Works matching DE "SEMIMARTINGALES (Mathematics)"

Results: 208

Is (Independent) Subordination Relevant in Equity Derivatives?

Published in:

Applied Stochastic Models in Business & Industry, 2025, v. 41, n. 3, p. 1, doi. 10.1002/asmb.2904

By:

Azzone, Michele;
Baviera, Roberto

Publication type:

Article

Real‐time detection of local no‐arbitrage violations.

Published in:

Quantitative Economics, 2025, v. 16, n. 2, p. 459, doi. 10.3982/QE2585

By:

Andersen, Torben G.;
Todorov, Viktor;
Zhou, Bo

Publication type:

Article

INSTANTANEOUS CONTROL OF BROWNIAN MOTION.

Published in:

Mathematics of Operations Research, 1983, v. 8, n. 3, p. 439, doi. 10.1287/moor.8.3.439

By:

Harrison, J. Michael;
Taksar, Michael I.

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

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

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

DUALITY IN OPTIMAL INVESTMENT AND CONSUMPTION PROBLEMS WITH MARKET FRICTIONS.

Published in:

Mathematical Finance, 2007, v. 17, n. 2, p. 225, doi. 10.1111/j.1467-9965.2006.00301.x

By:

Klein, I.;
Rogers, L. C. G.

Publication type:

Article

ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS.

Published in:

Mathematical Finance, 2005, v. 15, n. 2, p. 203, doi. 10.1111/j.0960-1627.2005.00217.x

By:

Hugonnier, Julien;
Kramkov, Dmitry;
Schachermayer, Walter

Publication type:

Article

VALUE PRESERVING STRATEGIES AND A GENERAL FRAMEWORK FOR LOCAL APPROACHES TO OPTIMAL PORTFOLIOS.

Published in:

Mathematical Finance, 2000, v. 10, n. 2, p. 227, doi. 10.1111/1467-9965.00091

By:

Korn, Ralf

Publication type:

Article

A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON.

Published in:

Mathematical Finance, 1994, v. 4, n. 3, p. 259, doi. 10.1111/j.1467-9965.1994.tb00095.x

By:

Brace, Alan;
Musiela, Marek

Publication type:

Article

OPTIMAL REPLACEMENT UNDER PARTIAL OBSERVATIONS.

Published in:

Mathematics of Operations Research, 2003, v. 28, n. 2, p. 382, doi. 10.1287/moor.28.2.382.14484

By:

Makis, V.;
Jiang, X.

Publication type:

Article

Decomposition of Order Statistics of Semimartingales Using Local Times.

Published in:

Stochastic Analysis & Applications, 2010, v. 28, n. 3, p. 467, doi. 10.1080/07362991003708341

By:

GHOMRASNI, RAOUF;
PAMEN, OLIVIER MENOUKEU

Publication type:

Article

An S-Related DCV Generated by a Convex Function in a Jump Market.

Published in:

Stochastic Analysis & Applications, 2010, v. 28, n. 2, p. 202, doi. 10.1080/07362990903546389

By:

XIONG, DEWEN;
KOHLMANN, MICHAEL

Publication type:

Article

Mean-Variance Hedging in Large Financial Markets.

Published in:

Stochastic Analysis & Applications, 2009, v. 27, n. 6, p. 1129, doi. 10.1080/07362990903259223

By:

Campi, Luciano

Publication type:

Article

On a Class of Generalized Integrands.

Published in:

Stochastic Analysis & Applications, 2007, v. 25, n. 6, p. 1167, doi. 10.1080/07362990701567272

By:

De Donno, Marzia

Publication type:

Article

Topological Solutions of Noncommutative Stochastic Differential Equations.

Published in:

Stochastic Analysis & Applications, 2007, v. 25, n. 5, p. 961, doi. 10.1080/07362990701540345

By:

Ekhaguere, G. O. S.

Publication type:

Article

Attraction and Stochastic Asymptotic Stability and Boundedness of Stochastic Functional Differential Equations with Respect to Semimartingales.

Published in:

Stochastic Analysis & Applications, 2006, v. 24, n. 6, p. 1169, doi. 10.1080/07362990600958937

By:

Chenggui Yuan;
Xuerong Mao

Publication type:

Article

Arrow-Mangasarian Sufficient Conditions for Controlled Semimartingales.

Published in:

Stochastic Analysis & Applications, 2006, v. 24, n. 5, p. 929, doi. 10.1080/07362990600869902

By:

Framstad, Nils Chr.

Publication type:

Article

A Differentiation Theory for Itô's Calculus.

Published in:

Stochastic Analysis & Applications, 2006, v. 24, n. 2, p. 367, doi. 10.1080/07362990500522411

By:

Allouba, Hassan

Publication type:

Article

Lévy-Type Stochastic Integrals with Regularly Varying Tails.

Published in:

Stochastic Analysis & Applications, 2005, v. 23, n. 3, p. 595, doi. 10.1081/SAP-200056692

By:

Applebaum, David

Publication type:

Article

High Order Stochastic Inclusions and Their Applications.

Published in:

Stochastic Analysis & Applications, 2005, v. 23, n. 2, p. 401, doi. 10.1081/SAP-200050129

By:

Michta, Mariusz;
Motyl, Jerzy

Publication type:

Article

On Weak Solutions to Stochastic Differential Inclusions Driven by Semimartingales.

Published in:

Stochastic Analysis & Applications, 2004, v. 22, n. 5, p. 1341, doi. 10.1081/SAP-200026471

By:

Michta, Mariusz

Publication type:

Article

Vague Convergence of Semimartingale Random Measures.

