Yang, Xue Reflecting image-dependent SDEs in Wasserstein space and large deviation principle. (English) Zbl 07800074 Stochastics 95, No. 8, 1361-1394 (2023). Reviewer: Ivan Podvigin (Novosibirsk) MSC: 60H15 60G46 60H10 PDFBibTeX XMLCite \textit{X. Yang}, Stochastics 95, No. 8, 1361--1394 (2023; Zbl 07800074) Full Text: DOI
Qi, Zongfeng; Zhou, Jinyu; Yan, Jigao Complete moment convergence for maximum of randomly weighted sums of martingale difference sequences. (English) Zbl 1518.60048 Stochastics 95, No. 5, 941-961 (2023). MSC: 60F15 60G46 60G50 62G08 PDFBibTeX XMLCite \textit{Z. Qi} et al., Stochastics 95, No. 5, 941--961 (2023; Zbl 1518.60048) Full Text: DOI
Mania, Michael; Tevzadze, Revaz Martingale transformations of Brownian motion with application to functional equations. (English) Zbl 1524.60085 Stochastics 95, No. 3, 377-395 (2023). MSC: 60G44 60J65 97I70 PDFBibTeX XMLCite \textit{M. Mania} and \textit{R. Tevzadze}, Stochastics 95, No. 3, 377--395 (2023; Zbl 1524.60085) Full Text: DOI arXiv
Zhitlukhin, Mikhail Asymptotic minimization of expected time to reach a large wealth level in an asset market game. (English) Zbl 1528.91072 Stochastics 95, No. 1, 67-78 (2023). MSC: 91G15 91A80 60H30 PDFBibTeX XMLCite \textit{M. Zhitlukhin}, Stochastics 95, No. 1, 67--78 (2023; Zbl 1528.91072) Full Text: DOI arXiv
Ji, Shaolin; Liu, Haodong Solvability of forward-backward stochastic difference equations with finite states. (English) Zbl 1505.39017 Stochastics 94, No. 6, 905-925 (2022). MSC: 39A50 60G42 PDFBibTeX XMLCite \textit{S. Ji} and \textit{H. Liu}, Stochastics 94, No. 6, 905--925 (2022; Zbl 1505.39017) Full Text: DOI arXiv
Chikvinidze, B. The mixed Novikov-Kazamaki type condition for the uniform integrability of the general stochastic exponential. (English) Zbl 1492.60112 Stochastics 94, No. 5, 710-722 (2022). MSC: 60G44 60H05 PDFBibTeX XMLCite \textit{B. Chikvinidze}, Stochastics 94, No. 5, 710--722 (2022; Zbl 1492.60112) Full Text: DOI
Madoui, Imène; Eddahbi, Mhamed; Khelfallah, Nabil Quadratic BSDEs with jumps and related PIDEs. (English) Zbl 1497.60079 Stochastics 94, No. 3, 386-414 (2022). MSC: 60H10 60H30 60G44 PDFBibTeX XMLCite \textit{I. Madoui} et al., Stochastics 94, No. 3, 386--414 (2022; Zbl 1497.60079) Full Text: DOI
Abdelghani, Mohamed; Melnikov, Alexander; Pak, Andrey On comparison theorem for optional SDEs via local times and applications. (English) Zbl 1496.60059 Stochastics 94, No. 3, 365-385 (2022). MSC: 60H10 60G44 60H20 PDFBibTeX XMLCite \textit{M. Abdelghani} et al., Stochastics 94, No. 3, 365--385 (2022; Zbl 1496.60059) Full Text: DOI
Di Tella, P.; Engelbert, H.-J. Martingale representation in progressively enlarged Lévy filtrations. (English) Zbl 1492.60147 Stochastics 94, No. 2, 311-333 (2022). MSC: 60H05 60G46 60G51 60H30 60G44 PDFBibTeX XMLCite \textit{P. Di Tella} and \textit{H. J. Engelbert}, Stochastics 94, No. 2, 311--333 (2022; Zbl 1492.60147) Full Text: DOI arXiv
Valjarević, Dragana; Petrović, Ljiljana Statistical causality and purely discontinuous local martingales. (English) Zbl 1496.60039 Stochastics 93, No. 7, 1043-1051 (2021). MSC: 60G44 60G51 62P20 60H07 PDFBibTeX XMLCite \textit{D. Valjarević} and \textit{L. Petrović}, Stochastics 93, No. 7, 1043--1051 (2021; Zbl 1496.60039) Full Text: DOI
Caines, Peter E.; Levanony, David On bounded solutions of linear SDEs driven by convergent system matrix processes with Hurwitz limits. (English) Zbl 1490.60144 Stochastics 93, No. 6, 857-867 (2021). MSC: 60H10 60G17 60G44 93E03 93E15 PDFBibTeX XMLCite \textit{P. E. Caines} and \textit{D. Levanony}, Stochastics 93, No. 6, 857--867 (2021; Zbl 1490.60144) Full Text: DOI
