×

zbMATH — the first resource for mathematics

Pratelli, Maurizio

Compute Distance To:
Author ID: pratelli.maurizio Recent zbMATH articles by "Pratelli, Maurizio"
Published as: Pratelli, M.; Pratelli, Maurizio
Documents Indexed: 33 Publications since 1974, including 1 Book

Publications by Year

Citations contained in zbMATH

19 Publications have been cited 125 times in 112 Documents Cited by Year
Mean-variance hedging for stochastic volatility models. Zbl 1014.91039
Biagini, Francesca; Guasoni, Paolo; Pratelli, Maurizio
21
2000
Presentation unifiee de certaines inégalités de la théorie des martingales. Zbl 0427.60042
Lenglart, E.; Lepingle, D.; Pratelli, M.
21
1980
Super-replication and utility maximization in large financial markets. Zbl 1081.60051
De Donno, M.; Guasoni, P.; Pratelli, M.
15
2005
Functional convergence of Snell envelopes: Applications to American options approximations. Zbl 0904.90015
Mulinacci, Sabrina; Pratelli, Maurizio
10
1998
A theory of stochastic integration for bond markets. Zbl 1121.60056
De Donno, M.; Pratelli, M.
9
2005
On the use of measure-valued strategies in bond markets. Zbl 1051.60059
De Donno, Marzia; Pratelli, Maurizio
8
2004
An approximation for the nonlinear filtering problem, with error bound. Zbl 0566.60046
Di Masi, G. B.; Pratelli, M.; Runggaldier, W. J.
8
1985
Local risk minimization and numéraire. Zbl 0993.91019
Biagini, F.; Pratelli, M.
6
1999
A minimax theorem without compactness hypothesis. Zbl 1150.49009
Pratelli, Maurizio
5
2005
Sur certains espaces de martingales localement de carre intégrable. Zbl 0339.60043
Pratelli, Maurizio
5
1976
A remark on the \(1/H\)-variation of the fractional Brownian motion. Zbl 1216.60033
Pratelli, Maurizio
4
2011
Stochastic integration with respect to a sequence of semimartingales. Zbl 1133.60026
de Donno, Marzia; Pratelli, Maurizio
3
2006
On a lemma by Ansel and Stricker. Zbl 1314.60108
De Donno, Marzia; Pratelli, Maurizio
2
2007
Integration stochastique et geometrie des espaces de Banach. (Stochastic integration and geometry of Banach spaces). Zbl 0654.60040
Pratelli, Maurizio
2
1988
Majorations dans \(L^ p \)du type Metivier-Pellaumail pour les semimartingales. Zbl 0508.60047
Pratelli, Maurizio
2
1983
Optimal stopping and American options with discrete dividends and exogenous risk. Zbl 1079.91020
Battauz, A.; Pratelli, M.
1
2004
An alternative proof of a theorem of Aldous concerning convergence in distribution for martingales. Zbl 0954.60037
Pratelli, Maurizio
1
1999
Probability and analysis. Lectures given at the 1st 1985 Session of the Centro Internazionale Matematico Estivo (C.I.M.E.) held at Varenna (Como), Italy, May 31 - June 8, 1985. Zbl 0593.00015
