Biagini, Francesca; Reitsam, Thomas A dynamic version of the super-replication theorem under proportional transaction costs. (English) Zbl 1507.91210 Stochastic Anal. Appl. 41, No. 1, 80-101 (2023). MSC: 91G15 91G20 60G07 PDFBibTeX XMLCite \textit{F. Biagini} and \textit{T. Reitsam}, Stochastic Anal. Appl. 41, No. 1, 80--101 (2023; Zbl 1507.91210) Full Text: DOI arXiv
Sala, Carlo; Barone-Adesi, Giovanni Sentiment lost: the effect of projecting the pricing kernel onto a smaller filtration set. (English) Zbl 1445.91064 Stochastic Anal. Appl. 38, No. 4, 686-707 (2020). MSC: 91G20 60G44 62P05 PDFBibTeX XMLCite \textit{C. Sala} and \textit{G. Barone-Adesi}, Stochastic Anal. Appl. 38, No. 4, 686--707 (2020; Zbl 1445.91064) Full Text: DOI
Akdim, Khadija; Eddahbi, M’hamed; Haddadi, Mouna Characterization of submartingales of a new class \((\Sigma^r)\). (English) Zbl 1390.60123 Stochastic Anal. Appl. 36, No. 3, 534-545 (2018). MSC: 60G07 60G46 60H05 PDFBibTeX XMLCite \textit{K. Akdim} et al., Stochastic Anal. Appl. 36, No. 3, 534--545 (2018; Zbl 1390.60123) Full Text: DOI
Dahl, Kristina Rognlien A convex duality approach for pricing contingent claims under partial information and short selling constraints. (English) Zbl 1365.49033 Stochastic Anal. Appl. 35, No. 2, 317-333 (2017). Reviewer: Karel Zimmermann (Praha) MSC: 49N15 90C15 90C25 90C46 93E20 91B70 PDFBibTeX XMLCite \textit{K. R. Dahl}, Stochastic Anal. Appl. 35, No. 2, 317--333 (2017; Zbl 1365.49033) Full Text: DOI arXiv
Lin, Yiqing; Yang, Junjian Utility maximization problem with random endowment and transaction costs: when wealth may become negative. (English) Zbl 1411.91519 Stochastic Anal. Appl. 35, No. 2, 257-278 (2017). MSC: 91G10 91B16 PDFBibTeX XMLCite \textit{Y. Lin} and \textit{J. Yang}, Stochastic Anal. Appl. 35, No. 2, 257--278 (2017; Zbl 1411.91519) Full Text: DOI arXiv
Jiang, Yongxu; Luo, Peng; Wang, Lihe; Xiong, Dewen Utility maximization under \(g^\ast\)-expectation. (English) Zbl 1344.35152 Stochastic Anal. Appl. 34, No. 4, 644-661 (2016). MSC: 35Q91 60G48 91G10 91G70 60H15 35R60 91B16 PDFBibTeX XMLCite \textit{Y. Jiang} et al., Stochastic Anal. Appl. 34, No. 4, 644--661 (2016; Zbl 1344.35152) Full Text: DOI
Jin, Peng; Rüdiger, Barbara; Trabelsi, Chiraz Positive Harris recurrence and exponential ergodicity of the basic affine jump-diffusion. (English) Zbl 1335.60146 Stochastic Anal. Appl. 34, No. 1, 75-95 (2016). MSC: 60J60 60J75 60H10 PDFBibTeX XMLCite \textit{P. Jin} et al., Stochastic Anal. Appl. 34, No. 1, 75--95 (2016; Zbl 1335.60146) Full Text: DOI arXiv
Kühn, Christoph; Ulbricht, Björn Modeling capital gains taxes for trading strategies of infinite variation. (English) Zbl 1338.91129 Stochastic Anal. Appl. 33, No. 5, 792-822 (2015). MSC: 91G10 91B60 60G48 60J55 PDFBibTeX XMLCite \textit{C. Kühn} and \textit{B. Ulbricht}, Stochastic Anal. Appl. 33, No. 5, 792--822 (2015; Zbl 1338.91129) Full Text: DOI arXiv
