Hess, Markus The stochastic Leibniz formula for Volterra integrals under enlarged filtrations. (English) Zbl 07769910 Stoch. Models 39, No. 4, 823-850 (2023). MSC: 60H05 60H20 60G20 60G44 60H10 60G51 60G57 PDFBibTeX XMLCite \textit{M. Hess}, Stoch. Models 39, No. 4, 823--850 (2023; Zbl 07769910) Full Text: DOI
Breton, Jean-Christophe; El-Khatib, Youssef; Fan, Jun; Privault, Nicolas A \(q\)-binomial extension of the CRR asset pricing model. (English) Zbl 07769908 Stoch. Models 39, No. 4, 772-796 (2023). MSC: 91G20 60G42 60G50 PDFBibTeX XMLCite \textit{J.-C. Breton} et al., Stoch. Models 39, No. 4, 772--796 (2023; Zbl 07769908) Full Text: DOI arXiv
Cui, Zhenyu; Nguyen, Duy First hitting time of integral diffusions and applications. (English) Zbl 1380.60073 Stoch. Models 33, No. 3, 376-391 (2017). MSC: 60J60 60G44 44A10 91G20 PDFBibTeX XMLCite \textit{Z. Cui} and \textit{D. Nguyen}, Stoch. Models 33, No. 3, 376--391 (2017; Zbl 1380.60073) Full Text: DOI
Perera, Ryle S. An optimal investment and risk control policy for a bank under exponential utility. (English) Zbl 1408.91241 Stoch. Models 33, No. 3, 343-375 (2017). MSC: 91G70 91G10 60H10 60J75 60G44 91B16 PDFBibTeX XMLCite \textit{R. S. Perera}, Stoch. Models 33, No. 3, 343--375 (2017; Zbl 1408.91241) Full Text: DOI
Ernst, Philip On the arbitrage price of European call options. (English) Zbl 1378.91119 Stoch. Models 33, No. 1, 48-58 (2017). MSC: 91G20 60G42 60G48 91G30 PDFBibTeX XMLCite \textit{P. Ernst}, Stoch. Models 33, No. 1, 48--58 (2017; Zbl 1378.91119) Full Text: DOI
Agliardi, Rossella Optimal hedging through limit orders. (English) Zbl 1415.91275 Stoch. Models 32, No. 4, 593-605 (2016). MSC: 91G20 90C15 90C39 60G44 PDFBibTeX XMLCite \textit{R. Agliardi}, Stoch. Models 32, No. 4, 593--605 (2016; Zbl 1415.91275) Full Text: DOI
Barron, Y. An \((s, k, S)\) fluid inventory model with exponential leadtimes and order cancellations. (English) Zbl 1339.60128 Stoch. Models 32, No. 2, 301-332 (2016). MSC: 60K10 60J27 60J28 60G42 90B05 90B30 PDFBibTeX XMLCite \textit{Y. Barron}, Stoch. Models 32, No. 2, 301--332 (2016; Zbl 1339.60128) 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 PDFBibTeX XMLCite \textit{J. Blanchet} and \textit{J. Ruf}, Stoch. Models 32, No. 2, 233--252 (2016; Zbl 1339.60047) Full Text: DOI arXiv
Bielecki, Tomasz R.; Cialenco, Igor; Pitera, Marcin Dynamic limit growth indices in discrete time. (English) Zbl 1338.91158 Stoch. Models 31, No. 3, 494-523 (2015). MSC: 91G70 62P05 60G42 91B30 91B84 PDFBibTeX XMLCite \textit{T. R. Bielecki} et al., Stoch. Models 31, No. 3, 494--523 (2015; Zbl 1338.91158) Full Text: DOI arXiv
Asmussen, Søren Lévy processes, phase-type distributions, and martingales. (English) Zbl 1305.60033 Stoch. Models 30, No. 4, 443-468 (2014). MSC: 60G51 60G44 60J75 60J55 60K25 60K30 PDFBibTeX XMLCite \textit{S. Asmussen}, Stoch. Models 30, No. 4, 443--468 (2014; Zbl 1305.60033) Full Text: DOI
Cruz Rambaud, Salvador Arbitrage theory with state-price deflators. (English) Zbl 1274.91203 Stoch. Models 29, No. 3, 306-327 (2013). MSC: 91B25 60G42 91G20 91G50 PDFBibTeX XMLCite \textit{S. Cruz Rambaud}, Stoch. Models 29, No. 3, 306--327 (2013; Zbl 1274.91203) Full Text: DOI
Gabih, Abdelali; Sass, Jörn; Wunderlich, Ralf Utility maximization under bounded expected loss. (English) Zbl 1187.91198 Stoch. Models 25, No. 3, 375-407 (2009). MSC: 91G10 60G44 60H07 91B30 PDFBibTeX XMLCite \textit{A. Gabih} et al., Stoch. Models 25, No. 3, 375--407 (2009; Zbl 1187.91198) Full Text: DOI
Abramov, Vyacheslav M. The effective bandwidth problem revisited. (English) Zbl 1153.60390 Stoch. Models 24, No. 4, 527-557 (2008). MSC: 60K25 60K30 90B18 60H30 41A58 41A60 40E05 PDFBibTeX XMLCite \textit{V. M. Abramov}, Stoch. Models 24, No. 4, 527--557 (2008; Zbl 1153.60390) Full Text: DOI arXiv
García, J. C.; Quezada, R. Application of a non-conservativeness criterion to the Lindblad generator of the Azéma martingale semigroup. (English) Zbl 1152.81863 Stoch. Models 24, Suppl. 1, 184-193 (2008). MSC: 81S25 60G44 47N50 PDFBibTeX XMLCite \textit{J. C. García} and \textit{R. Quezada}, Stoch. Models 24, 184--193 (2008; Zbl 1152.81863) Full Text: DOI
Berman, O.; Perry, D.; Stadje, W. An \((s,r,S)\) diffusion inventory model with exponential leadtimes and order cancellations. (English) Zbl 1144.60317 Stoch. Models 24, No. 2, 191-211 (2008). MSC: 60K10 90B22 90B05 PDFBibTeX XMLCite \textit{O. Berman} et al., Stoch. Models 24, No. 2, 191--211 (2008; Zbl 1144.60317) Full Text: DOI
Schied, Alexander Risk measures and robust optimization problems. (English) Zbl 1211.91151 Stoch. Models 22, No. 4, 753-831 (2006). MSC: 91B30 46N10 60G44 91B16 91B80 PDFBibTeX XMLCite \textit{A. Schied}, Stoch. Models 22, No. 4, 753--831 (2006; Zbl 1211.91151) Full Text: DOI
O’Cinneide, Colm; Protter, Philip An elementary approach to naturality, predictability, and the fundamental theorem of local martingales. (English) Zbl 0998.60041 Stoch. Models 17, No. 4, 449-458 (2001). MSC: 60G44 PDFBibTeX XMLCite \textit{C. O'Cinneide} and \textit{P. Protter}, Stoch. Models 17, No. 4, 449--458 (2001; Zbl 0998.60041) Full Text: DOI