Babaei, Esmaeil; Evstigneev, Igor V.; Schenk-Hoppé, Klaus Reiner; Zhitlukhin, Mikhail Von Neumann-Gale model, market frictions and capital growth. (English) Zbl 1489.91155 Stochastics 93, No. 2, 279-310 (2021). MSC: 91B62 60G17 60G42 PDFBibTeX XMLCite \textit{E. Babaei} et al., Stochastics 93, No. 2, 279--310 (2021; Zbl 1489.91155) Full Text: DOI
Sakrani, Samia Representation of martingales under signed measures and the study of the classes \(\sum_s\) and \(\sum'_s\). (English) Zbl 1490.60101 Stochastics 93, No. 2, 196-210 (2021). MSC: 60G44 60J65 PDFBibTeX XMLCite \textit{S. Sakrani}, Stochastics 93, No. 2, 196--210 (2021; Zbl 1490.60101) Full Text: DOI
Frikha, Noufel; Li, Libo Parametrix method for the first hitting time of an elliptic diffusion with irregular coefficients. (English) Zbl 1490.60155 Stochastics 93, No. 2, 167-195 (2021). MSC: 60H10 35K65 60G46 60H30 PDFBibTeX XMLCite \textit{N. Frikha} and \textit{L. Li}, Stochastics 93, No. 2, 167--195 (2021; Zbl 1490.60155) Full Text: DOI
Andrusiv, Andrii; Engelbert, Hans-Jürgen On the minimal entropy martingale measure for Lévy processes. (English) Zbl 1490.60111 Stochastics 92, No. 8, 1223-1243 (2020). MSC: 60G51 60G44 91B16 91G99 PDFBibTeX XMLCite \textit{A. Andrusiv} and \textit{H.-J. Engelbert}, Stochastics 92, No. 8, 1223--1243 (2020; Zbl 1490.60111) Full Text: DOI arXiv
Kurenok, V. P. On solutions of equations with measurable coefficients driven by \(\alpha\)- stable processes. (English) Zbl 1490.60169 Stochastics 92, No. 7, 1021-1042 (2020). MSC: 60H10 60J60 60J65 60G44 PDFBibTeX XMLCite \textit{V. P. Kurenok}, Stochastics 92, No. 7, 1021--1042 (2020; Zbl 1490.60169) Full Text: DOI arXiv
Di Tella, P.; Geiss, C. Product and moment formulas for iterated stochastic integrals (associated with Lévy processes). (English) Zbl 1490.60136 Stochastics 92, No. 6, 969-1004 (2020). MSC: 60H07 60G46 60G51 60H05 60G44 PDFBibTeX XMLCite \textit{P. Di Tella} and \textit{C. Geiss}, Stochastics 92, No. 6, 969--1004 (2020; Zbl 1490.60136) Full Text: DOI arXiv
Criens, David On the existence of semimartingales with continuous characteristics. (English) Zbl 1490.60074 Stochastics 92, No. 5, 785-813 (2020). MSC: 60G07 60G48 60H10 PDFBibTeX XMLCite \textit{D. Criens}, Stochastics 92, No. 5, 785--813 (2020; Zbl 1490.60074) Full Text: DOI arXiv
Dong, Yuchao; Yang, Xue; Zhang, Jing The obstacle problem for quasilinear stochastic integral-partial differential equations. (English) Zbl 1523.60117 Stochastics 92, No. 2, 297-333 (2020). Reviewer: Iulian Stoleriu (Iaşi) MSC: 60H20 60G46 35R60 PDFBibTeX XMLCite \textit{Y. Dong} et al., Stochastics 92, No. 2, 297--333 (2020; Zbl 1523.60117) Full Text: DOI arXiv
Krylov, N. V. A few comments on a result of A. Novikov and Girsanov’s theorem. (English) Zbl 1492.60113 Stochastics 91, No. 8, 1186-1189 (2019). MSC: 60G44 60H10 PDFBibTeX XMLCite \textit{N. V. Krylov}, Stochastics 91, No. 8, 1186--1189 (2019; Zbl 1492.60113) Full Text: DOI arXiv
Haussmann, U. G.; Pirvu, T. A. An extension of the Clark-Haussmann formula and applications. (English) Zbl 1498.91388 Stochastics 91, No. 6, 895-904 (2019). MSC: 91G10 60H30 60G44 PDFBibTeX XMLCite \textit{U. G. Haussmann} and \textit{T. A. Pirvu}, Stochastics 91, No. 6, 895--904 (2019; Zbl 1498.91388) Full Text: DOI arXiv
