Zobrazeno 1 - 10
of 37
pro vyhledávání: '"continuous local martingales"'
Autor:
Engelbert, H. J.
Publikováno v:
The Annals of Probability, 2002 Jul 01. 30(3), 1039-1043.
Externí odkaz:
https://www.jstor.org/stable/1558792
Autor:
Dorofeev, Eugene A.
Publikováno v:
Bernoulli, 1998 Dec 01. 4(4), 461-475.
Externí odkaz:
https://www.jstor.org/stable/3318661
Publikováno v:
In Stochastic Processes and their Applications 2009 119(4):1039-1054
Autor:
Blei, Stefan, Engelbert, Hans-Jürgen ⁎
Publikováno v:
In Stochastic Processes and their Applications 2009 119(9):2859-2880
Akademický článek
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Autor:
Hardy Hulley, Martin Schweizer
The well-known absence-of-arbitrage condition NFLVR from the fundamental theorem of asset pricing splits into two conditions, called NA and NUPBR. We give a literature overview of several equivalent reformulations of NUPBR; these include existence of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::0307d0b9d7e74650b3935e3cd41b1c3f
https://www.uts.edu.au/sites/default/files/qfr-archive-03/QFR-rp280.pdf
https://www.uts.edu.au/sites/default/files/qfr-archive-03/QFR-rp280.pdf
Publikováno v:
Stochastics, 79 (2007), no.6, p. 601-618.
Recently, van Neerven, Weis and the author, constructed a theory for stochastic integration of UMD Banach space valued processes. Here the authors use a (cylindrical) Brownian motion as an integrator. In this note we show how one can extend these res
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dris___00893::cf5670c512679b6f78b7b37ebfdefaaf
http://resolver.tudelft.nl/uuid:c95d590d-ad43-41d5-92d1-2b15d9941ca6
http://resolver.tudelft.nl/uuid:c95d590d-ad43-41d5-92d1-2b15d9941ca6
Autor:
Veraar, M.C.
Publikováno v:
Stochastics, 79 (2007), no.6, p. 601-618
Recently, van Neerven, Weis and the author, constructed a theory for stochastic integration of UMD Banach space valued processes. Here the authors use a (cylindrical) Brownian motion as an integrator. In this note we show how one can extend these res
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=narcis______::7dbecf64bb854fecfda3e826ad5280d9
http://resolver.tudelft.nl/uuid:c95d590d-ad43-41d5-92d1-2b15d9941ca6
http://resolver.tudelft.nl/uuid:c95d590d-ad43-41d5-92d1-2b15d9941ca6
Autor:
H. J. Engelbert
Publikováno v:
Ann. Probab. 30, no. 3 (2002), 1039-1043
We consider the one-dimensional stochastic equation \[ X_t=X_0+\int^t_0 b(X_s)\,dM_s \] where M is a continuous local martingale and b a measurable real function. Suppose that $b^{-2}$ is locally integrable. D. N. Hoover asserted that, on a saturated
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::85e507563f153f429be8d7dbf648732c
http://projecteuclid.org/euclid.aop/1029867120
http://projecteuclid.org/euclid.aop/1029867120
Autor:
Eugene A. Dorofeev
Publikováno v:
Bernoulli 4, no. 4 (1998), 461-475
Problems of sharp geometry of multidimensional Brownian curves and close problems for random walks are widely studied at present. Important results were obtained in the branch of studying the asymptotics of the functionals of winding angle type of th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0741c88e4a43278fc9948f8af94c429e
https://doi.org/10.2307/3318661
https://doi.org/10.2307/3318661