Liu, Guomin Girsanov theorem for \(G\)-Brownian motion: the degenerate case. (English) Zbl 07306255 J. Theor. Probab. 34, No. 1, 125-140 (2021). MSC: 60H10 60H30 PDF BibTeX XML Cite \textit{G. Liu}, J. Theor. Probab. 34, No. 1, 125--140 (2021; Zbl 07306255) Full Text: DOI
Aurzada, Frank; Buck, Micha; Kilian, Martin Penalizing fractional Brownian motion for being negative. (English) Zbl 07312342 Stochastic Processes Appl. 130, No. 11, 6625-6637 (2020). MSC: 60G22 60G10 PDF BibTeX XML Cite \textit{F. Aurzada} et al., Stochastic Processes Appl. 130, No. 11, 6625--6637 (2020; Zbl 07312342) Full Text: DOI
Yang, Xiaolin; Liu, Lixia; Li, Suwen Valuation of quotient options for the interest rate is a function of time. (English) Zbl 07296047 Math. Pract. Theory 50, No. 12, 79-85 (2020). MSC: 91G20 91G30 PDF BibTeX XML Cite \textit{X. Yang} et al., Math. Pract. Theory 50, No. 12, 79--85 (2020; Zbl 07296047)
Gordina, Maria; Röckner, Michael; Teplyaev, Alexander Ornstein-Uhlenbeck processes with singular drifts: integral estimates and Girsanov densities. (English) Zbl 07271332 Probab. Theory Relat. Fields 178, No. 3-4, 861-891 (2020). MSC: 60H10 35R15 60H15 47D07 47N30 PDF BibTeX XML Cite \textit{M. Gordina} et al., Probab. Theory Relat. Fields 178, No. 3--4, 861--891 (2020; Zbl 07271332) Full Text: DOI
Taguchi, Dai; Tanaka, Akihiro Probability density function of SDEs with unbounded and path-dependent drift coefficient. (English) Zbl 07242827 Stochastic Processes Appl. 130, No. 9, 5243-5289 (2020). MSC: 65C30 62G07 35K08 60H35 PDF BibTeX XML Cite \textit{D. Taguchi} and \textit{A. Tanaka}, Stochastic Processes Appl. 130, No. 9, 5243--5289 (2020; Zbl 07242827) Full Text: DOI
Mathieu, P.; Sisto, A. Deviation inequalities for random walks. (English) Zbl 07198469 Duke Math. J. 169, No. 5, 961-1036 (2020). MSC: 60G50 20F67 20F65 PDF BibTeX XML Cite \textit{P. Mathieu} and \textit{A. Sisto}, Duke Math. J. 169, No. 5, 961--1036 (2020; Zbl 07198469) Full Text: DOI Euclid
Liu, Hailing; Xu, Liping; Li, Zhi Stochastic differential equations driven by multi-fractional Brownian motion and Poisson point process. (English) Zbl 1449.60107 J. Partial Differ. Equations 32, No. 4, 352-368 (2019). MSC: 60H15 60G22 60G55 PDF BibTeX XML Cite \textit{H. Liu} et al., J. Partial Differ. Equations 32, No. 4, 352--368 (2019; Zbl 1449.60107) Full Text: DOI
Mehri, Sima; Stannat, Wilhelm Weak solutions to Vlasov-McKean equations under Lyapunov-type conditions. (English) Zbl 1434.60216 Stoch. Dyn. 19, No. 6, Article ID 1950042, 23 p. (2019). MSC: 60J60 60H30 93D30 35Q83 PDF BibTeX XML Cite \textit{S. Mehri} and \textit{W. Stannat}, Stoch. Dyn. 19, No. 6, Article ID 1950042, 23 p. (2019; Zbl 1434.60216) Full Text: DOI
Candeloro, Domenico; Sambucini, Anna Rita; Trastulli, Luca A vector Girsanov result and its applications to conditional measures via the Birkhoff integrability. (English) Zbl 1429.28020 Mediterr. J. Math. 16, No. 6, Paper No. 144, 20 p. (2019). MSC: 28B20 28B05 46B42 46G10 60G44 PDF BibTeX XML Cite \textit{D. Candeloro} et al., Mediterr. J. Math. 16, No. 6, Paper No. 144, 20 p. (2019; Zbl 1429.28020) Full Text: DOI
Grobler, Jacobus J.; Labuschagne, Coenraad C. A. Girsanov’s theorem in vector lattices. (English) Zbl 1429.46015 Positivity 23, No. 5, 1065-1099 (2019). Reviewer: George Stoica (Saint John) MSC: 46B40 60G20 46G10 47N30 60H99 PDF BibTeX XML Cite \textit{J. J. Grobler} and \textit{C. C. A. Labuschagne}, Positivity 23, No. 5, 1065--1099 (2019; Zbl 1429.46015) Full Text: DOI
Wu, Sang; Dong, Yinghui; Xu, Chao A first passage time approach to vulnerable European options pricing. (Chinese. English summary) Zbl 1438.91164 J. Suzhou Univ. Sci. Technol., Nat. Sci. 36, No. 1, 28-32 (2019). MSC: 91G20 91G40 PDF BibTeX XML Cite \textit{S. Wu} et al., J. Suzhou Univ. Sci. Technol., Nat. Sci. 36, No. 1, 28--32 (2019; Zbl 1438.91164) Full Text: DOI
Li, Ruijing; Fu, Fengyun The maximum principle for partially observed optimal control problems of mean-field FBSDEs. (English) Zbl 1423.93418 Int. J. Control 92, No. 10, 2463-2472 (2019). MSC: 93E20 49J15 93C15 60H10 93E11 49N10 PDF BibTeX XML Cite \textit{R. Li} and \textit{F. Fu}, Int. J. Control 92, No. 10, 2463--2472 (2019; Zbl 1423.93418) Full Text: DOI
Bartosz, Grzegorz; Kania, Tomasz Law equivalence of Ornstein-Uhlenbeck processes driven by a Lévy process. (English) Zbl 07101928 Indag. Math., New Ser. 30, No. 5, 796-804 (2019). MSC: 60 62 PDF BibTeX XML Cite \textit{G. Bartosz} and \textit{T. Kania}, Indag. Math., New Ser. 30, No. 5, 796--804 (2019; Zbl 07101928) Full Text: DOI arXiv