Santacroce, M.; Sasso, E.; Trivellato, B.; Covello, D. Power utility maximization problems under partial information and information sufficiency in a Brownian setting. (English) Zbl 1336.91072 Stochastic Anal. Appl. 33, No. 3, 493-509 (2015). MSC: 91G10 60H30 90C39 PDFBibTeX XMLCite \textit{M. Santacroce} et al., Stochastic Anal. Appl. 33, No. 3, 493--509 (2015; Zbl 1336.91072) Full Text: DOI
Hyndman, Cody; Zhou, Xinghua Explicit solutions of quadratic FBSDEs arising from quadratic term structure models. (English) Zbl 1317.60070 Stochastic Anal. Appl. 33, No. 3, 464-492 (2015). MSC: 60H10 60H20 60H30 60G35 91B25 91B70 PDFBibTeX XMLCite \textit{C. Hyndman} and \textit{X. Zhou}, Stochastic Anal. Appl. 33, No. 3, 464--492 (2015; Zbl 1317.60070) Full Text: DOI arXiv
Herczegh, Attila; Prokaj, Vilmos; Rásonyi, Miklós Diversity and no arbitrage. (English) Zbl 1310.91133 Stochastic Anal. Appl. 32, No. 5, 876-888 (2014). Reviewer: Paweł Kliber (Poznan) MSC: 91G10 91G99 91B24 60H05 60H30 60G40 60G44 PDFBibTeX XMLCite \textit{A. Herczegh} et al., Stochastic Anal. Appl. 32, No. 5, 876--888 (2014; Zbl 1310.91133) Full Text: DOI arXiv
Ratanov, Nikita Double telegraph processes and complete market models. (English) Zbl 1311.60085 Stochastic Anal. Appl. 32, No. 4, 555-574 (2014). Reviewer: Alexander Schnurr (Dortmund) MSC: 60J27 60J75 60K99 91B25 91G80 PDFBibTeX XMLCite \textit{N. Ratanov}, Stochastic Anal. Appl. 32, No. 4, 555--574 (2014; Zbl 1311.60085) Full Text: DOI
Bayraktar, Erhan; Pakkanen, Mikko S.; Sayit, Hasanjan On the existence of consistent price systems. (English) Zbl 1291.91188 Stochastic Anal. Appl. 32, No. 1, 152-162 (2014). Reviewer: Aleksandr D. Borisenko (Kyïv) MSC: 91G10 60G50 60G44 PDFBibTeX XMLCite \textit{E. Bayraktar} et al., Stochastic Anal. Appl. 32, No. 1, 152--162 (2014; Zbl 1291.91188) Full Text: DOI arXiv
Goutte, Stéphane; Oudjane, Nadia; Russo, Francesco On some expectation and derivative operators related to integral representations of random variables with respect to a PII process. (English) Zbl 1288.60058 Stochastic Anal. Appl. 31, No. 1, 108-141 (2013). Reviewer: Antonis Papapantoleon (Berlin) MSC: 60G51 60H05 91G20 PDFBibTeX XMLCite \textit{S. Goutte} et al., Stochastic Anal. Appl. 31, No. 1, 108--141 (2013; Zbl 1288.60058) Full Text: DOI arXiv
Perez-Abarca, Juan-Manuel; Dawson, Donald A. A class of affine processes arising as fluctuation limits of super-Brownian motion in a super-Brownian catalytic medium. (English) Zbl 1280.60047 Stochastic Anal. Appl. 30, No. 6, 1041-1061 (2012). Reviewer: Zenghu Li (Beijing) MSC: 60J68 60H15 PDFBibTeX XMLCite \textit{J.-M. Perez-Abarca} and \textit{D. A. Dawson}, Stochastic Anal. Appl. 30, No. 6, 1041--1061 (2012; Zbl 1280.60047) Full Text: DOI