Letta, G. (ed.); Pratelli, M. (ed.)
1
1986
Deux inégalités concernant les opérateurs de Burkholder sur les martingales. Zbl 0303.60041
Pratelli, Maurizio
1
1975
A remark on the \(1/H\)-variation of the fractional Brownian motion. Zbl 1216.60033
Pratelli, Maurizio
4
2011
On a lemma by Ansel and Stricker. Zbl 1314.60108
De Donno, Marzia; Pratelli, Maurizio
2
2007
Stochastic integration with respect to a sequence of semimartingales. Zbl 1133.60026
de Donno, Marzia; Pratelli, Maurizio
3
2006
Super-replication and utility maximization in large financial markets. Zbl 1081.60051
De Donno, M.; Guasoni, P.; Pratelli, M.
15
2005
A theory of stochastic integration for bond markets. Zbl 1121.60056
De Donno, M.; Pratelli, M.
9
2005
A minimax theorem without compactness hypothesis. Zbl 1150.49009
Pratelli, Maurizio
5
2005
On the use of measure-valued strategies in bond markets. Zbl 1051.60059
De Donno, Marzia; Pratelli, Maurizio
8
2004
Optimal stopping and American options with discrete dividends and exogenous risk. Zbl 1079.91020
Battauz, A.; Pratelli, M.
1
2004
Mean-variance hedging for stochastic volatility models. Zbl 1014.91039
Biagini, Francesca; Guasoni, Paolo; Pratelli, Maurizio
21
2000
Local risk minimization and numéraire. Zbl 0993.91019
Biagini, F.; Pratelli, M.
6
1999
An alternative proof of a theorem of Aldous concerning convergence in distribution for martingales. Zbl 0954.60037
Pratelli, Maurizio
1
1999
Functional convergence of Snell envelopes: Applications to American options approximations. Zbl 0904.90015
Mulinacci, Sabrina; Pratelli, Maurizio
10
1998
Integration stochastique et geometrie des espaces de Banach. (Stochastic integration and geometry of Banach spaces). Zbl 0654.60040
Pratelli, Maurizio
2
1988
Probability and analysis. Lectures given at the 1st 1985 Session of the Centro Internazionale Matematico Estivo (C.I.M.E.) held at Varenna (Como), Italy, May 31 - June 8, 1985. Zbl 0593.00015
Letta, G. (ed.); Pratelli, M. (ed.)
1
1986
An approximation for the nonlinear filtering problem, with error bound. Zbl 0566.60046
Di Masi, G. B.; Pratelli, M.; Runggaldier, W. J.
8
1985
Majorations dans \(L^ p \)du type Metivier-Pellaumail pour les semimartingales. Zbl 0508.60047
Pratelli, Maurizio
2
1983
Presentation unifiee de certaines inégalités de la théorie des martingales. Zbl 0427.60042
Lenglart, E.; Lepingle, D.; Pratelli, M.
21
1980
Sur certains espaces de martingales localement de carre intégrable. Zbl 0339.60043
Pratelli, Maurizio
5
1976
Deux inégalités concernant les opérateurs de Burkholder sur les martingales. Zbl 0303.60041
Pratelli, Maurizio
1
1975
all top 5