Li, Zhi; Xu, Liping; Yan, Litan Weak solutions for stochastic differential equations with additive fractional noise. (English) Zbl 1415.60076 Stoch. Dyn. 19, No. 2, Article ID 1950017, 9 p. (2019). MSC: 60H15 60G15 60G22 60H05 PDF BibTeX XML Cite \textit{Z. Li} et al., Stoch. Dyn. 19, No. 2, Article ID 1950017, 9 p. (2019; Zbl 1415.60076) Full Text: DOI
Boonpogkrong, Varayu A proof of Girsanov’s theorem: the Henstock-Kurzweil approach. (English) Zbl 1416.26025 Bull. Malays. Math. Sci. Soc. (2) 42, No. 2, 781-792 (2019). Reviewer: Andrey Zahariev (Plovdiv) MSC: 26B10 26B15 26B20 PDF BibTeX XML Cite \textit{V. Boonpogkrong}, Bull. Malays. Math. Sci. Soc. (2) 42, No. 2, 781--792 (2019; Zbl 1416.26025) Full Text: DOI
Braumann, Carlos A. Introduction to stochastic differential equations with applications to modelling in biology and finance. (English) Zbl 1425.60001 Hoboken, NJ: John Wiley & Sons (ISBN 978-1-119-16606-1/hbk; 978-1-119-16609-2/ebook). xv, 283 p. (2019). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 60-01 60Hxx 91G80 92B05 PDF BibTeX XML Cite \textit{C. A. Braumann}, Introduction to stochastic differential equations with applications to modelling in biology and finance. Hoboken, NJ: John Wiley \& Sons (2019; Zbl 1425.60001) Full Text: DOI
Zhan, Dapeng Decomposition of Schramm-Loewner evolution along its curve. (English) Zbl 1403.60071 Stochastic Processes Appl. 129, No. 1, 129-152 (2019). MSC: 60J67 PDF BibTeX XML Cite \textit{D. Zhan}, Stochastic Processes Appl. 129, No. 1, 129--152 (2019; Zbl 1403.60071) Full Text: DOI arXiv
Lejay, Antoine The Girsanov theorem without (so much) stochastic analysis. (English) Zbl 1452.60033 Donati-Martin, Catherine (ed.) et al., Séminaire de probabilités XLIX. Cham: Springer. Lect. Notes Math. 2215, 329-361 (2018). MSC: 60H05 60H10 60H35 60J25 PDF BibTeX XML Cite \textit{A. Lejay}, Lect. Notes Math. 2215, 329--361 (2018; Zbl 1452.60033) Full Text: DOI
Sghir, A.; Seghir, D.; Hadiri, S. Numerical methods for certain classes of Markovian backward stochastic differential equations and quasi-linear parabolic partial differential equations via Girsanov’s theorem. (English) Zbl 1438.60081 J. Numer. Math. Stoch. 10, No. 1, 45-57 (2018). MSC: 60H10 60K30 60H35 PDF BibTeX XML Cite \textit{A. Sghir} et al., J. Numer. Math. Stoch. 10, No. 1, 45--57 (2018; Zbl 1438.60081) Full Text: Link
Ihsan, Atif; SenGupta, Indranil Moments of the asset price for the Barndorff-Nielsen and Shephard model. (English) Zbl 1420.91465 Lith. Math. J. 58, No. 4, 408-420 (2018). MSC: 91G20 91G70 60G51 PDF BibTeX XML Cite \textit{A. Ihsan} and \textit{I. SenGupta}, Lith. Math. J. 58, No. 4, 408--420 (2018; Zbl 1420.91465) Full Text: DOI
Criens, David; Glau, Kathrin Absolute continuity of semimartingales. (English) Zbl 1406.60062 Electron. J. Probab. 23, Paper No. 125, 28 p (2018). MSC: 60G44 60G48 PDF BibTeX XML Cite \textit{D. Criens} and \textit{K. Glau}, Electron. J. Probab. 23, Paper No. 125, 28 p (2018; Zbl 1406.60062) Full Text: DOI Euclid arXiv
Ng, Teck Wee; Ibrahim, Siti Nur Iqmal Pricing down-and-out power options with exponentially curved barrier. (English) Zbl 1419.91623 Numer. Algebra Control Optim. 8, No. 3, 291-297 (2018). MSC: 91G20 91G60 PDF BibTeX XML Cite \textit{T. W. Ng} and \textit{S. N. I. Ibrahim}, Numer. Algebra Control Optim. 8, No. 3, 291--297 (2018; Zbl 1419.91623) Full Text: DOI
Shiryaev, Albert N. On a transformation of the measure of a Brownian motion with drift and Girsanov’s theorem. (English. Russian original) Zbl 1429.60064 Russ. Math. Surv. 73, No. 1, 169-171 (2018); translation from Usp. Mat. Nauk 73, No. 1, 179-180 (2018). MSC: 60J65 PDF BibTeX XML Cite \textit{A. N. Shiryaev}, Russ. Math. Surv. 73, No. 1, 169--171 (2018; Zbl 1429.60064); translation from Usp. Mat. Nauk 73, No. 1, 179--180 (2018) Full Text: DOI
Karandikar, Rajeeva L.; Rao, B. V. Introduction to stochastic calculus. (English) Zbl 1434.60003 Indian Statistical Institute Series. Singapore: Springer (ISBN 978-981-10-8317-4/hbk; 978-981-10-8318-1/ebook). xiii, 441 p. (2018). Reviewer: Jordan M. Stoyanov (Sofia) MSC: 60-02 60G48 60H05 60H10 60H15 PDF BibTeX XML Cite \textit{R. L. Karandikar} and \textit{B. V. Rao}, Introduction to stochastic calculus. Singapore: Springer (2018; Zbl 1434.60003) Full Text: DOI
Fatalov, Vadim R. Integrals of Bessel processes and multi-dimensional Ornstein-Uhlenbeck processes: exact asymptotics for \(L^p\)-functionals. (English. Russian original) Zbl 1404.60045 Izv. Math. 82, No. 2, 377-406 (2018); translation from Izv. Ross. Akad. Nauk, Ser. Mat. 82, No. 2, 140-171 (2018). Reviewer: Oleg K. Zakusilo (Kyïv) MSC: 60F25 60J25 PDF BibTeX XML Cite \textit{V. R. Fatalov}, Izv. Math. 82, No. 2, 377--406 (2018; Zbl 1404.60045); translation from Izv. Ross. Akad. Nauk, Ser. Mat. 82, No. 2, 140--171 (2018) Full Text: DOI
