Works matching DE "SEMIMARTINGALES (Mathematics)"
Results: 195
New Central Limit Theorems for Functionals of Gaussian Processes and their Applications.
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- Methodology & Computing in Applied Probability, 2012, v. 14, n. 3, p. 477, doi. 10.1007/s11009-011-9236-9
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On the Best Constants in Some Non-Commutative Martingale Inequalities.
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- Bulletin of the London Mathematical Society, 2005, v. 37, n. 2, p. 243, doi. 10.1112/S0024609304003947
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The Ito Formula for Perturbed Brownian Martingales.
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- Bulletin of the London Mathematical Society, 2000, v. 32, n. 6, p. 736, doi. 10.1112/S0024609300007712
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Skew Disperson and Continuity of Local Time.
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- Journal of Statistical Physics, 2014, v. 156, n. 2, p. 384, doi. 10.1007/s10955-014-1010-2
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A Note on Utility Maximization with Unbounded Random Endowment.
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- Asia-Pacific Financial Markets, 2011, v. 18, n. 1, p. 89, doi. 10.1007/s10690-010-9122-4
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Multivalued monotone stochastic differential equations with jumps.
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- Stochastics & Dynamics, 2017, v. 17, n. 3, p. -1, doi. 10.1142/S0219493717500186
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Well-posedness of Stratonovich multi-valued SDEs driven by semimartingales.
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- Stochastics & Dynamics, 2014, v. 14, n. 4, p. -1, doi. 10.1142/S0219493714500051
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MIMICKING FINITE DIMENSIONAL MARGINALS OF A CONTROLLED DIFFUSION WITH JUMPS.
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- Stochastics & Dynamics, 2014, v. 14, n. 1, p. -1, doi. 10.1142/S0219493713500111
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A UNIFYING APPROACH TO FRACTIONAL LÉVY PROCESSES.
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- Stochastics & Dynamics, 2013, v. 13, n. 2, p. 1250017-1, doi. 10.1142/S0219493712500177
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STOCHASTIC INTEGRATION FOR FRACTIONAL BROWNIAN MOTION IN A HILBERT SPACE.
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- Stochastics & Dynamics, 2006, v. 6, n. 1, p. 53, doi. 10.1142/S0219493706001645
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Conjugation of Flows for Stochastic and Random Functional Differential Equations.
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- Stochastics & Dynamics, 2001, v. 1, n. 2, p. 283, doi. 10.1142/S021949370100014X
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Replication of Contingent Claims in a Reduced-Form Credit Risk Model with Discontinuous Asset Prices.
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- Stochastic Models, 2006, v. 22, n. 4, p. 661, doi. 10.1080/15326340600878313
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Semimartingale Theory and Practice.
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- Quantitative Finance, 2004, v. 4, n. 2, p. C27
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CALENDAR.
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- Quantitative Finance, 2004, v. 4, n. 2, p. C26, doi. 10.1088/1469-7688/4/2/M01
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Pricing Asian options in a semimartingale model.
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- Quantitative Finance, 2004, v. 4, n. 2, p. 170, doi. 10.1088/1469-7688/4/2/006
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Mixed sub-fractional Brownian motion.
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- Random Operators & Stochastic Equations, 2014, v. 22, n. 3, p. 163, doi. 10.1515/rose-2014-0017
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An ergodic-type theorem for generalized Ornstein-Uhlenbeck processes.
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- Random Operators & Stochastic Equations, 2013, v. 21, n. 3, p. 217, doi. 10.1515/rose-2013-0011
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Stationary distribution of a two-dimensional SRBM: geometric views and boundary measures.
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- Queueing Systems, 2013, v. 74, n. 2/3, p. 181, doi. 10.1007/s11134-012-9339-1
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Nonnegativity of solutions to the basic adjoint relationship for some diffusion processes.
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- Queueing Systems, 2011, v. 68, n. 3/4, p. 295, doi. 10.1007/s11134-011-9236-z
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Conjectures on tail asymptotics of the marginal stationary distribution for a multidimensional SRBM.
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- Queueing Systems, 2011, v. 68, n. 3/4, p. 251, doi. 10.1007/s11134-011-9251-0
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Reflected Brownian motion in the quadrant: tail behavior of the stationary distribution.
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- Queueing Systems, 2009, v. 61, n. 2/3, p. 113, doi. 10.1007/s11134-008-9102-9
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Forward guidance and the predictability of monetary policy: a wavelet-based jump detection approach.
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- Journal of the Royal Statistical Society: Series C (Applied Statistics), 2016, v. 65, n. 2, p. 299, doi. 10.1111/rssc.12119
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Noncommutative Blackwell-Ross martingale inequality.
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- Infinite Dimensional Analysis, Quantum Probability & Related Topics, 2018, v. 21, n. 1, p. -1, doi. 10.1142/S0219025718500054
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UNIQUENESS OF DECOMPOSITIONS OF SKOROHOD-SEMIMARTINGALES.