Abdelghani, Mohamed; Melnikov, Alexander Optional decomposition of optional supermartingales and applications to filtering and finance. (English) Zbl 1496.91081 Stochastics 91, No. 6, 797-816 (2019). MSC: 91G15 60G48 PDFBibTeX XMLCite \textit{M. Abdelghani} and \textit{A. Melnikov}, Stochastics 91, No. 6, 797--816 (2019; Zbl 1496.91081) Full Text: DOI
Łochowski, Rafał Marcin Quadratic variation of a càdlàg semimartingale as a.s. limit of the normalized truncated variations. (English) Zbl 1492.60117 Stochastics 91, No. 4, 629-642 (2019). MSC: 60G48 60H05 PDFBibTeX XMLCite \textit{R. M. Łochowski}, Stochastics 91, No. 4, 629--642 (2019; Zbl 1492.60117) Full Text: DOI arXiv
Calzolari, Antonella; Torti, Barbara Martingale representations in progressive enlargement by the reference filtration of a semi-martingale: a note on the multidimensional case. (English) Zbl 1492.60116 Stochastics 91, No. 2, 265-287 (2019). MSC: 60G48 60G44 60H05 60H30 91G99 PDFBibTeX XMLCite \textit{A. Calzolari} and \textit{B. Torti}, Stochastics 91, No. 2, 265--287 (2019; Zbl 1492.60116) Full Text: DOI arXiv
Berkaoui, Abdelkarem On representations of the set of supermartingale measures and applications in continuous time. (English) Zbl 1492.60107 Stochastics 91, No. 1, 96-113 (2019). MSC: 60G42 91B24 PDFBibTeX XMLCite \textit{A. Berkaoui}, Stochastics 91, No. 1, 96--113 (2019; Zbl 1492.60107) Full Text: DOI
Rásonyi, Miklós On utility maximization without passing by the dual problem. (English) Zbl 1498.91406 Stochastics 90, No. 7, 955-971 (2018). MSC: 91G10 91B16 60G44 60H30 PDFBibTeX XMLCite \textit{M. Rásonyi}, Stochastics 90, No. 7, 955--971 (2018; Zbl 1498.91406) Full Text: DOI arXiv Link
Li, Bin; Wang, Lihe; Xiong, Dewen Robust utility maximization with extremely ambiguity-loving and ambiguity-aversion preferences. (English) Zbl 1498.91393 Stochastics 90, No. 4, 524-538 (2018). MSC: 91G10 60G44 60H30 60H10 PDFBibTeX XMLCite \textit{B. Li} et al., Stochastics 90, No. 4, 524--538 (2018; Zbl 1498.91393) Full Text: DOI
Balka, Richárd; Tómács, Tibor Baum-Katz type theorems with exact threshold. (English) Zbl 1495.60012 Stochastics 90, No. 4, 473-503 (2018). MSC: 60F15 60G42 60G50 60F10 PDFBibTeX XMLCite \textit{R. Balka} and \textit{T. Tómács}, Stochastics 90, No. 4, 473--503 (2018; Zbl 1495.60012) Full Text: DOI arXiv
Petrović, Ljiljana; Valjarević, Dragana Statistical causality, martingale problems and local uniqueness. (English) Zbl 1498.60165 Stochastics 90, No. 2, 200-213 (2018). MSC: 60G44 60G07 60G40 PDFBibTeX XMLCite \textit{L. Petrović} and \textit{D. Valjarević}, Stochastics 90, No. 2, 200--213 (2018; Zbl 1498.60165) Full Text: DOI
Bórquez, R. Martingales with sufficient statistics. (English) Zbl 1498.60162 Stochastics 90, No. 2, 165-171 (2018). MSC: 60G44 62B05 PDFBibTeX XMLCite \textit{R. Bórquez}, Stochastics 90, No. 2, 165--171 (2018; Zbl 1498.60162) Full Text: DOI
Szabłowski, Paweł J. Markov processes, polynomial martingales and orthogonal polynomials. (English) Zbl 1498.60313 Stochastics 90, No. 1, 61-77 (2018). MSC: 60J25 60G42 PDFBibTeX XMLCite \textit{P. J. Szabłowski}, Stochastics 90, No. 1, 61--77 (2018; Zbl 1498.60313) Full Text: DOI arXiv
Eyi-Obiang, Fulgence; Ouknine, Youssef; Moutsinga, Octave; Trutnau, Gerald Some contributions to the study of stochastic processes of the classes \(\Sigma (H)\) and \((\Sigma)\). (English) Zbl 1394.60056 Stochastics 89, No. 8, 1253-1269 (2017). MSC: 60H05 60G40 60G44 60J55 PDFBibTeX XMLCite \textit{F. Eyi-Obiang} et al., Stochastics 89, No. 8, 1253--1269 (2017; Zbl 1394.60056) Full Text: DOI arXiv