Zhou, Qing; Ren, Yong; Wu, Weixing On optimal mean-field control problem of mean-field forward-backward stochastic system with jumps under partial information. (English) Zbl 1381.93106 J. Syst. Sci. Complex. 30, No. 4, 828-856 (2017). MSC: 93E20 60H10 49K45 PDF BibTeX XML Cite \textit{Q. Zhou} et al., J. Syst. Sci. Complex. 30, No. 4, 828--856 (2017; Zbl 1381.93106) Full Text: DOI
Ohkitani, Koji Cole-Hopf-Feynman-Kac formula and quasi-invariance for Navier-Stokes equations. (English) Zbl 1378.35224 J. Phys. A, Math. Theor. 50, No. 40, Article ID 405501, 10 p. (2017). MSC: 35Q30 35B65 76D05 PDF BibTeX XML Cite \textit{K. Ohkitani}, J. Phys. A, Math. Theor. 50, No. 40, Article ID 405501, 10 p. (2017; Zbl 1378.35224) Full Text: DOI
Alabert, Aureli; León, Jorge A. On uniqueness for some non-Lipschitz SDE. (English) Zbl 1375.60099 J. Differ. Equations 262, No. 12, 6047-6067 (2017). Reviewer: Ruhollah Jahanipur (Kashan) MSC: 60H10 34A12 60J65 PDF BibTeX XML Cite \textit{A. Alabert} and \textit{J. A. León}, J. Differ. Equations 262, No. 12, 6047--6067 (2017; Zbl 1375.60099) Full Text: DOI arXiv
Ohkitani, Koji Near-invariance under dynamic scaling for Navier-Stokes equations in critical spaces: a probabilistic approach to regularity problems. (English) Zbl 1357.76015 J. Phys. A, Math. Theor. 50, No. 4, Article ID 045501, 22 p. (2017). MSC: 76D05 76D03 PDF BibTeX XML Cite \textit{K. Ohkitani}, J. Phys. A, Math. Theor. 50, No. 4, Article ID 045501, 22 p. (2017; Zbl 1357.76015) Full Text: DOI
Ogawa, Shigeyoshi BPE and a noncausal Girsanov’s theorem. (English) Zbl 1356.60105 Sankhyā, Ser. A 78, No. 2, 304-323 (2016). MSC: 60H15 60H05 60H30 PDF BibTeX XML Cite \textit{S. Ogawa}, Sankhyā, Ser. A 78, No. 2, 304--323 (2016; Zbl 1356.60105) Full Text: DOI
Mackevičius, Vigirdas Stochastic models of financial mathematics. (English) Zbl 1391.91002 Optimization in Insurance and Finance Set. Amsterdam: Elsevier; London: ISTE Press (ISBN 978-1-78548-198-7/hbk). x, 120 p. (2016). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91-01 91G10 91G20 91G30 60G44 60J65 60H05 60H10 60H30 PDF BibTeX XML Cite \textit{V. Mackevičius}, Stochastic models of financial mathematics. Amsterdam: Elsevier; London: ISTE Press (2016; Zbl 1391.91002)
Shi, Wei; Liu, Lixia Pricing of the looking back-reset option with barrier. (Chinese. English summary) Zbl 1363.91113 J. Hebei Norm. Univ., Nat. Sci. Ed. 40, No. 2, 106-111 (2016). MSC: 91G20 PDF BibTeX XML Cite \textit{W. Shi} and \textit{L. Liu}, J. Hebei Norm. Univ., Nat. Sci. Ed. 40, No. 2, 106--111 (2016; Zbl 1363.91113) Full Text: DOI
Bilina Falafala, Roseline; Jarrow, Robert A.; Protter, Philip Relative asset price bubbles. (English) Zbl 1398.91565 Ann. Finance 12, No. 2, 135-160 (2016). MSC: 91G20 60G44 PDF BibTeX XML Cite \textit{R. Bilina Falafala} et al., Ann. Finance 12, No. 2, 135--160 (2016; Zbl 1398.91565) Full Text: DOI
Blanchet, Jose; Ruf, Johannes A weak convergence criterion for constructing changes of measure. (English) Zbl 1339.60047 Stoch. Models 32, No. 2, 233-252 (2016). MSC: 60G44 60G48 60F17 60F05 60H10 60J75 PDF BibTeX XML Cite \textit{J. Blanchet} and \textit{J. Ruf}, Stoch. Models 32, No. 2, 233--252 (2016; Zbl 1339.60047) Full Text: DOI
Le Gall, Jean-François Brownian motion, martingales, and stochastic calculus. (English) Zbl 1378.60002 Graduate Texts in Mathematics 274. Cham: Springer (ISBN 978-3-319-31088-6/hbk; 978-3-319-31089-3/ebook). xi, 273 p. (2016). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 60-01 60J65 60G44 60H05 60H10 60G15 60G48 PDF BibTeX XML Cite \textit{J.-F. Le Gall}, Brownian motion, martingales, and stochastic calculus. Cham: Springer (2016; Zbl 1378.60002) Full Text: DOI
Karatzas, Ioannis; Ruf, Johannes Distribution of the time to explosion for one-dimensional diffusions. (English) Zbl 1350.60077 Probab. Theory Relat. Fields 164, No. 3-4, 1027-1069 (2016). Reviewer: N. G. Gamkrelidze (Moskva) MSC: 60J60 60H10 60H15 34F05 35R60 PDF BibTeX XML Cite \textit{I. Karatzas} and \textit{J. Ruf}, Probab. Theory Relat. Fields 164, No. 3--4, 1027--1069 (2016; Zbl 1350.60077) Full Text: DOI arXiv
Wang, Xiandong; He, Jianmin The option pricing under Vasicek interest rate and pure birth jump diffusion model. (Chinese. English summary) Zbl 1349.91285 Math. Pract. Theory 45, No. 2, 1-6 (2015). MSC: 91G20 60J75 PDF BibTeX XML Cite \textit{X. Wang} and \textit{J. He}, Math. Pract. Theory 45, No. 2, 1--6 (2015; Zbl 1349.91285)
Lu, Weidi; Han, Yuecai Pricing power double exponential barriers chained option. (Chinese. English summary) Zbl 1349.91281 Math. Pract. Theory 45, No. 18, 15-19 (2015). MSC: 91G20 PDF BibTeX XML Cite \textit{W. Lu} and \textit{Y. Han}, Math. Pract. Theory 45, No. 18, 15--19 (2015; Zbl 1349.91281)
