Costantini, Cristina; Kurtz, Thomas G. Localization for constrained martingale problems and optimal conditions for uniqueness of reflecting diffusions in 2-dimensional domains. (English) Zbl 07812494 Stochastic Processes Appl. 170, Article ID 104295, 15 p. (2024). MSC: 60J60 60H10 60J55 60G17 60J65 PDFBibTeX XMLCite \textit{C. Costantini} and \textit{T. G. Kurtz}, Stochastic Processes Appl. 170, Article ID 104295, 15 p. (2024; Zbl 07812494) Full Text: DOI arXiv
Aksamit, Anna; Choulli, Tahir; Deng, Jun; Jeanblanc, Monique No-arbitrage under additional information for thin semimartingale models. (English) Zbl 1479.60083 Stochastic Processes Appl. 129, No. 9, 3080-3115 (2019). MSC: 60G44 60H30 91G99 PDFBibTeX XMLCite \textit{A. Aksamit} et al., Stochastic Processes Appl. 129, No. 9, 3080--3115 (2019; Zbl 1479.60083) Full Text: DOI arXiv
Basse-O’Connor, Andreas; Nielsen, Mikkel Slot; Pedersen, Jan Equivalent martingale measures for Lévy-driven moving averages and related processes. (English) Zbl 1391.60035 Stochastic Processes Appl. 128, No. 8, 2538-2556 (2018). MSC: 60E07 60G10 60G51 60G57 60H05 PDFBibTeX XMLCite \textit{A. Basse-O'Connor} et al., Stochastic Processes Appl. 128, No. 8, 2538--2556 (2018; Zbl 1391.60035) Full Text: DOI arXiv
Fabbri, Giorgio; Russo, Francesco Infinite dimensional weak Dirichlet processes and convolution type processes. (English) Zbl 1353.60062 Stochastic Processes Appl. 127, No. 1, 325-357 (2017). MSC: 60H30 60H05 60H15 35R60 60G48 PDFBibTeX XMLCite \textit{G. Fabbri} and \textit{F. Russo}, Stochastic Processes Appl. 127, No. 1, 325--357 (2017; Zbl 1353.60062) Full Text: DOI arXiv
Song, Shiqi Drift operator in a viable expansion of information flow. (English) Zbl 1344.60038 Stochastic Processes Appl. 126, No. 8, 2297-2322 (2016). MSC: 60G07 60G44 60G40 91G80 PDFBibTeX XMLCite \textit{S. Song}, Stochastic Processes Appl. 126, No. 8, 2297--2322 (2016; Zbl 1344.60038) Full Text: DOI arXiv
Imkeller, Peter; Willrich, Niklas Solutions of martingale problems for Lévy-type operators with discontinuous coefficients and related SDEs. (English) Zbl 1334.60068 Stochastic Processes Appl. 126, No. 3, 703-734 (2016). MSC: 60G44 60H10 60G51 60G52 60J25 60J75 60G46 47G30 PDFBibTeX XMLCite \textit{P. Imkeller} and \textit{N. Willrich}, Stochastic Processes Appl. 126, No. 3, 703--734 (2016; Zbl 1334.60068) Full Text: DOI arXiv
Okhrati, Ramin; Balbás, Alejandro; Garrido, José Hedging of defaultable claims in a structural model using a locally risk-minimizing approach. (English) Zbl 1348.60067 Stochastic Processes Appl. 124, No. 9, 2868-2891 (2014). MSC: 60G48 60G51 91G80 PDFBibTeX XMLCite \textit{R. Okhrati} et al., Stochastic Processes Appl. 124, No. 9, 2868--2891 (2014; Zbl 1348.60067) Full Text: DOI arXiv
Ruf, Johannes A new proof for the conditions of Novikov and Kazamaki. (English) Zbl 1282.60048 Stochastic Processes Appl. 123, No. 2, 404-421 (2013). Reviewer: Nicolas Perkowski (Berlin) MSC: 60G44 60G05 PDFBibTeX XMLCite \textit{J. Ruf}, Stochastic Processes Appl. 123, No. 2, 404--421 (2013; Zbl 1282.60048) Full Text: DOI arXiv
Xing, Hao On backward stochastic differential equations and strict local martingales. (English) Zbl 1272.60038 Stochastic Processes Appl. 122, No. 6, 2265-2291 (2012). Reviewer: Rainer Buckdahn (Brest) MSC: 60H10 PDFBibTeX XMLCite \textit{H. Xing}, Stochastic Processes Appl. 122, No. 6, 2265--2291 (2012; Zbl 1272.60038) Full Text: DOI arXiv