Published in:

Stochastic Analysis & Applications, 2004, v. 22, n. 2, p. 315, doi. 10.1081/SAP-120028592

By:

Yingchao Xie

Publication type:

Article

Integration with Respect to Hilbert Space-Valued Semimartingales via Jacod-Grigelionis Characteristics.

Published in:

Stochastic Analysis & Applications, 2003, v. 21, n. 5, p. 1141, doi. 10.1081/SAP-120024707

By:

Nowak, Piotr

Publication type:

Article

Asymptotic Stability and Boundedness of Stochastic Differential Equations with Respect to Semimartingales.

Published in:

Stochastic Analysis & Applications, 2003, v. 21, n. 3, p. 737, doi. 10.1081/SAP-120020434

By:

Yuan, Chenggui;
Mao, Xuerong

Publication type:

Article

ON JACOD–GRIGELIONIS CHARACTERISTICS FOR HILBERT SPACE VALUED SEMIMARTINGALES.

Published in:

Stochastic Analysis & Applications, 2002, v. 20, n. 5, p. 963, doi. 10.1081/SAP-120014551

By:

Nowak, Piotr

Publication type:

Article

ANTICIPATIVE STOCHASTIC INTEGRALS EQUATIONS DRIVEN BY SEMIMARTINGALES.

Published in:

Stochastic Analysis & Applications, 2002, v. 20, n. 4, p. 755, doi. 10.1081/SAP-120006106

By:

Chao, Tsung-Ming;
Chou, Ching-Sung

Publication type:

Article

STOCHASTIC INCLUSIONS WITH MULTIVALUED INTEGRATORS.

Published in:

Stochastic Analysis & Applications, 2002, v. 20, n. 4, p. 847, doi. 10.1081/SAP-120006111

By:

Michta, Mariusz

Publication type:

Article

ON SAVINGS ACCOUNTS IN SEMIMARTINGALE TERM STRUCTURE MODELS.

Published in:

Stochastic Analysis & Applications, 2001, v. 19, n. 4, p. 605, doi. 10.1081/SAP-100002104

By:

Döberlein, Frank;
Schweizer, Martin

Publication type:

Article

Data-Driven Jump Detection Thresholds for Application in Jump Regressions.

Published in:

Econometrics (2225-1146), 2018, v. 6, n. 2, p. 16, doi. 10.3390/econometrics6020016

By:

Davies, Robert;
Tauchen, George

Publication type:

Article

Long-Term Risk: A Martingale Approach.

Published in:

Econometrica, 2017, v. 85, n. 1, p. 299, doi. 10.3982/ECTA13438

By:

Qin, Likuan;
Linetsky, Vadim

Publication type:

Article

Generalized Method of Integrated Moments for High-Frequency Data.

Published in:

Econometrica, 2016, v. 84, n. 4, p. 1613, doi. 10.3982/ECTA12306

By:

Li, Jia;
Xiu, Dacheng

Publication type:

Article

ROBUST ESTIMATION AND INFERENCE FOR JUMPS IN NOISY HIGH FREQUENCY DATA: A LOCAL-TO-CONTINUITY THEORY FOR THE PRE-AVERAGING METHOD.

Published in:

Econometrica, 2013, v. 81, n. 4, p. 1673, doi. 10.3982/ECTA10534

By:

JIA LI

Publication type:

Article

INFERENCE FOR CONTINUOUS SEMIMARTINGALES OBSERVED AT HIGH FREQUENCY.

Published in:

Econometrica, 2009, v. 77, n. 5, p. 1403, doi. 10.3982/ECTA7417

By:

Mykland, Per A.;
Lan Zhang

Publication type:

Article

The Itô-Tanaka Trick: a non-semimartingale approach.

Published in:

ALEA. Latin American Journal of Probability & Mathematical Statistics, 2022, v. 19, n. 1, p. 881, doi. 10.30757/ALEA.v19-35

By:

Coutin, Laure;
Duboscq, Romain;
Réveillac, Anthony

Publication type:

Article

A Doob-Meyer decomposition under model ambiguity: the case of compactness.

Published in:

ALEA. Latin American Journal of Probability & Mathematical Statistics, 2021, v. 18, p. 617, doi. 10.30757/ALEA.v18-24

By:

Treviño-Aguilar, Erick

Publication type:

Article

On the semimartingale property of Brownian bridges on complete manifolds.

Published in:

ALEA. Latin American Journal of Probability & Mathematical Statistics, 2019, v. 16, p. 15, doi. 10.30757/ALEA.v16-02

By:

Güneysu, Batu

Publication type:

Article

Path-dependent Itô formulas under (p, g)-variations.

Published in:

ALEA. Latin American Journal of Probability & Mathematical Statistics, 2016, v. 13, p. 1, doi. 10.30757/alea.v13-01

By:

Ohashi, Alberto;
Shamarova, Evelina;
Shamarov, Nikolai N.

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

New Central Limit Theorems for Functionals of Gaussian Processes and their Applications.

Published in:

Methodology & Computing in Applied Probability, 2012, v. 14, n. 3, p. 477, doi. 10.1007/s11009-011-9236-9

By:

Corcuera, José

Publication type:

Article

Stochastic Equations in the Problems of Semimartingale Parameter Estimation.

Published in:

Journal of Mathematical Sciences, 2004, v. 121, n. 6, p. 2709, doi. 10.1023/B:JOTH.0000028706.94242.a6

By:

Toronjadze, T.

Publication type:

Article