Hashorva, Enkelejd; Mishura, Yuliya; Seleznjev, Oleg Boundary non-crossing probabilities for fractional Brownian motion with trend. (English) Zbl 1337.60065 Stochastics 87, No. 6, 946-965 (2015). MSC: 60G22 60F10 PDF BibTeX XML Cite \textit{E. Hashorva} et al., Stochastics 87, No. 6, 946--965 (2015; Zbl 1337.60065) Full Text: DOI arXiv
Su, Fei; Chan, Kung-Sik Quasi-likelihood estimation of a threshold diffusion process. (English) Zbl 1337.62207 J. Econom. 189, No. 2, 473-484 (2015). MSC: 62M05 60J60 62M10 60H10 62F15 62P05 91G70 PDF BibTeX XML Cite \textit{F. Su} and \textit{K.-S. Chan}, J. Econom. 189, No. 2, 473--484 (2015; Zbl 1337.62207) Full Text: DOI
Song, Ruili; Wang, Bo A representation formula for transition probability densities of Hunt processes under Girsanov transform. (Chinese. English summary) Zbl 1340.60053 Chin. Ann. Math., Ser. A 36, No. 1, 103-110 (2015). MSC: 60G07 60J35 60J40 PDF BibTeX XML Cite \textit{R. Song} and \textit{B. Wang}, Chin. Ann. Math., Ser. A 36, No. 1, 103--110 (2015; Zbl 1340.60053) Full Text: DOI
Üstünel, Ali Süleyman Entropic solution of the innovation conjecture of T. Kailath. (English) Zbl 1341.60082 Kyoto J. Math. 55, No. 3, 555-566 (2015). MSC: 60H99 60H07 60H30 60H10 60J65 60G40 37A35 94A17 PDF BibTeX XML Cite \textit{A. S. Üstünel}, Kyoto J. Math. 55, No. 3, 555--566 (2015; Zbl 1341.60082) Full Text: DOI Euclid arXiv
Song, Yulin; Zhang, Xicheng Regularity of density for SDEs driven by degenerate Lévy noises. (English) Zbl 1321.60131 Electron. J. Probab. 20, Paper No. 21, 27 p. (2015). MSC: 60H10 60H07 60G51 PDF BibTeX XML Cite \textit{Y. Song} and \textit{X. Zhang}, Electron. J. Probab. 20, Paper No. 21, 27 p. (2015; Zbl 1321.60131) Full Text: DOI arXiv
Fang, Shizan; Nolot, Vincent Optimal transport maps on infinite dimensional spaces. (English) Zbl 1325.35047 Front. Math. China 10, No. 4, 715-732 (2015). Reviewer: Patrick Winkert (Berlin) MSC: 35J60 46G12 58E12 60H07 PDF BibTeX XML Cite \textit{S. Fang} and \textit{V. Nolot}, Front. Math. China 10, No. 4, 715--732 (2015; Zbl 1325.35047) Full Text: DOI
Dalang, Robert C.; Mueller, Carl Multiple points of the Brownian sheet in critical dimensions. (English) Zbl 1386.60181 Ann. Probab. 43, No. 4, 1577-1593 (2015). MSC: 60G60 60G15 60G17 PDF BibTeX XML Cite \textit{R. C. Dalang} and \textit{C. Mueller}, Ann. Probab. 43, No. 4, 1577--1593 (2015; Zbl 1386.60181) Full Text: DOI Euclid arXiv
Fan, Shengjun; Wang, Yanbin; Xiao, Lishun Multidimensional BSDEs with uniformly continuous generators and general time intervals. (English) Zbl 1310.60077 Bull. Korean Math. Soc. 52, No. 2, 483-504 (2015). MSC: 60H10 PDF BibTeX XML Cite \textit{S. Fan} et al., Bull. Korean Math. Soc. 52, No. 2, 483--504 (2015; Zbl 1310.60077) Full Text: DOI Link arXiv
Li, Na; Wu, Zhen Stochastic transforms for jump diffusion processes combined with related backward stochastic differential equations. (English) Zbl 1322.60164 J. Math. Anal. Appl. 425, No. 2, 704-725 (2015). MSC: 60J60 60J75 60H10 60H05 60G51 PDF BibTeX XML Cite \textit{N. Li} and \textit{Z. Wu}, J. Math. Anal. Appl. 425, No. 2, 704--725 (2015; Zbl 1322.60164) Full Text: DOI
Lanconelli, Alberto A comparison theorem for stochastic differential equations under the Novikov condition. (English) Zbl 1307.60081 Potential Anal. 41, No. 4, 1065-1077 (2014). MSC: 60H10 PDF BibTeX XML Cite \textit{A. Lanconelli}, Potential Anal. 41, No. 4, 1065--1077 (2014; Zbl 1307.60081) Full Text: DOI arXiv
Klebaner, F.; Liptser, R. When a stochastic exponential is a true martingale. Extension of the Beneš method. (English) Zbl 1328.60111 Theory Probab. Appl. 58, No. 1, 38-62 (2014); translation from Teor. Veroyatn. Primen. 58, No. 1, 53-80 (2013). MSC: 60G44 60H05 60J60 60J75 PDF BibTeX XML Cite \textit{F. Klebaner} and \textit{R. Liptser}, Theory Probab. Appl. 58, No. 1, 38--62 (2014; Zbl 1328.60111); translation from Teor. Veroyatn. Primen. 58, No. 1, 53--80 (2013) Full Text: DOI arXiv
Wang, Feng-Yu Derivative formula and Harnack inequality for SDEs driven by Lévy processes. (English) Zbl 1296.60230 Stochastic Anal. Appl. 32, No. 1, 30-49 (2014). Reviewer: Andrzej Świerniak (Gliwice) MSC: 60J75 60J45 60H10 80A20 60H25 PDF BibTeX XML Cite \textit{F.-Y. Wang}, Stochastic Anal. Appl. 32, No. 1, 30--49 (2014; Zbl 1296.60230) Full Text: DOI arXiv
Hu, Mingshang; Ji, Shaolin; Peng, Shige; Song, Yongsheng Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by \(G\)-Brownian motion. (English) Zbl 1300.60075 Stochastic Processes Appl. 124, No. 2, 1170-1195 (2014). MSC: 60H10 60H30 PDF BibTeX XML Cite \textit{M. Hu} et al., Stochastic Processes Appl. 124, No. 2, 1170--1195 (2014; Zbl 1300.60075) Full Text: DOI arXiv
