Zobrazeno 1 - 10
of 14
pro vyhledávání: '"Abdelkarem Berkaoui"'
Autor:
Abdelkarem Berkaoui
Publikováno v:
Arabian Journal of Mathematics, Vol 6, Iss 2, Pp 65-73 (2017)
Abstract We investigate some new results concerning the m-stability property. We show in particular under the martingale representation property with respect to a bounded martingale S that an m-stable set of probability measures is the set of superma
Externí odkaz:
https://doaj.org/article/8451d209a6bb473b8ba9dee431a8880a
Autor:
Abdelkarem Berkaoui
Publikováno v:
Portugaliae Mathematica. 79:225-240
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::06595093675948cd9a3f28391dc230eb
https://doi.org/10.4171/pm/2083
https://doi.org/10.4171/pm/2083
Autor:
Abdelkarem Berkaoui
Publikováno v:
Statistics & Probability Letters. 199:109850
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::06763e6c964852018e0927a7938f2739
https://doi.org/10.1016/j.spl.2023.109850
https://doi.org/10.1016/j.spl.2023.109850
Autor:
Abdelkarem Berkaoui
Publikováno v:
Stochastics. 91:96-113
In a continuous time setting, we consider a set of -absolutely continuous probability measures, containing at least one equivalent to , and denote by , the smallest m-stable closed convex set of probability measures containing . We shall prove mainly
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2d8320948fb9861ad87da65a97c6a762
https://doi.org/10.1080/17442508.2018.1518983
https://doi.org/10.1080/17442508.2018.1518983
Autor:
Abdelkarem Berkaoui
Publikováno v:
Stochastics. 86:906-921
First we consider a set of probabilities and denote by , the associated dynamic sublinear expectation, defined by for and a fixed filtration . We prove that for a positive -supermartingale X, there exits an increasing adapted process C such that is a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::80f6e4529b63b3a006d9076818d4a774
https://doi.org/10.1080/17442508.2014.895357
https://doi.org/10.1080/17442508.2014.895357
Autor:
Abdelkarem Berkaoui
Publikováno v:
Statistics & Probability Letters. 83:856-862
In the first part of this paper, we introduce the notion of switch-stability for set of probabilities and prove that it is equivalent to the notion of optional m -stability. In the second part this notion is generalized to set of processes and prove
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::dde5ceedb5ca6ad43909adfd9d419b5d
https://doi.org/10.1016/j.spl.2012.12.007
https://doi.org/10.1016/j.spl.2012.12.007
Autor:
Abdelkarem Berkaoui
Publikováno v:
Stochastics and Dynamics. 18:1850042
We generalize the results of [1] to continuous time case by stating necessary and sufficient conditions on a set of probability measures to be the set of local martingale measures for a vector valued, locally bounded and adapted process.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::bc9ffaef03ce1ccadaafb78f642d2914
https://doi.org/10.1142/s0219493718500429
https://doi.org/10.1142/s0219493718500429
Publikováno v:
Finance and Stochastics. 12:583-600
The paper considers trading with proportional transaction costs. We give a necessary and sufficient condition for A, the cone of claims attainable from zero endowment, to be closed, and show, in general, how to represent its closure in such a way tha
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c497997a452cb8389da0aef68d4830fa
https://doi.org/10.1007/s00780-008-0075-7
https://doi.org/10.1007/s00780-008-0075-7
Publikováno v:
Studia Mathematica. 148:5-21
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::37c78ef049704022a89521a6f099b9a6
https://doi.org/10.4064/sm148-1-2
https://doi.org/10.4064/sm148-1-2
Autor:
Abdelkarem Berkaoui, Y Ouknine
Publikováno v:
Bulletin des Sciences Mathématiques. 123:643-663
Let {Wt,0≤t≤1} be a linear Brownian motion, starting from 0, defined on the canonical probability space (Ω, F ,P) . In this paper we provide sufficient conditions for the Skorohod integral to belong to the Besov space B p,∞ 1/2 ,p≥4 . We req
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2dbae64245c31d7364c4605ea402d7a9
https://doi.org/10.1016/s0007-4497(99)00109-8
https://doi.org/10.1016/s0007-4497(99)00109-8