Gu, Lingqi; Lin, Yiqing; Yang, Junjian On the existence of shadow prices for optimal investment with random endowment. (English) Zbl 1395.91405 Stochastics 89, No. 6-7, 1082-1103 (2017). MSC: 91G10 60H30 60G44 PDFBibTeX XMLCite \textit{L. Gu} et al., Stochastics 89, No. 6--7, 1082--1103 (2017; Zbl 1395.91405) Full Text: DOI arXiv
Cai, Jiatu; Rosenbaum, Mathieu; Tankov, Peter Asymptotic optimal tracking: feedback strategies. (English) Zbl 1397.93080 Stochastics 89, No. 6-7, 943-966 (2017). MSC: 93B52 93D20 60G44 PDFBibTeX XMLCite \textit{J. Cai} et al., Stochastics 89, No. 6--7, 943--966 (2017; Zbl 1397.93080) Full Text: DOI arXiv
Choulli, Tahir; Deng, Jun No-arbitrage for informational discrete time market models. (English) Zbl 1410.91243 Stochastics 89, No. 3-4, 628-653 (2017). MSC: 91B26 91B70 60G42 PDFBibTeX XMLCite \textit{T. Choulli} and \textit{J. Deng}, Stochastics 89, No. 3--4, 628--653 (2017; Zbl 1410.91243) Full Text: DOI arXiv
Chikvinidze, B. A new sufficient condition for uniform integrability of stochastic exponentials. (English) Zbl 1379.60047 Stochastics 89, No. 3-4, 619-627 (2017). MSC: 60G44 PDFBibTeX XMLCite \textit{B. Chikvinidze}, Stochastics 89, No. 3--4, 619--627 (2017; Zbl 1379.60047) Full Text: DOI
Mereu, Carla; Stelzer, Robert A BSDE arising in an exponential utility maximization problem in a pure jump market model. (English) Zbl 1411.91575 Stochastics 89, No. 1, 240-258 (2017). MSC: 91G20 60G51 60H10 60J75 60G44 91B16 PDFBibTeX XMLCite \textit{C. Mereu} and \textit{R. Stelzer}, Stochastics 89, No. 1, 240--258 (2017; Zbl 1411.91575) Full Text: DOI arXiv
Andruszkiewicz, Grzegorz; Davis, Mark H. A.; Lleo, Sébastien Risk-sensitive investment in a finite-factor model. (English) Zbl 1411.91474 Stochastics 89, No. 1, 89-114 (2017). MSC: 91G10 93E20 60J75 60G44 PDFBibTeX XMLCite \textit{G. Andruszkiewicz} et al., Stochastics 89, No. 1, 89--114 (2017; Zbl 1411.91474) Full Text: DOI arXiv Link
Thang, Dang Hung; Son, Ta Cong On the convergence of the product of independent random operators. (English) Zbl 1352.60095 Stochastics 88, No. 6, 927-945 (2016). MSC: 60H25 60F15 60B11 60B12 60G42 47B80 37L55 PDFBibTeX XMLCite \textit{D. H. Thang} and \textit{T. C. Son}, Stochastics 88, No. 6, 927--945 (2016; Zbl 1352.60095) Full Text: DOI
Calzolari, Antonella; Torti, Barbara Enlargement of filtration and predictable representation property for semi-martingales. (English) Zbl 1352.60064 Stochastics 88, No. 5, 680-698 (2016). MSC: 60G48 60G44 60H05 60H30 91G20 PDFBibTeX XMLCite \textit{A. Calzolari} and \textit{B. Torti}, Stochastics 88, No. 5, 680--698 (2016; Zbl 1352.60064) Full Text: DOI arXiv
Jin, Sixian; Peng, Qidi; Schellhorn, Henry A representation theorem for smooth Brownian martingales. (English) Zbl 1352.60062 Stochastics 88, No. 5, 651-679 (2016). MSC: 60G44 60J65 60H07 60G15 60G22 PDFBibTeX XMLCite \textit{S. Jin} et al., Stochastics 88, No. 5, 651--679 (2016; Zbl 1352.60062) Full Text: DOI arXiv
Lepinette, Emmanuel; Tran, Tuan General financial market model defined by a liquidation value process. (English) Zbl 1338.91166 Stochastics 88, No. 3, 437-459 (2016). MSC: 91G80 60G42 91B24 91G10 PDFBibTeX XMLCite \textit{E. Lepinette} and \textit{T. Tran}, Stochastics 88, No. 3, 437--459 (2016; Zbl 1338.91166) Full Text: DOI
Choulli, Tahir; Schweizer, Martin Locally \(\Phi\)-integrable \(\sigma\)-martingale densities for general semimartingales. (English) Zbl 1337.60083 Stochastics 88, No. 2, 191-266 (2016). MSC: 60G48 60G44 60G07 91G80 91B02 PDFBibTeX XMLCite \textit{T. Choulli} and \textit{M. Schweizer}, Stochastics 88, No. 2, 191--266 (2016; Zbl 1337.60083) Full Text: DOI