Falkowski, Adrian Actuarial approach to option pricing in a fractional Black-Scholes model with time-dependent volatility. (English) Zbl 1314.91211 Bull. Pol. Acad. Sci., Math. 61, No. 2, 181-193 (2013). Reviewer: Nikita E. Ratanov (Bogotá) MSC: 91G20 91B30 60G15 60G22 PDF BibTeX XML Cite \textit{A. Falkowski}, Bull. Pol. Acad. Sci., Math. 61, No. 2, 181--193 (2013; Zbl 1314.91211) Full Text: DOI
Liu, Junfeng Remarks on parameter estimation for the drift of fractional Brownian sheet. (English) Zbl 1273.62197 Acta Math. Vietnam. 38, No. 2, 241-253 (2013). MSC: 62M05 60G22 62F10 62M09 PDF BibTeX XML Cite \textit{J. Liu}, Acta Math. Vietnam. 38, No. 2, 241--253 (2013; Zbl 1273.62197) Full Text: DOI
Wang, Guangchen; Wu, Zhen; Xiong, Jie Maximum principles for forward-backward stochastic control systems with correlated state and observation noises. (English) Zbl 1262.93027 SIAM J. Control Optim. 51, No. 1, 491-524 (2013). MSC: 93E20 49K45 93E11 60H10 49N10 PDF BibTeX XML Cite \textit{G. Wang} et al., SIAM J. Control Optim. 51, No. 1, 491--524 (2013; Zbl 1262.93027) Full Text: DOI
Elliott, Robert J.; Deng, Jia Change point estimation for continuous-time hidden Markov models. (English) Zbl 1259.93111 Syst. Control Lett. 62, No. 2, 112-114 (2013). MSC: 93E10 PDF BibTeX XML Cite \textit{R. J. Elliott} and \textit{J. Deng}, Syst. Control Lett. 62, No. 2, 112--114 (2013; Zbl 1259.93111) Full Text: DOI
Jun, Doobae Continuity correction for discrete barrier options with two barriers. (English) Zbl 1260.91267 J. Comput. Appl. Math. 237, 520-528 (2013). MSC: 91G99 91B25 PDF BibTeX XML Cite \textit{D. Jun}, J. Comput. Appl. Math. 237, 520--528 (2013; Zbl 1260.91267) Full Text: DOI
Herzberg, Frederik Stochastic calculus with infinitesimals. (English) Zbl 1302.60006 Lecture Notes in Mathematics 2067. Berlin: Springer (ISBN 978-3-642-33148-0/pbk; 978-3-642-33149-7/ebook). xviii, 112 p. (2013). Reviewer: Michael Högele (Berlin) MSC: 60-01 60A05 03H05 PDF BibTeX XML Cite \textit{F. Herzberg}, Stochastic calculus with infinitesimals. Berlin: Springer (2013; Zbl 1302.60006) Full Text: DOI
Lin, Hsien-Jen Hedging processes for catastrophe options. (English) Zbl 1296.91266 J. Korean Stat. Soc. 41, No. 4, 491-504 (2012). MSC: 91G20 60H05 62P05 PDF BibTeX XML Cite \textit{H.-J. Lin}, J. Korean Stat. Soc. 41, No. 4, 491--504 (2012; Zbl 1296.91266) Full Text: DOI
Byczkowski, Tomasz; Chorowski, Jakub; Graczyk, Piotr; Małecki, Jacek Hitting half-spaces or spheres by Ornstein-Uhlenbeck type diffusions. (English) Zbl 1279.60098 Colloq. Math. 129, No. 2, 145-171 (2012). Reviewer: Liliana Popa (Iaşi) MSC: 60J45 60G15 60G40 PDF BibTeX XML Cite \textit{T. Byczkowski} et al., Colloq. Math. 129, No. 2, 145--171 (2012; Zbl 1279.60098) Full Text: DOI arXiv
Hu, YaoZhong Stochastic quantization and ergodic theorem for density of diffusions. (English) Zbl 1261.60055 Sci. China, Math. 55, No. 11, 2285-2296 (2012). MSC: 60H10 60J55 37A30 81S20 PDF BibTeX XML Cite \textit{Y. Hu}, Sci. China, Math. 55, No. 11, 2285--2296 (2012; Zbl 1261.60055) Full Text: DOI
Depperschmidt, Andrej; Greven, Andreas; Pfaffelhuber, Peter Tree-valued Fleming-Viot dynamics with mutation and selection. (English) Zbl 1316.92048 Ann. Appl. Probab. 22, No. 6, 2560-2615 (2012). MSC: 92D10 60K35 60J25 PDF BibTeX XML Cite \textit{A. Depperschmidt} et al., Ann. Appl. Probab. 22, No. 6, 2560--2615 (2012; Zbl 1316.92048) Full Text: DOI Euclid arXiv
Jakubowski, Jacek; Wiśniewolski, Maciej Conditional version of the Donati-Martin and Yor formula and its applications. (English) Zbl 1260.60166 Demonstr. Math. 45, No. 2, 257-263 (2012). MSC: 60J65 60J55 60E10 PDF BibTeX XML Cite \textit{J. Jakubowski} and \textit{M. Wiśniewolski}, Demonstr. Math. 45, No. 2, 257--263 (2012; Zbl 1260.60166)
Privault, Nicolas An elementary introduction to stochastic interest rate modeling. 2nd ed. (English) Zbl 1248.91002 Advanced Series on Statistical Science & Applied Probability 16. Hackensack, NJ: World Scientific (ISBN 978-981-4390-85-9/hbk; 978-981-4390-86-6/ebook). xiii, 228 p. (2012). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91-01 91B24 91G30 60H05 60H30 PDF BibTeX XML Cite \textit{N. Privault}, An elementary introduction to stochastic interest rate modeling. 2nd ed. Hackensack, NJ: World Scientific (2012; Zbl 1248.91002) Full Text: Link
Darses, Sebastien; Lépinette-Denis, Emmanuel Parabolic schemes for quasi-linear parabolic and hyperbolic PDEs via stochastic calculus. (English) Zbl 1243.60055 Stochastic Anal. Appl. 30, No. 1, 67-99 (2012). Reviewer: Hans Crauel (Frankfurt am Main) MSC: 60H30 35K59 35K99 35L02 35L99 PDF BibTeX XML Cite \textit{S. Darses} and \textit{E. Lépinette-Denis}, Stochastic Anal. Appl. 30, No. 1, 67--99 (2012; Zbl 1243.60055) Full Text: DOI