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- Infinite Dimensional Analysis, Quantum Probability & Related Topics, 2011, v. 14, n. 1, p. 15, doi. 10.1142/S0219025711004274
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Radonification of Cylindrical Semimartingales by a Single Hilbert–Schmidt Operator.
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- Infinite Dimensional Analysis, Quantum Probability & Related Topics, 2002, v. 5, n. 3, p. 429, doi. 10.1142/S0219025702000936
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An enlargement of filtration formula with applications to multiple non-ordered default times.
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- Finance & Stochastics, 2018, v. 22, n. 1, p. 205, doi. 10.1007/s00780-017-0349-z
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Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs.
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- Finance & Stochastics, 2018, v. 22, n. 1, p. 161, doi. 10.1007/s00780-017-0351-5
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A BSDE approach to fair bilateral pricing under endogenous collateralization.
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- Finance & Stochastics, 2016, v. 20, n. 4, p. 855, doi. 10.1007/s00780-016-0306-2
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Additive subordination and its applications in finance.
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- Finance & Stochastics, 2016, v. 20, n. 3, p. 589, doi. 10.1007/s00780-016-0300-8
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A general HJM framework for multiple yield curve modelling.
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- Finance & Stochastics, 2016, v. 20, n. 2, p. 267, doi. 10.1007/s00780-016-0291-5
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Facelifting in utility maximization.
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- Finance & Stochastics, 2016, v. 20, n. 1, p. 99, doi. 10.1007/s00780-015-0274-y
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Forward equations for option prices in semimartingale models.
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- Finance & Stochastics, 2015, v. 19, n. 3, p. 617, doi. 10.1007/s00780-015-0265-z
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Fragility of arbitrage and bubbles in local martingale diffusion models.
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- Finance & Stochastics, 2015, v. 19, n. 2, p. 215, doi. 10.1007/s00780-015-0256-0
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Optimal investment and price dependence in a semi-static market.
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- Finance & Stochastics, 2015, v. 19, n. 1, p. 161, doi. 10.1007/s00780-014-0245-8
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Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption.
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- Finance & Stochastics, 2015, v. 19, n. 1, p. 135, doi. 10.1007/s00780-014-0248-5
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Portfolio optimization under convex incentive schemes.
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- Finance & Stochastics, 2014, v. 18, n. 4, p. 873, doi. 10.1007/s00780-014-0236-9
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Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension.
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- Finance & Stochastics, 2014, v. 18, n. 3, p. 487, doi. 10.1007/s00780-014-0230-2
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Shifting martingale measures and the birth of a bubble as a submartingale.
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- Finance & Stochastics, 2014, v. 18, n. 2, p. 297, doi. 10.1007/s00780-013-0221-8
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A note on the condition of no unbounded profit with bounded risk.
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- Finance & Stochastics, 2014, v. 18, n. 2, p. 393, doi. 10.1007/s00780-014-0229-8
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Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model.
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- Finance & Stochastics, 2013, v. 17, n. 4, p. 771, doi. 10.1007/s00780-013-0209-4
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Market viability via absence of arbitrage of the first kind.
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- Finance & Stochastics, 2012, v. 16, n. 4, p. 651, doi. 10.1007/s00780-012-0172-5
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Hedging variance options on continuous semimartingales.
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- Finance & Stochastics, 2010, v. 14, n. 2, p. 179, doi. 10.1007/s00780-009-0110-3
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From implied to spot volatilities.
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- Finance & Stochastics, 2010, v. 14, n. 2, p. 157, doi. 10.1007/s00780-009-0112-1
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The numéraire portfolio in semimartingale financial models.
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- Finance & Stochastics, 2007, v. 11, n. 4, p. 447, doi. 10.1007/s00780-007-0047-3
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Comparison of Option Prices in Semimartingale Models.
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- Finance & Stochastics, 2006, v. 10, n. 2, p. 222, doi. 10.1007/s00780-006-0001-9
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Financial equilibria in the semimartingale setting: Complete markets and markets with withdrawal constraints.
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- Finance & Stochastics, 2006, v. 10, n. 1, p. 99, doi. 10.1007/s00780-005-0175-6
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Utility maximization in incomplete markets for unbounded processes.
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- Finance & Stochastics, 2005, v. 9, n. 4, p. 493, doi. 10.1007/s00780-005-0163-x
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A semimartingale BSDE related to the minimal entropy martingale measure.
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- Finance & Stochastics, 2003, v. 7, n. 3, p. 385, doi. 10.1007/s007800200090
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Utility maximization in incomplete markets with random endowment.
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- Finance & Stochastics, 2001, v. 5, n. 2, p. 259
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Semimartingale representation of fractional Riesz-Bessel motion.
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- Finance & Stochastics, 2001, v. 5, n. 1, p. 83, doi. 10.1007/PL00000041
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