Cited by 161 Authors

5 Biagini, Francesca
4 Yan, Litan
3 Campi, Luciano
3 Černý, Aleš
3 Cretarola, Alessandra
3 Klein, Irene
3 Kohlmann, Michael
3 Rásonyi, Miklós
3 Teichmann, Josef
3 Xiong, Dewen
2 Choulli, Tahir
2 Cuchiero, Christa
2 De Donno, Marzia
2 Dolinsky, Yan
2 Henderson, Vicky
2 Hobson, David G.
2 Kallsen, Jan
2 Lenglart, Erik
2 Maller, Ross Arthur
2 Mania, Michael
2 Marinelli, Carlo
2 Ohashi, Alberto Masayoshi F.
2 Robertson, Scott
2 Röckner, Michael
2 Santacroce, Marina
2 Schweizer, Martin
2 Szimayer, Alex
2 Taflin, Erik
2 Tehranchi, Michael R.
2 Yor, Marc
2 Zhu, Bei
1 Albeverio, Sergio A.
1 Bálint, D. Á.
1 Bañuelos, Rodrigo
1 Barlow, Martin T.
1 Barrieu, Pauline M.
1 Barski, Michał
1 Baudoin, Fabrice
1 Bayraktar, Erhan
1 Benth, Fred Espen
1 Bonetti, Daniel
1 Bouchard, Bruno
1 Breton, Jean-Christophe
1 Brooks, James K.
1 Carassus, Laurence
1 Carmona, René A.
1 Chaleyat-Maurel, Mireille
1 Chang, Mouhsiung
1 Chevalier, Lucien
1 Chowdhury, Sahana Roy
1 Cont, Rama
1 Crisan, Dan O.
1 Dalang, Robert C.
1 Del Moral, Pierre
1 Deng, Jun
1 Di Nunno, Giulia
1 Dinculeanu, Nicolae
1 Dokuchaev, Nikolai G.
1 Doroshenko, Vadym
1 Doucet, Arnaud
1 Dzhaparidze, Kacha
1 Eide, Inga Baadshaug
1 Ekström, Erik
1 El Karoui, Nicole
1 Etheridge, Alison Mary
1 Gushchin, Aleksandr Aleksandrovich
1 Hongler, Max-Olivier
1 Howison, Sam D.
1 Hu, Tienchung
1 Inahama, Yuzuru
1 Jacod, Jean
1 Jakubowski, Jacek
1 Jeanblanc, Monique
1 Jouini, Elyès
1 Kardaras, Constantinos
1 Karlsen, Kenneth Hvistendahl
1 Kifer, Yuri
1 Kluge, Tino
1 Kolkiewicz, Adam W.
1 Kravitz, Ross
1 Krawczyk, Leszek
1 Kuhn, Christoph
1 Kurtz, Thomas Gordon
1 Labbé, Cyril
1 Lazrieva, Nanuli
1 Leão, Dorival
1 Lee, Yoonjung
1 Leisen, Dietmar P. J.
1 Leoni, Peter
1 Li, Chenxu
1 Li, Jiexian
1 Li, Xiang-Dong
1 Li, Yanxiong
1 Liu, Daobai
1 Liu, Huili
1 Lu, Ligang
1 Luo, Qingli
1 Marcus, Michael B.
1 Michel, Dominique
1 Mishura, Yuliya Stepanivna
...and 61 more Authors
all top 5

Cited in 53 Serials

11 Mathematical Finance
9 The Annals of Applied Probability
7 Stochastic Analysis and Applications
6 Theory of Probability and its Applications
6 Stochastic Processes and their Applications
5 Stochastics
4 Journal of Mathematical Analysis and Applications
3 The Annals of Probability
3 Statistics & Probability Letters
3 International Journal of Theoretical and Applied Finance
2 Annales Scientifiques de l’Université de Clermont-Ferrand II. Mathématiques
2 Journal of Functional Analysis
2 Insurance Mathematics & Economics
2 Probability Theory and Related Fields
2 Journal of Mathematical Sciences (New York)
2 Bernoulli
2 Finance and Stochastics
2 Acta Mathematica Sinica. English Series
2 Mathematics and Financial Economics
1 Communications in Mathematical Physics
1 Mathematical Notes
1 Acta Mathematica
1 Advances in Mathematics
1 Applied Mathematics and Optimization
1 Journal of Applied Probability
1 Journal of Differential Equations
1 Journal of the Mathematical Society of Japan
1 Journal of Optimization Theory and Applications
1 SIAM Journal on Control and Optimization
1 Transactions of the American Mathematical Society
1 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete
1 Systems & Control Letters
1 Physica D
1 Revista Matemática Iberoamericana
1 Journal of Economic Dynamics & Control
1 Annales de l’Institut Henri Poincaré. Nouvelle Série. Section B. Calcul des Probabilités et Statistique
1 Communications in Statistics. Theory and Methods
1 Expositiones Mathematicae
1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
1 Mathematical Programming. Series A. Series B
1 Potential Analysis
1 Theory of Probability and Mathematical Statistics
1 Journal of Shanghai University
1 Quantitative Finance
1 North American Actuarial Journal
1 Review of Derivatives Research
1 European Series in Applied and Industrial Mathematics (ESAIM): Mathematical Modelling and Numerical Analysis
1 Journal of Zhejiang University. Science A
1 Science China. Mathematics
1 International Journal of Stochastic Analysis
1 Annals of Finance
1 Minimax Theory and its Applications
1 Transactions of the American Mathematical Society. Series B

Citations by Year