Shen, Yubo; Zhang, Daijian; Song, Lixin A new method of option pricing based on Black-Scholes model. (Chinese. English summary) Zbl 1249.62014 J. Dalian Univ. Technol. 51, No. 4, 621-624 (2011). MSC: 62P05 91B84 62M10 91G70 91B30 91B25 PDF BibTeX XML Cite \textit{Y. Shen} et al., J. Dalian Univ. Technol. 51, No. 4, 621--624 (2011; Zbl 1249.62014)
Xia, Dengfeng; Fei, Weiyin; Liu, Hongjian Study on the insurer’s solvency ratio model under a jump diffusion process. (Chinese. English summary) Zbl 1240.91075 J. Math., Wuhan Univ. 31, No. 3, 554-558 (2011). MSC: 91B30 60J70 60J75 PDF BibTeX XML Cite \textit{D. Xia} et al., J. Math., Wuhan Univ. 31, No. 3, 554--558 (2011; Zbl 1240.91075)
Xia, Dengfeng; Fei, Weiyin; Liang, Yong Study on the model of an insurer’s solvency ratio in Markov-modulated Brownian markets. (English) Zbl 1240.91074 Appl. Math., Ser. B (Engl. Ed.) 26, No. 1, 23-28 (2011). MSC: 91B30 62P05 60J75 60J60 91G20 PDF BibTeX XML Cite \textit{D. Xia} et al., Appl. Math., Ser. B (Engl. Ed.) 26, No. 1, 23--28 (2011; Zbl 1240.91074) Full Text: DOI
Capietto, Anna; Priola, Enrico Uniqueness in law for stochastic boundary value problems. (English) Zbl 1253.60070 J. Dyn. Differ. Equations 23, No. 3, 613-648 (2011). Reviewer: Henri Schurz (Carbondale) MSC: 60H10 34F05 60H07 60H35 PDF BibTeX XML Cite \textit{A. Capietto} and \textit{E. Priola}, J. Dyn. Differ. Equations 23, No. 3, 613--648 (2011; Zbl 1253.60070) Full Text: DOI arXiv
Xu, Jing; Shang, Hao; Zhang, Bo A Girsanov type theorem under G-framework. (English) Zbl 1225.60115 Stochastic Anal. Appl. 29, No. 3, 386-406 (2011). Reviewer: Christos E. Kountzakis (Karlovassi) MSC: 60H30 60G20 60G46 60J65 91G20 PDF BibTeX XML Cite \textit{J. Xu} et al., Stochastic Anal. Appl. 29, No. 3, 386--406 (2011; Zbl 1225.60115) Full Text: DOI
Lemaire, Vincent; Pagès, Gilles Unconstrained recursive importance sampling. (English) Zbl 1207.65007 Ann. Appl. Probab. 20, No. 3, 1029-1067 (2010). Reviewer: Vassil Grozdanov (Blagoevgrad) MSC: 65C05 65C30 65C35 60H10 60H35 60J60 PDF BibTeX XML Cite \textit{V. Lemaire} and \textit{G. Pagès}, Ann. Appl. Probab. 20, No. 3, 1029--1067 (2010; Zbl 1207.65007) Full Text: DOI arXiv
Kunita, Hiroshi; Yamada, Takuya Average options for jump diffusion models. (English) Zbl 1231.91439 Asia-Pac. J. Oper. Res. 27, No. 2, 143-166 (2010). MSC: 91G20 60H30 60J75 PDF BibTeX XML Cite \textit{H. Kunita} and \textit{T. Yamada}, Asia-Pac. J. Oper. Res. 27, No. 2, 143--166 (2010; Zbl 1231.91439) Full Text: DOI
Phillips, Peter C. B.; Yu, Jun A two-stage realized volatility approach to estimation of diffusion processes with discrete data. (English) Zbl 1429.62369 J. Econom. 150, No. 2, 139-150 (2009). MSC: 62M05 60H10 60J60 62F12 62P05 PDF BibTeX XML Cite \textit{P. C. B. Phillips} and \textit{J. Yu}, J. Econom. 150, No. 2, 139--150 (2009; Zbl 1429.62369) Full Text: DOI
Malovichko, T. V. Girsanov theorem for stochastic flows with interaction. (Russian, English) Zbl 1224.60143 Ukr. Mat. Zh. 61, No. 3, 365-383 (2009); translation in Ukr. Math. J. 61, No. 3, 435-456 (2009). MSC: 60H10 PDF BibTeX XML Cite \textit{T. V. Malovichko}, Ukr. Mat. Zh. 61, No. 3, 365--383 (2009; Zbl 1224.60143); translation in Ukr. Math. J. 61, No. 3, 435--456 (2009) Full Text: DOI
Šnupárková, J. Weak solutions to stochastic differential equations driven by fractional Brownian motion. (English) Zbl 1224.60149 Czech. Math. J. 59, No. 4, 879-907 (2009). MSC: 60H10 60G22 PDF BibTeX XML Cite \textit{J. Šnupárková}, Czech. Math. J. 59, No. 4, 879--907 (2009; Zbl 1224.60149) Full Text: DOI EuDML
Wang, Wei; Wang, Wensheng; Wang, Shuai Pricing forward starting call option in a jump diffusion model. (English) Zbl 1212.91111 J. East China Norm. Univ., Nat. Sci. Ed. 2009, No. 5, 107-117 (2009). MSC: 91G20 62P05 60J75 60J60 PDF BibTeX XML Cite \textit{W. Wang} et al., J. East China Norm. Univ., Nat. Sci. Ed. 2009, No. 5, 107--117 (2009; Zbl 1212.91111)
Xu, Ruibiao Harnack inequality for diffusion semi-groups. (Chinese. English summary) Zbl 1212.60148 J. Shandong Univ., Nat. Sci. 44, No. 7, 62-65 (2009). MSC: 60J60 PDF BibTeX XML Cite \textit{R. Xu}, J. Shandong Univ., Nat. Sci. 44, No. 7, 62--65 (2009; Zbl 1212.60148)
Erraoui, M.; Essaky, E. H. Canonical representation for Gaussian processes. (English) Zbl 1181.60058 Donati-Martin, Catherine (ed.) et al., Séminaire de probabilités XLII. Berlin: Springer (ISBN 978-3-642-01762-9/pbk; 978-3-642-01763-6/ebook). Lecture Notes in Mathematics 1979, 365-381 (2009). MSC: 60G15 60H05 60H07 46E22 PDF BibTeX XML Cite \textit{M. Erraoui} and \textit{E. H. Essaky}, Lect. Notes Math. 1979, 365--381 (2009; Zbl 1181.60058) Full Text: DOI