Vakeroudis, Stavros On the windings of complex-valued Ornstein-Uhlenbeck processes driven by a Brownian motion and by a stable process. (English) Zbl 1408.60071 Stochastics 87, No. 5, 766-793 (2015). MSC: 60J60 60H10 60J65 60G52 60F05 60H05 60G44 60G51 PDFBibTeX XMLCite \textit{S. Vakeroudis}, Stochastics 87, No. 5, 766--793 (2015; Zbl 1408.60071) Full Text: DOI arXiv
Gerhold, Stefan; Kleinert, Max; Porkert, Piet; Shkolnikov, Mykhaylo Small time central limit theorems for semimartingales with applications. (English) Zbl 1337.60020 Stochastics 87, No. 5, 723-746 (2015). MSC: 60F05 60F17 60G48 60H10 91G20 91G80 PDFBibTeX XMLCite \textit{S. Gerhold} et al., Stochastics 87, No. 5, 723--746 (2015; Zbl 1337.60020) Full Text: DOI arXiv
Joulin, Aldéric; Manou-Abi, Solym Mawaki A note on convex ordering for stable stochastic integrals. (English) Zbl 1337.60109 Stochastics 87, No. 4, 592-603 (2015). MSC: 60H05 60G52 60E15 60G44 PDFBibTeX XMLCite \textit{A. Joulin} and \textit{S. M. Manou-Abi}, Stochastics 87, No. 4, 592--603 (2015; Zbl 1337.60109) Full Text: DOI HAL
Osękowski, Adam Estimates for the diameter of a martingale. (English) Zbl 1326.60059 Stochastics 87, No. 2, 235-256 (2015). MSC: 60G44 60J65 60G40 PDFBibTeX XMLCite \textit{A. Osękowski}, Stochastics 87, No. 2, 235--256 (2015; Zbl 1326.60059) Full Text: DOI
Miao, Yu; Yang, Guangyu; Stoica, George On the rate of convergence in the strong law of large numbers for martingales. (English) Zbl 1332.60045 Stochastics 87, No. 2, 185-198 (2015). Reviewer: Peter Kern (Düsseldorf) MSC: 60F15 60G42 PDFBibTeX XMLCite \textit{Y. Miao} et al., Stochastics 87, No. 2, 185--198 (2015; Zbl 1332.60045) Full Text: DOI
Di Tella, P.; Engelbert, H.-J. On the predictable representation property of martingales associated with Lévy processes. (English) Zbl 1320.60104 Stochastics 87, No. 1, 170-184 (2015). MSC: 60G44 60G51 60G52 60G57 60H05 PDFBibTeX XMLCite \textit{P. Di Tella} and \textit{H. J. Engelbert}, Stochastics 87, No. 1, 170--184 (2015; Zbl 1320.60104) Full Text: DOI Link
Wong, Bernard On “A note on arbitrage, approximate arbitrage and the fundamental theorem of asset pricing”. (English) Zbl 1338.91167 Stochastics 86, No. 6, 1022 (2014). MSC: 91G80 60G44 91B25 60H30 60H05 PDFBibTeX XMLCite \textit{B. Wong}, Stochastics 86, No. 6, 1022 (2014; Zbl 1338.91167) Full Text: DOI
Fontana, Claudio A note on arbitrage, approximate arbitrage and the fundamental theorem of asset pricing. (English) Zbl 1337.91153 Stochastics 86, No. 6, 922-931 (2014). MSC: 91G80 60G44 91B25 60H30 60H05 PDFBibTeX XMLCite \textit{C. Fontana}, Stochastics 86, No. 6, 922--931 (2014; Zbl 1337.91153) Full Text: DOI arXiv
Berkaoui, Abdelkarem On a generalized optional decomposition theorem. (English) Zbl 1337.60082 Stochastics 86, No. 6, 906-921 (2014). MSC: 60G48 91G80 PDFBibTeX XMLCite \textit{A. Berkaoui}, Stochastics 86, No. 6, 906--921 (2014; Zbl 1337.60082) Full Text: DOI
Buonaguidi, B.; Muliere, P. On the martingale and free-boundary approaches in sequential detection problems with exponential penalty for delay. (English) Zbl 1337.60069 Stochastics 86, No. 6, 865-869 (2014). MSC: 60G40 60G44 35R35 PDFBibTeX XMLCite \textit{B. Buonaguidi} and \textit{P. Muliere}, Stochastics 86, No. 6, 865--869 (2014; Zbl 1337.60069) Full Text: DOI
Curry, Charles; Ebrahimi-Fard, Kurusch; Malham, Simon J. A.; Wiese, Anke Lévy processes and quasi-shuffle algebras. (English) Zbl 1337.60152 Stochastics 86, No. 4, 632-642 (2014). MSC: 60H30 60G51 60G44 PDFBibTeX XMLCite \textit{C. Curry} et al., Stochastics 86, No. 4, 632--642 (2014; Zbl 1337.60152) Full Text: DOI arXiv