Pal, Soumik; Protter, Philip Analysis of continuous strict local martingales via \(h\)-transforms. (English) Zbl 1198.60020 Stochastic Processes Appl. 120, No. 8, 1424-1443 (2010). MSC: 60G44 PDFBibTeX XMLCite \textit{S. Pal} and \textit{P. Protter}, Stochastic Processes Appl. 120, No. 8, 1424--1443 (2010; Zbl 1198.60020) Full Text: DOI arXiv
Choulli, Tahir; Vandaele, Nele; Vanmaele, Michèle The Föllmer-Schweizer decomposition: comparison and description. (English) Zbl 1196.60077 Stochastic Processes Appl. 120, No. 6, 853-872 (2010). Reviewer: Thomas Wakefield (Youngstown) MSC: 60G46 PDFBibTeX XMLCite \textit{T. Choulli} et al., Stochastic Processes Appl. 120, No. 6, 853--872 (2010; Zbl 1196.60077) Full Text: DOI
Blei, Stefan; Engelbert, Hans-Jürgen On exponential local martingales associated with strong Markov continuous local martingales. (English) Zbl 1192.60068 Stochastic Processes Appl. 119, No. 9, 2859-2880 (2009). Reviewer: Klaus Schürger (Bonn) MSC: 60G44 60G48 60G30 60J25 60J65 60H10 PDFBibTeX XMLCite \textit{S. Blei} and \textit{H.-J. Engelbert}, Stochastic Processes Appl. 119, No. 9, 2859--2880 (2009; Zbl 1192.60068) Full Text: DOI
Yang, Ming Occupation times and beyond. (English) Zbl 1059.60060 Stochastic Processes Appl. 97, No. 1, 77-93 (2002). MSC: 60G44 60E15 PDFBibTeX XMLCite \textit{M. Yang}, Stochastic Processes Appl. 97, No. 1, 77--93 (2002; Zbl 1059.60060) Full Text: DOI
Asmussen, Søren; Kella, Offer On optional stopping of some exponential martingales for Lévy processes with or without reflection. (English) Zbl 1047.60038 Stochastic Processes Appl. 91, No. 1, 47-55 (2001). MSC: 60G40 60J99 60G44 PDFBibTeX XMLCite \textit{S. Asmussen} and \textit{O. Kella}, Stochastic Processes Appl. 91, No. 1, 47--55 (2001; Zbl 1047.60038) Full Text: DOI
Peskir, Goran Designing options given the risk: The optimal Skorokhod-embedding problem. (English) Zbl 0965.60044 Stochastic Processes Appl. 81, No. 1, 25-38 (1999). Reviewer: P. Lachout (Praha) MSC: 60G40 91B28 62L15 PDFBibTeX XMLCite \textit{G. Peskir}, Stochastic Processes Appl. 81, No. 1, 25--38 (1999; Zbl 0965.60044) Full Text: DOI
Ivanoff, B. Gail; Merzbach, Ely Stopping and set-indexed local martingales. (English) Zbl 0826.60037 Stochastic Processes Appl. 57, No. 1, 83-98 (1995). Reviewer: Chou Ching Sung (Chung-Li) MSC: 60G48 PDFBibTeX XMLCite \textit{B. G. Ivanoff} and \textit{E. Merzbach}, Stochastic Processes Appl. 57, No. 1, 83--98 (1995; Zbl 0826.60037) Full Text: DOI
Utikal, Klaus J. Nonparametric inference for a doubly stochastic Poisson process. (English) Zbl 0782.62050 Stochastic Processes Appl. 45, No. 2, 331-349 (1993). Reviewer: A.V.Nagaev (Tashkent) MSC: 62G07 62M99 62G20 60F05 62G10 PDFBibTeX XMLCite \textit{K. J. Utikal}, Stochastic Processes Appl. 45, No. 2, 331--349 (1993; Zbl 0782.62050) Full Text: DOI
Bassan, Bruno; Çinlar, Erhan; Scarsini, Marco Stochastic comparisons of Itô processes. (English) Zbl 0766.60066 Stochastic Processes Appl. 45, No. 1, 1-11 (1993). Reviewer: A.Dale (Durban) MSC: 60H10 60G99 60J35 PDFBibTeX XMLCite \textit{B. Bassan} et al., Stochastic Processes Appl. 45, No. 1, 1--11 (1993; Zbl 0766.60066) Full Text: DOI
