Option pricing in a regime-switching model using the fast Fourier transform.
Optional splitting formula in a progressively enlarged filtration
Let F be a filtration andτbe a random time. Let G be the progressive enlargement of F withτ. We study the following formula, called the optional splitting formula: For any G-optional processY, there exists an F-optional processY′ and a function Y′′ defined on [0,∞] × (ℝ+ × Ω) being ℬ[0,∞]⊗x1d4aa;(F) measurable, such that Y=Y′1[0,τ)+Y′′(τ)1[τ,∞). (This formula can also be formulated for multiple random timesτ1,...,τk). We are interested in this formula because of its fundamental role in many...
Orbit coupling
Order Conditioned Indepencence of Real Random Variables.
Order Dentability and the Radon-Nikodym Property in Banach Lattices.
Order properties of the space of finitely additive transition functions.
Order relations in the set of probability distribution functions and their applications in queueing theory [Book]
Ordered additive coalescent and fragmentations associated to Lévy processes with no positive jumps.
Ordered random walks.
Ordering probabilities on an ordered measurable space
Oriented site percolation, phase transitions and probability bounds.
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Orlicz space - valued martingales
Ornstein-Metivier-Brunel theorem revisited
Orthogonal decompositions in Hilbert -modules and stationary processes.
Orthogonal polynomial ensembles in probability theory.
Orthogonal polynomial martingales on spheres
Orthogonal random vectors and the Hurwitz-Radon-Eckmann theorem.