Peng, Shige; Song, Yongsheng; Zhang, Jianfeng A complete representation theorem for \(G\)-martingales. (English) Zbl 1337.60130 Stochastics 86, No. 4, 609-631 (2014). MSC: 60H10 60H30 PDFBibTeX XMLCite \textit{S. Peng} et al., Stochastics 86, No. 4, 609--631 (2014; Zbl 1337.60130) Full Text: DOI arXiv
Obiang, Fulgence Eyi; Ouknine, Youssef; Moutsinga, Octave New classes of processes in stochastic calculus for signed measures. (English) Zbl 1334.60136 Stochastics 86, No. 1, 70-86 (2014). MSC: 60H99 60G48 PDFBibTeX XMLCite \textit{F. E. Obiang} et al., Stochastics 86, No. 1, 70--86 (2014; Zbl 1334.60136) Full Text: DOI arXiv
Eyraud-Loisel, Anne Quadratic hedging in an incomplete market derived by an influential informed investor. (English) Zbl 1285.91125 Stochastics 85, No. 3, 412-430 (2013). MSC: 91G20 60H10 60G44 60H07 PDFBibTeX XMLCite \textit{A. Eyraud-Loisel}, Stochastics 85, No. 3, 412--430 (2013; Zbl 1285.91125) Full Text: DOI HAL
Hakassou, Antoine; Ouknine, Youssef IDT processes and associated Lévy processes with explicit constructions. (English) Zbl 1326.60065 Stochastics 85, No. 6, 1073-1111 (2013). Reviewer: Bernhard Burgstaller (Florianópolis) MSC: 60G51 60G15 60G60 60E07 60G48 60G44 60G10 60G30 PDFBibTeX XMLCite \textit{A. Hakassou} and \textit{Y. Ouknine}, Stochastics 85, No. 6, 1073--1111 (2013; Zbl 1326.60065) Full Text: DOI arXiv
Breton, Jean-Christophe; Laquerrière, Benjamin; Privault, Nicolas Convex comparison inequalities for non-Markovian stochastic integrals. (English) Zbl 1296.60138 Stochastics 85, No. 5, 789-806 (2013). Reviewer: Jordan M. Stoyanov (Newcastle upon Tyne) MSC: 60H05 60H07 60E15 60G44 60G55 PDFBibTeX XMLCite \textit{J.-C. Breton} et al., Stochastics 85, No. 5, 789--806 (2013; Zbl 1296.60138) Full Text: DOI
Jacka, Saul A simple proof of Kramkov’s result on uniform supermartingale decompositions. (English) Zbl 1255.60072 Stochastics 84, No. 5-6, 599-602 (2012). MSC: 60G44 60G07 PDFBibTeX XMLCite \textit{S. Jacka}, Stochastics 84, No. 5--6, 599--602 (2012; Zbl 1255.60072) Full Text: DOI Link
Biagini, Sara; Sîrbu, Mihai A note on admissibility when the credit line is infinite. (English) Zbl 1251.91074 Stochastics 84, No. 2-3, 157-169 (2012). MSC: 91G80 91G40 60G48 60G44 49N15 46E30 46N30 91B16 PDFBibTeX XMLCite \textit{S. Biagini} and \textit{M. Sîrbu}, Stochastics 84, No. 2--3, 157--169 (2012; Zbl 1251.91074) Full Text: DOI
Kühn, Christoph Nonlinear stochastic integration with a non-smooth family of integrators. (English) Zbl 1255.60084 Stochastics 84, No. 1, 37-53 (2012). MSC: 60H05 60G44 60G48 PDFBibTeX XMLCite \textit{C. Kühn}, Stochastics 84, No. 1, 37--53 (2012; Zbl 1255.60084) Full Text: DOI
Gapeev, Pavel V.; Lerche, Hans Rudolf On the structure of discounted optimal stopping problems for one-dimensional diffusions. (English) Zbl 1250.60020 Stochastics 83, No. 4-6, 537-554 (2011). Reviewer: Jan Kallsen (Kiel) MSC: 60G40 60G44 60J25 91G80 35R35 PDFBibTeX XMLCite \textit{P. V. Gapeev} and \textit{H. R. Lerche}, Stochastics 83, No. 4--6, 537--554 (2011; Zbl 1250.60020) Full Text: DOI
Li, Huiyun; Mu, Junfen; Li, Zhichan A generalization of the Burkholder-Davis-Gundy inequalities. (English) Zbl 1220.60015 Stochastics 83, No. 3, 233-240 (2011). MSC: 60E15 60G44 PDFBibTeX XMLCite \textit{H. Li} et al., Stochastics 83, No. 3, 233--240 (2011; Zbl 1220.60015) Full Text: DOI