Maes, Christian; Netočný, Karel; Shergelashvili, Bidzina A selection of nonequilibrium issues. (English) Zbl 1180.82124 Kotecký, Roman (ed.), Methods of contemporary mathematical statistical physics. Lecture notes presented at the 5th Prague summer school on mathematical statistical physics, Prague, Czech Republik, September 2006. Berlin: Springer (ISBN 978-3-540-92795-2/pbk). Lecture Notes in Mathematics 1970, 247-306 (2009). MSC: 82C20 82C10 82C35 60K35 60F10 PDF BibTeX XML Cite \textit{C. Maes} et al., Lect. Notes Math. 1970, 247--306 (2009; Zbl 1180.82124) Full Text: DOI arXiv
Ankirchner, Stefan; Imkeller, Peter; Popier, Alexandre On measure solutions of backward stochastic differential equations. (English) Zbl 1181.60080 Stochastic Processes Appl. 119, No. 9, 2744-2772 (2009). Reviewer: Rainer Buckdahn (Brest) MSC: 60H10 60H20 60G44 PDF BibTeX XML Cite \textit{S. Ankirchner} et al., Stochastic Processes Appl. 119, No. 9, 2744--2772 (2009; Zbl 1181.60080) Full Text: DOI arXiv
Lawler, G. Schramm-Loewner evolution (SLE). (English) Zbl 1180.82002 Sheffield, Scott (ed.) et al., Statistical mechanics. Papers based on the presentations at the IAS/PCMI summer conference, Park City, UT, USA, July 1–21, 2007. Providence, RI: American Mathematical Society (AMS); Princeton, NJ: Institute for Advanced Study (ISBN 978-0-8218-4671-1). IAS/Park City Mathematics Series 16, 231-295 (2009). MSC: 82-01 82B41 81T40 82B20 97M50 PDF BibTeX XML Cite \textit{G. Lawler}, IAS/Park City Math. Ser. 16, 231--295 (2009; Zbl 1180.82002)
Hsu, Elton P.; Ouyang, Cheng Quasi-invariance of the Wiener measure on the path space over a complete Riemannian manifold. (English) Zbl 1173.58015 J. Funct. Anal. 257, No. 5, 1379-1395 (2009). Reviewer: Raouf Ghomrasni (Muizenberg) MSC: 58J65 60J65 PDF BibTeX XML Cite \textit{E. P. Hsu} and \textit{C. Ouyang}, J. Funct. Anal. 257, No. 5, 1379--1395 (2009; Zbl 1173.58015) Full Text: DOI
Zhang, Xicheng Clark-Ocone formula and variational representation for Poisson functionals. (English) Zbl 1179.60037 Ann. Probab. 37, No. 2, 506-529 (2009). Reviewer: Jean Picard (Aubière) MSC: 60H07 PDF BibTeX XML Cite \textit{X. Zhang}, Ann. Probab. 37, No. 2, 506--529 (2009; Zbl 1179.60037) Full Text: DOI arXiv
Ding, Deng The martingale approach for credit-risky exchange option pricing. (English) Zbl 1163.60318 Appl. Math. Sci., Ruse 3, No. 1-4, 129-140 (2009). MSC: 60H30 91G20 91G40 PDF BibTeX XML Cite \textit{D. Ding}, Appl. Math. Sci., Ruse 3, No. 1--4, 129--140 (2009; Zbl 1163.60318) Full Text: Link
Grecksch, W.; Roth, C.; Anh, V. V. \(Q\)-fractional Brownian motion in infinite dimensions with application to fractional Black-Scholes market. (English) Zbl 1158.60364 Stochastic Anal. Appl. 27, No. 1, 149-175 (2009). MSC: 60H40 60H15 91B28 60G15 PDF BibTeX XML Cite \textit{W. Grecksch} et al., Stochastic Anal. Appl. 27, No. 1, 149--175 (2009; Zbl 1158.60364) Full Text: DOI
Särkkä, Simo; Sottinen, Tommi Application of Girsanov theorem to particle filtering of discretely observed continuous-time non-linear systems. (English) Zbl 1330.93230 Bayesian Anal. 3, No. 3, 555-584 (2008). MSC: 93E11 62M20 PDF BibTeX XML Cite \textit{S. Särkkä} and \textit{T. Sottinen}, Bayesian Anal. 3, No. 3, 555--584 (2008; Zbl 1330.93230) Full Text: DOI Euclid
Zhu, Dan; Yang, Xiangqun The martingale pricing for convertible bonds with dividend-paying under stochastic interest. (Chinese. English summary) Zbl 1199.91064 Chin. J. Appl. Probab. Stat. 24, No. 6, 613-620 (2008). MSC: 91B25 91G20 60G48 PDF BibTeX XML Cite \textit{D. Zhu} and \textit{X. Yang}, Chin. J. Appl. Probab. Stat. 24, No. 6, 613--620 (2008; Zbl 1199.91064)
Xi, Xiaojun; Lin, Huonan A Girsanov-type transformation of measures for generalized Brownian motion and its applications. (Chinese. English summary) Zbl 1199.60306 J. Fujian Norm. Univ., Nat. Sci. 24, No. 4, 25-29 (2008). MSC: 60J65 60G57 PDF BibTeX XML Cite \textit{X. Xi} and \textit{H. Lin}, J. Fujian Norm. Univ., Nat. Sci. 24, No. 4, 25--29 (2008; Zbl 1199.60306)
Dong, Ying; Feng, Jinghai The hedging strategies of optimization in insurance payment processes. (Chinese. English summary) Zbl 1174.91484 Chin. J. Appl. Probab. Stat. 24, No. 2, 175-186 (2008). MSC: 91B30 91A80 PDF BibTeX XML Cite \textit{Y. Dong} and \textit{J. Feng}, Chin. J. Appl. Probab. Stat. 24, No. 2, 175--186 (2008; Zbl 1174.91484)
Muravlev, A. A. On stopping times connected with drawdowns and rallies of a Brownian motion with drift. (English. Russian original) Zbl 1181.60126 Russ. Math. Surv. 63, No. 6, 1149-1151 (2008); translation from Usp. Mat. Nauk 63, No. 6, 171-172 (2008). Reviewer: Josef Steinebach (Köln) MSC: 60J65 60G40 PDF BibTeX XML Cite \textit{A. A. Muravlev}, Russ. Math. Surv. 63, No. 6, 1149--1151 (2008; Zbl 1181.60126); translation from Usp. Mat. Nauk 63, No. 6, 171--172 (2008) Full Text: DOI