Spreij, Peter; Veerman, Enno Affine diffusions with non-canonical state space. (English) Zbl 1260.60112 Stochastic Anal. Appl. 30, No. 4, 605-641 (2012). Reviewer: Stefan Tappe (Hannover) MSC: 60H10 60J25 91G80 PDFBibTeX XMLCite \textit{P. Spreij} and \textit{E. Veerman}, Stochastic Anal. Appl. 30, No. 4, 605--641 (2012; Zbl 1260.60112) Full Text: DOI arXiv
Benth, Fred Espen; Sgarra, Carlo The risk premium and the Esscher transform in power markets. (English) Zbl 1250.62053 Stochastic Anal. Appl. 30, No. 1, 20-43 (2012). Reviewer: Zakhar Kabluchko (Ulm) MSC: 62P05 91B30 60G51 91G20 62P20 PDFBibTeX XMLCite \textit{F. E. Benth} and \textit{C. Sgarra}, Stochastic Anal. Appl. 30, No. 1, 20--43 (2012; Zbl 1250.62053) Full Text: DOI Link
Di Nunno, Giulia; Eide, Inga Baadshaug Minimal-variance hedging in large financial markets: random fields approach. (English) Zbl 1195.60095 Stochastic Anal. Appl. 28, No. 1, 54-85 (2010). Reviewer: Aleksandr D. Borisenko (Kyïv) MSC: 60H30 91G20 60H05 60G57 91B25 60G60 PDFBibTeX XMLCite \textit{G. Di Nunno} and \textit{I. B. Eide}, Stochastic Anal. Appl. 28, No. 1, 54--85 (2010; Zbl 1195.60095) Full Text: DOI Link
Campi, Luciano Mean-variance hedging in large financial markets. (English) Zbl 1178.91191 Stochastic Anal. Appl. 27, No. 6, 1129-1147 (2009). MSC: 91G20 91G10 60H05 60G48 PDFBibTeX XMLCite \textit{L. Campi}, Stochastic Anal. Appl. 27, No. 6, 1129--1147 (2009; Zbl 1178.91191) Full Text: DOI Link
Torres, Soledad; Tudor, Ciprian A. Donsker type theorem for the Rosenblatt process and a binary market model. (English) Zbl 1166.60313 Stochastic Anal. Appl. 27, No. 3, 555-573 (2009). MSC: 60F17 91B70 60G18 PDFBibTeX XMLCite \textit{S. Torres} and \textit{C. A. Tudor}, Stochastic Anal. Appl. 27, No. 3, 555--573 (2009; Zbl 1166.60313) Full Text: DOI arXiv
Kohlmann, Michael; Xiong, Dewen The minimal entropy and the convergence of the \(p\)-optimal martingale measures in a general jump model. (English) Zbl 1153.60001 Stochastic Anal. Appl. 26, No. 5, 941-977 (2008). Reviewer: Gong Guanglu (Beijing) MSC: 60-02 60H30 91B28 60G44 PDFBibTeX XMLCite \textit{M. Kohlmann} and \textit{D. Xiong}, Stochastic Anal. Appl. 26, No. 5, 941--977 (2008; Zbl 1153.60001) Full Text: DOI
Ankirchner, Stefan; Imkeller, Peter; Popier, Alexandre Optimal cross hedging of insurance derivatives. (English) Zbl 1158.60020 Stochastic Anal. Appl. 26, No. 4, 679-709 (2008). Reviewer: Alexandra Rodkina (Kingston/Jamaica) MSC: 60H10 91B30 91B76 93E20 60H30 PDFBibTeX XMLCite \textit{S. Ankirchner} et al., Stochastic Anal. Appl. 26, No. 4, 679--709 (2008; Zbl 1158.60020) Full Text: DOI arXiv
Niethammer, Christina R. On convergence to the exponential utility problem with jumps. (English) Zbl 1132.91478 Stochastic Anal. Appl. 26, No. 1, 169-196 (2008). MSC: 91B28 60H10 91B16 60G51 60J75 PDFBibTeX XMLCite \textit{C. R. Niethammer}, Stochastic Anal. Appl. 26, No. 1, 169--196 (2008; Zbl 1132.91478) Full Text: DOI