Osȩkowski, Adam Sharp maximal inequalities for the martingale square bracket. (English) Zbl 1210.60044 Stochastics 82, No. 4-6, 589-605 (2010). MSC: 60G42 60G44 60E15 PDFBibTeX XMLCite \textit{A. Osȩkowski}, Stochastics 82, No. 4--6, 589--605 (2010; Zbl 1210.60044) Full Text: DOI
Basse-O’Connor, Andreas Representation of Gaussian semimartingales with applications to the covariance function. (English) Zbl 1219.60038 Stochastics 82, No. 4-6, 381-401 (2010). Reviewer: Werner Linde (Jena) MSC: 60G15 60G10 60G48 PDFBibTeX XMLCite \textit{A. Basse-O'Connor}, Stochastics 82, No. 4--6, 381--401 (2010; Zbl 1219.60038) Full Text: DOI
Wong, Bernard; Heyde, C. C. Arbitrage and approximate arbitrage: the fundamental theorem of asset pricing. (English) Zbl 1194.91212 Stochastics 82, No. 1-3, 189-200 (2010). Reviewer: George Stoica (Saint John) MSC: 91G80 91B25 91B70 60H30 60G44 PDFBibTeX XMLCite \textit{B. Wong} and \textit{C. C. Heyde}, Stochastics 82, No. 1--3, 189--200 (2010; Zbl 1194.91212) Full Text: DOI
Al-Hussein, AbdulRahman Backward stochastic partial differential equations driven by infinite-dimensional martingales and applications. (English) Zbl 1186.60049 Stochastics 81, No. 6, 601-626 (2009). MSC: 60H10 60H15 60G44 34F05 65M60 PDFBibTeX XMLCite \textit{A. Al-Hussein}, Stochastics 81, No. 6, 601--626 (2009; Zbl 1186.60049) Full Text: DOI Link
Labbé, Chantal; Heunis, Andrew J. Conjugate duality in problems of constrained utility maximization. (English) Zbl 1185.93148 Stochastics 81, No. 6, 545-565 (2009). MSC: 93E20 91G10 60G44 49N15 PDFBibTeX XMLCite \textit{C. Labbé} and \textit{A. J. Heunis}, Stochastics 81, No. 6, 545--565 (2009; Zbl 1185.93148) Full Text: DOI
Fitzsimmons, P. J.; Rajeev, B. A new approach to the martingale representation theorem. (English) Zbl 1186.60046 Stochastics 81, No. 5, 467-476 (2009). Reviewer: Nicko G. Gamkrelidze (Moskva) MSC: 60H05 60J65 60G44 PDFBibTeX XMLCite \textit{P. J. Fitzsimmons} and \textit{B. Rajeev}, Stochastics 81, No. 5, 467--476 (2009; Zbl 1186.60046) Full Text: DOI
Vovk, Vladimir Continuous-time trading and the emergence of randomness. (English) Zbl 1182.60016 Stochastics 81, No. 5, 455-466 (2009). MSC: 60G17 60G05 60G44 91G20 91A60 91B24 PDFBibTeX XMLCite \textit{V. Vovk}, Stochastics 81, No. 5, 455--466 (2009; Zbl 1182.60016) Full Text: DOI arXiv
Novikov, Alexander; Kordzakhia, Nino Martingales and first passage times of AR(1) sequences. (English) Zbl 1148.60061 Stochastics 80, No. 2-3, 197-210 (2008). Reviewer: Victoria Knopova (Kiev) MSC: 60J55 49J15 PDFBibTeX XMLCite \textit{A. Novikov} and \textit{N. Kordzakhia}, Stochastics 80, No. 2--3, 197--210 (2008; Zbl 1148.60061) Full Text: DOI arXiv
Hamza, Kais; Klebaner, Fima C. On the implicit Black-Scholes formula. (English) Zbl 1140.60022 Stochastics 80, No. 1, 97-102 (2008). Reviewer: Pavel Stoynov (Sofia) MSC: 60G44 60H30 91G20 91B70 PDFBibTeX XMLCite \textit{K. Hamza} and \textit{F. C. Klebaner}, Stochastics 80, No. 1, 97--102 (2008; Zbl 1140.60022) Full Text: DOI
Christiansen, T.; Sturm, K. T. Expectations and martingales in metric spaces. (English) Zbl 1216.60041 Stochastics 80, No. 1, 1-17 (2008). MSC: 60G48 60G44 PDFBibTeX XMLCite \textit{T. Christiansen} and \textit{K. T. Sturm}, Stochastics 80, No. 1, 1--17 (2008; Zbl 1216.60041) Full Text: DOI
Veraar, Mark C. Continuous local martingales and stochastic integration in UMD Banach spaces. (English) Zbl 1129.60050 Stochastics 79, No. 6, 601-618 (2007). MSC: 60H05 60B11 60G44 PDFBibTeX XMLCite \textit{M. C. Veraar}, Stochastics 79, No. 6, 601--618 (2007; Zbl 1129.60050) Full Text: DOI Link