Li, Shujin; Li, Shenghong Exotic options pricing formulae with stochastic interest rates. (Chinese. English summary) Zbl 1174.62554 Acta Math. Sin., Chin. Ser. 51, No. 2, 299-310 (2008). MSC: 62P05 91B28 91B24 PDF BibTeX XML Cite \textit{S. Li} and \textit{S. Li}, Acta Math. Sin., Chin. Ser. 51, No. 2, 299--310 (2008; Zbl 1174.62554)
Goovaerts, Marc J.; Laeven, Roger J. A. Actuarial risk measures for financial derivative pricing. (English) Zbl 1152.91444 Insur. Math. Econ. 42, No. 2, 540-547 (2008). MSC: 91G20 91G70 91B30 PDF BibTeX XML Cite \textit{M. J. Goovaerts} and \textit{R. J. A. Laeven}, Insur. Math. Econ. 42, No. 2, 540--547 (2008; Zbl 1152.91444) Full Text: DOI
Szatzschneider, Wojciech Exponential martingales and CIR model. (English) Zbl 1153.91567 Stettner, Łukasz (ed.), Advances in mathematics of finance. Contributed papers of the 2nd general AMaMeF (advanced mathematical methods of finance) conference and Banach Center conference on advances in mathematics of finance, Bȩdlewo, Poland, April 30–May 5, 2007. Warsaw: Polish Academy of Sciences, Institute of Mathematics. Banach Center Publications 83, 243-249 (2008). MSC: 91B28 60G46 60H30 PDF BibTeX XML Cite \textit{W. Szatzschneider}, Banach Cent. Publ. 83, 243--249 (2008; Zbl 1153.91567)
Hurd, T. R.; Kuznetsov, A. Explicit formulas for Laplace transforms of stochastic integrals. (English) Zbl 1149.60021 Markov Process. Relat. Fields 14, No. 2, 277-290 (2008). MSC: 60G09 60H05 60E10 91B28 PDF BibTeX XML Cite \textit{T. R. Hurd} and \textit{A. Kuznetsov}, Markov Process. Relat. Fields 14, No. 2, 277--290 (2008; Zbl 1149.60021)
Baraka, Driss; Mountford, Thomas A law of the iterated logarithm for fractional Brownian motions. (English) Zbl 1157.60030 Donati-Martin, Catherine (ed.) et al., Séminaire de probabilités XLI. Some papers are selected contributions of the seminars in Nancy 2005 and Luminy 2006. Berlin: Springer (ISBN 978-3-540-77912-4/pbk). Lecture Notes in Mathematics 1934, 161-179 (2008). Reviewer: Werner Linde (Jena) MSC: 60G15 60G18 60J55 PDF BibTeX XML Cite \textit{D. Baraka} and \textit{T. Mountford}, Lect. Notes Math. 1934, 161--179 (2008; Zbl 1157.60030)
Wengenroth, Jochen Probability theory. (Wahrscheinlichkeitstheorie.) (German) Zbl 1162.60001 de Gruyter Lehrbuch. Berlin: de Gruyter (ISBN 978-3-11-020358-5/pbk). xiii, 240 p. (2008). Reviewer: Ilya Pavlyukevich (Berlin) MSC: 60-01 60Axx 60Exx 60Fxx 60Gxx 28-01 PDF BibTeX XML Cite \textit{J. Wengenroth}, Wahrscheinlichkeitstheorie. Berlin: de Gruyter (2008; Zbl 1162.60001) Full Text: DOI
Fitzsimmons, P. J. The Dirichlet form of a gradient-type drift transformation of a symmetric diffusion. (English) Zbl 1146.60064 Acta Math. Sin., Engl. Ser. 24, No. 7, 1057-1066 (2008). MSC: 60J60 31C25 60J35 PDF BibTeX XML Cite \textit{P. J. Fitzsimmons}, Acta Math. Sin., Engl. Ser. 24, No. 7, 1057--1066 (2008; Zbl 1146.60064) Full Text: DOI
Kawai, Reiichiro Adaptive Monte Carlo variance reduction for Lévy processes with two-time-scale stochastic approximation. (English) Zbl 1146.65012 Methodol. Comput. Appl. Probab. 10, No. 2, 199-223 (2008). Reviewer: Jaromir Antoch (Praha) MSC: 65C60 62L10 93E35 60G51 65C05 62J10 PDF BibTeX XML Cite \textit{R. Kawai}, Methodol. Comput. Appl. Probab. 10, No. 2, 199--223 (2008; Zbl 1146.65012) Full Text: DOI
Mishura, Yuliya Stochastic calculus for fractional Brownian motion and related processes. (English) Zbl 1138.60006 Lecture Notes in Mathematics 1929. Berlin: Springer (ISBN 978-3-540-75872-3/pbk; 978-3-540-75873-0/ebook). xvii, 393 p. (2008). Reviewer: Pavel Gapeev (London) MSC: 60-02 60G15 60G44 60G60 60H05 60H10 60H40 60G35 91B70 62F03 60F05 PDF BibTeX XML Cite \textit{Y. Mishura}, Stochastic calculus for fractional Brownian motion and related processes. Berlin: Springer (2008; Zbl 1138.60006) Full Text: DOI
Bahlali, K.; Mezerdi, B.; N’zi, M.; Ouknine, Y. Weak solutions and a Yamada-Watanabe theorem for FBSDEs. (English) Zbl 1199.60199 Random Oper. Stoch. Equ. 15, No. 3, 271-285 (2007). Reviewer: Rostyslav E. Yamnenko (Kyïv) MSC: 60H10 60H20 60H30 PDF BibTeX XML Cite \textit{K. Bahlali} et al., Random Oper. Stoch. Equ. 15, No. 3, 271--285 (2007; Zbl 1199.60199) Full Text: DOI
Ding, Deng; Chan, Kaleong The martingale approach for credit-risky option pricing. (English) Zbl 1150.91357 Chin. J. Appl. Probab. Stat. 23, No. 4, 395-406 (2007). MSC: 91G20 91G40 60H30 PDF BibTeX XML Cite \textit{D. Ding} and \textit{K. Chan}, Chin. J. Appl. Probab. Stat. 23, No. 4, 395--406 (2007; Zbl 1150.91357)