Kohlmann, Michael; Xiong, Dewen The mean-variance hedging of a defaultable option with partial information. (English) Zbl 1132.91468 Stochastic Anal. Appl. 25, No. 4, 869-893 (2007). MSC: 91B28 60H30 60G44 PDFBibTeX XMLCite \textit{M. Kohlmann} and \textit{D. Xiong}, Stochastic Anal. Appl. 25, No. 4, 869--893 (2007; Zbl 1132.91468) Full Text: DOI
Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung; Lau, John W. Pricing options under a generalized Markov-modulated jump-diffusion model. (English) Zbl 1155.91380 Stochastic Anal. Appl. 25, No. 4, 821-843 (2007). MSC: 91G20 60G42 PDFBibTeX XMLCite \textit{R. J. Elliott} et al., Stochastic Anal. Appl. 25, No. 4, 821--843 (2007; Zbl 1155.91380) Full Text: DOI
Christensen, Morten Mosegaard; Larsen, Kasper No arbitrage and the growth optimal portfolio. (English) Zbl 1163.91017 Stochastic Anal. Appl. 25, No. 1, 255-280 (2007). MSC: 91G10 60H30 60G44 PDFBibTeX XMLCite \textit{M. M. Christensen} and \textit{K. Larsen}, Stochastic Anal. Appl. 25, No. 1, 255--280 (2007; Zbl 1163.91017) Full Text: DOI
Chen, Wencai; Xiong, Dewen; Ye, Zhongxing Investment with sequence losses in an uncertain environment and mean-variance hedging. (English) Zbl 1201.91183 Stochastic Anal. Appl. 25, No. 1, 55-71 (2007). MSC: 91G10 93E20 60H30 60G44 PDFBibTeX XMLCite \textit{W. Chen} et al., Stochastic Anal. Appl. 25, No. 1, 55--71 (2007; Zbl 1201.91183) Full Text: DOI
Christensen, Morten Mosegaard; Platen, Eckhard A general benchmark model for stochastic jump sizes. (English) Zbl 1138.91428 Stochastic Anal. Appl. 23, No. 5, 1017-1044 (2005). MSC: 91B28 60H10 60H30 PDFBibTeX XMLCite \textit{M. M. Christensen} and \textit{E. Platen}, Stochastic Anal. Appl. 23, No. 5, 1017--1044 (2005; Zbl 1138.91428) Full Text: DOI
Xia, Jianming Cooperative hedging in incomplete markets. (English) Zbl 1113.91029 Stochastic Anal. Appl. 23, No. 3, 475-489 (2005). Reviewer: Gabriel Talmain (Glasgow) MSC: 91B28 60H30 91A12 PDFBibTeX XMLCite \textit{J. Xia}, Stochastic Anal. Appl. 23, No. 3, 475--489 (2005; Zbl 1113.91029) Full Text: DOI
Santacroce, Marina On the convergence of the \(p\)-optimal martingale measures to the minimal entropy martingale measure. (English) Zbl 1108.91045 Stochastic Anal. Appl. 23, No. 1, 31-54 (2005). MSC: 91B28 60H30 90C39 PDFBibTeX XMLCite \textit{M. Santacroce}, Stochastic Anal. Appl. 23, No. 1, 31--54 (2005; Zbl 1108.91045) Full Text: DOI
Schweizer, Martin On the minimal martingale measure and the Föllmer-Schweizer decomposition. (English) Zbl 0837.60042 Stochastic Anal. Appl. 13, No. 5, 573-599 (1995). Reviewer: D.Lepingle (Orléans) MSC: 60G44 PDFBibTeX XMLCite \textit{M. Schweizer}, Stochastic Anal. Appl. 13, No. 5, 573--599 (1995; Zbl 0837.60042) Full Text: DOI