Kohlmann, Michael; Xiong, Dewen; Ye, Zhongxing Change of filtrations and mean-variance hedging. (English) Zbl 1130.91339 Stochastics 79, No. 6, 539-562 (2007). MSC: 91B28 60H30 60G44 PDFBibTeX XMLCite \textit{M. Kohlmann} et al., Stochastics 79, No. 6, 539--562 (2007; Zbl 1130.91339) Full Text: DOI
Kumon, Masayuki; Takemura, Akimichi; Takeuchi, Kei Game-theoretic versions of strong law of large numbers for unbounded variables. (English) Zbl 1183.60013 Stochastics 79, No. 5, 449-468 (2007). MSC: 60F15 91A40 60G42 91G10 PDFBibTeX XMLCite \textit{M. Kumon} et al., Stochastics 79, No. 5, 449--468 (2007; Zbl 1183.60013) Full Text: DOI arXiv
Hudson, R. L. Stop times in Fock space quantum probability. (English) Zbl 1118.81048 Stochastics 79, No. 3-4, 383-391 (2007). Reviewer: Franco Fagnola (Milano) MSC: 81S25 60G48 60G40 81-02 PDFBibTeX XMLCite \textit{R. L. Hudson}, Stochastics 79, No. 3--4, 383--391 (2007; Zbl 1118.81048) Full Text: DOI
Baurdoux, E. J. Examples of optimal stopping via measure transformation for processes with one-sided jumps. (English) Zbl 1111.60023 Stochastics 79, No. 3-4, 303-307 (2007). MSC: 60G40 60G44 60G51 PDFBibTeX XMLCite \textit{E. J. Baurdoux}, Stochastics 79, No. 3--4, 303--307 (2007; Zbl 1111.60023) Full Text: DOI Link
Kühn, C.; Kyprianou, A. E.; van Schaik, K. Pricing Israeli options: a pathwise approach. (English) Zbl 1284.91549 Stochastics 79, No. 1-2, 117-137 (2007). MSC: 91G20 91A15 60G40 60G48 91G60 PDFBibTeX XMLCite \textit{C. Kühn} et al., Stochastics 79, No. 1--2, 117--137 (2007; Zbl 1284.91549) Full Text: DOI
Babilua, P.; Bokuchava, I.; Dochviri, B.; Shashiashvili, M. The American put option in a one-dimensional diffusion model with level-dependent volatility. (English) Zbl 1284.91537 Stochastics 79, No. 1-2, 5-25 (2007). MSC: 91G20 60G48 60G40 PDFBibTeX XMLCite \textit{P. Babilua} et al., Stochastics 79, No. 1--2, 5--25 (2007; Zbl 1284.91537) Full Text: DOI
Ivanoff, B. Gail; Merzbach, Ely What is a multi-parameter renewal process? (English) Zbl 1109.60070 Stochastics 78, No. 6, 411-441 (2006). MSC: 60K05 60G55 60G48 PDFBibTeX XMLCite \textit{B. G. Ivanoff} and \textit{E. Merzbach}, Stochastics 78, No. 6, 411--441 (2006; Zbl 1109.60070) Full Text: DOI
Rüdiger, B.; Ziglio, G. Itô formula for stochastic integrals w.r.t. compensated Poisson random measures on separable Banach spaces. (English) Zbl 1117.60056 Stochastics 78, No. 6, 377-410 (2006). Reviewer: Jacques Franchi (Strasbourg) MSC: 60H05 PDFBibTeX XMLCite \textit{B. Rüdiger} and \textit{G. Ziglio}, Stochastics 78, No. 6, 377--410 (2006; Zbl 1117.60056) Full Text: DOI
Ankirchner, Stefan Metrics on the set of semimartingale filtrations. (English) Zbl 1098.60047 Stochastics 78, No. 2, 67-76 (2006). MSC: 60G99 60G48 60G07 PDFBibTeX XMLCite \textit{S. Ankirchner}, Stochastics 78, No. 2, 67--76 (2006; Zbl 1098.60047) Full Text: DOI
Karatzas, Ioannis; Zamfirescu, Ingrid-Mona Game approach to the optimal stopping problem. (English) Zbl 1084.60027 Stochastics 77, No. 5, 401-435 (2005). Reviewer: M. Nisio (Osaka) MSC: 60G40 93E20 91A10 91A12 PDFBibTeX XMLCite \textit{I. Karatzas} and \textit{I.-M. Zamfirescu}, Stochastics 77, No. 5, 401--435 (2005; Zbl 1084.60027) Full Text: DOI
Campi, L. Some results on quadratic hedging with insider trading. (English) Zbl 1103.91032 Stochastics 77, No. 4, 327-348 (2005). MSC: 91B28 60G48 91B30 91B70 PDFBibTeX XMLCite \textit{L. Campi}, Stochastics 77, No. 4, 327--348 (2005; Zbl 1103.91032) Full Text: DOI Link