Stefan;
Kleinert, Max;
Porkert, Piet;
Shkolnikov, Mykhaylo

Publication type:

Article

Lévy processes and quasi-shuffle algebras.

Published in:

Stochastics: An International Journal of Probability & Stochastic Processes, 2014, v. 86, n. 4, p. 632, doi. 10.1080/17442508.2013.865131

By:

Curry, Charles;
Ebrahimi-Fard, Kurusch;
Malham, Simon J.A.;
Wiese, Anke

Publication type:

Article

Stochastic differential equations with time-dependent reflecting barriers.

Published in:

Stochastics: An International Journal of Probability & Stochastic Processes, 2013, v. 85, n. 1, p. 27, doi. 10.1080/17442508.2011.651212

By:

S?omi?ski, Leszek;
Wojciechowski, Tomasz

Publication type:

Article

The stochastic Fubini theorem revisited.

Published in:

Stochastics: An International Journal of Probability & Stochastic Processes, 2012, v. 84, n. 4, p. 543, doi. 10.1080/17442508.2011.618883

By:

Veraar, Mark

Publication type:

Article

Nonlinear stochastic integration with a non-smooth family of integrators.

Published in:

Stochastics: An International Journal of Probability & Stochastic Processes, 2012, v. 84, n. 1, p. 37, doi. 10.1080/17442508.2011.616206

By:

Kühn, Christoph

Publication type:

Article

On the combinatorics of iterated stochastic integrals.

Published in:

Stochastics: An International Journal of Probability & Stochastic Processes, 2011, v. 83, n. 1, p. 1, doi. 10.1080/17442508.2010.539010

By:

Jamshidian, Farshid

Publication type:

Article

Representation of Gaussian semimartingales with applications to the covariance function.

Published in:

Stochastics: An International Journal of Probability & Stochastic Processes, 2010, v. 82, n. 4, p. 381, doi. 10.1080/17442500903251857

By:

Basse-O'Connor, Andreas

Publication type:

Article

On the implicit Black-Scholes formula.

Published in:

Stochastics: An International Journal of Probability & Stochastic Processes, 2008, v. 80, n. 1, p. 97, doi. 10.1080/17442500701607706

By:

Hamza, Kais;
Klebaner, Fima C.

Publication type:

Article

Mixed Brownian–fractional Brownian model: absence of arbitrage and related topics

Published in:

Stochastics: An International Journal of Probability & Stochastic Processes, 2006, v. 78, n. 5, p. 281, doi. 10.1080/17442500600859317

By:

Androshchuk, Taras;
Mishura, Yuliya

Publication type:

Article

Metrics on the set of semimartingale filtrations.

Published in:

2006

By:

Ankirchner, Stefan

Publication type:

Abstract

Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps.

Published in:

Annals of the Institute of Statistical Mathematics, 2015, v. 67, n. 4, p. 707, doi. 10.1007/s10463-014-0473-x

By:

Bibinger, Markus;
Vetter, Mathias

Publication type:

Article

Replication of Contingent Claims in a Reduced-Form Credit Risk Model with Discontinuous Asset Prices.

Published in:

Stochastic Models, 2006, v. 22, n. 4, p. 661, doi. 10.1080/15326340600878313

By:

Bielecki, TomaszR.;
Jeanblanc, Monique;
Rutkowski, Marek

Publication type:

Article