Vallois, P. Some inequalities with local times in zero of a Brownian motion. (Quelques inégalités avec le temps local en zero du mouvement Brownien.) (French) Zbl 0754.60089 Stochastic Processes Appl. 41, No. 1, 117-155 (1992). Reviewer: J.Bertoin (Paris) MSC: 60J65 60G40 60G46 60J55 PDFBibTeX XMLCite \textit{P. Vallois}, Stochastic Processes Appl. 41, No. 1, 117--155 (1992; Zbl 0754.60089) Full Text: DOI
Kallenberg, Olav Some time change representations of stable integrals, via predictable transformations of local martingales. (English) Zbl 0754.60044 Stochastic Processes Appl. 40, No. 2, 199-223 (1992). Reviewer: F.Papangelou (Manchester) MSC: 60G44 60G55 60H05 PDFBibTeX XMLCite \textit{O. Kallenberg}, Stochastic Processes Appl. 40, No. 2, 199--223 (1992; Zbl 0754.60044) Full Text: DOI
Rozkosz, Andrzej; Słomiński, Leszek On existence and stability of weak solutions of multidimensional stochastic differential equations with measurable coefficients. (English) Zbl 0728.60066 Stochastic Processes Appl. 37, No. 2, 187-197 (1991). Reviewer: B.G.Pachpatte (Aurangabad) MSC: 60H20 60H10 60F05 60J60 PDFBibTeX XMLCite \textit{A. Rozkosz} and \textit{L. Słomiński}, Stochastic Processes Appl. 37, No. 2, 187--197 (1991; Zbl 0728.60066) Full Text: DOI
El Karoui, Nicole; Roelly, Sylvie Propriétés de martingales, explosion et représentation de Lévy- Khintchine d’une classe de processus de branchement à valeurs mesures. (Martingale properties, explosions and Levy-Khinchine representation of measure valued branching processes). (French) Zbl 0743.60081 Stochastic Processes Appl. 38, No. 2, 239-266 (1991). Reviewer: B.Grigelionis (Vilnius) MSC: 60J80 60G44 PDFBibTeX XMLCite \textit{N. El Karoui} and \textit{S. Roelly}, Stochastic Processes Appl. 38, No. 2, 239--266 (1991; Zbl 0743.60081) Full Text: DOI
Schweizer, Martin Option hedging for semimartingales. (English) Zbl 0735.90028 Stochastic Processes Appl. 37, No. 2, 339-363 (1991). MSC: 91B62 91B26 93E03 91B60 PDFBibTeX XMLCite \textit{M. Schweizer}, Stochastic Processes Appl. 37, No. 2, 339--363 (1991; Zbl 0735.90028) Full Text: DOI
Mao, Xuerong Exponential stability for stochastic differential equations with respect to semimartingales. (English) Zbl 0718.60061 Stochastic Processes Appl. 35, No. 2, 267-277 (1990). Reviewer: L.Arnold (Bremen) MSC: 60H10 93E15 PDFBibTeX XMLCite \textit{X. Mao}, Stochastic Processes Appl. 35, No. 2, 267--277 (1990; Zbl 0718.60061) Full Text: DOI
Nualart, D.; Sanz, M.; Zakai, M. On the relations between increasing functions associated with two- parameter continuous martingales. (English) Zbl 0691.60040 Stochastic Processes Appl. 34, No. 1, 99-119 (1990). Reviewer: G.Zbaganu MSC: 60G44 PDFBibTeX XMLCite \textit{D. Nualart} et al., Stochastic Processes Appl. 34, No. 1, 99--119 (1990; Zbl 0691.60040) Full Text: DOI
Brown, Timothy C.; Nair, M. Gopalan Poisson approximations for time-changed point processes. (English) Zbl 0651.60062 Stochastic Processes Appl. 29, No. 2, 247-256 (1988). Reviewer: P.Weiss MSC: 60G55 PDFBibTeX XMLCite \textit{T. C. Brown} and \textit{M. G. Nair}, Stochastic Processes Appl. 29, No. 2, 247--256 (1988; Zbl 0651.60062) Full Text: DOI
Betz, Cristina; Gzyl, Henryk Remarks on the equation \(dX_t=a(X_t)dB_t\). (English) Zbl 0458.60059 Stochastic Processes Appl. 11, 313-315 (1981). MSC: 60H10 60J65 PDFBibTeX XMLCite \textit{C. Betz} and \textit{H. Gzyl}, Stochastic Processes Appl. 11, 313--315 (1981; Zbl 0458.60059) Full Text: DOI