Jansen, H. M. Weak convergence of stochastic integrals with respect to the state occupation measure of a Markov chain. (English) Zbl 1470.60105 J. Appl. Probab. 58, No. 2, 372-393 (2021). MSC: 60F17 60H05 PDFBibTeX XMLCite \textit{H. M. Jansen}, J. Appl. Probab. 58, No. 2, 372--393 (2021; Zbl 1470.60105) Full Text: DOI arXiv
Sass, Jörn; Westphal, Dorothee; Wunderlich, Ralf Diffusion approximations for randomly arriving expert opinions in a financial market with Gaussian drift. (English) Zbl 1458.91208 J. Appl. Probab. 58, No. 1, 197-216 (2021). MSC: 91G15 91G10 93E11 93E20 60F25 PDFBibTeX XMLCite \textit{J. Sass} et al., J. Appl. Probab. 58, No. 1, 197--216 (2021; Zbl 1458.91208) Full Text: DOI arXiv
Jacquier, Antoine; Pakkanen, Mikko S.; Stone, Henry Pathwise large deviations for the rough Bergomi model. (English) Zbl 1405.60037 J. Appl. Probab. 55, No. 4, 1078-1092 (2018); corrigendum ibid. 58, No. 3, 849-850 (2021). MSC: 60F10 60G22 91G20 60G15 PDFBibTeX XMLCite \textit{A. Jacquier} et al., J. Appl. Probab. 55, No. 4, 1078--1092 (2018; Zbl 1405.60037) Full Text: DOI arXiv Link
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Lee, Young; Rheinländer, Thorsten The minimal entropy martingale measure for exponential Markov chains. (English) Zbl 1276.60079 J. Appl. Probab. 50, No. 2, 344-358 (2013). Reviewer: Weiping Li (Stillwater) MSC: 60J25 60G44 91G20 91G10 91B25 PDFBibTeX XMLCite \textit{Y. Lee} and \textit{T. Rheinländer}, J. Appl. Probab. 50, No. 2, 344--358 (2013; Zbl 1276.60079) Full Text: DOI Euclid
Durrleman, Valdo Convergence of at-the-money implied volatilities to the spot volatility. (English) Zbl 1152.91682 J. Appl. Probab. 45, No. 2, 542-550 (2008). MSC: 91B70 60F05 60H05 PDFBibTeX XMLCite \textit{V. Durrleman}, J. Appl. Probab. 45, No. 2, 542--550 (2008; Zbl 1152.91682) Full Text: DOI