Local characteristics and absolute continuity conditions for d-dimensional semi-martingales
Local limit theorems for Brownian additive functionals and penalisation of Brownian paths, IX
We obtain a local limit theorem for the laws of a class of Brownian additive functionals and we apply this result to a penalisation problem. We study precisely the case of the additive functional: . On the other hand, we describe Feynman-Kac type penalisation results for long Brownian bridges thus completing some similar previous study for standard Brownian motion (see [B. Roynette, P. Vallois and M. Yor, Studia Sci. Math. Hung.43 (2006) 171–246]).
Local martingales and filtration shrinkage
A general theory is developed for the projection of martingale related processes onto smaller filtrations, to which they are not even adapted. Martingales, supermartingales, and semimartingales retain their nature, but the case of local martingales is more delicate, as illustrated by an explicit case study for the inverse Bessel process. This has implications for the concept of No Free Lunch with Vanishing Risk, in Finance.
Local martingales and filtration shrinkage
A general theory is developed for the projection of martingale related processes onto smaller filtrations, to which they are not even adapted. Martingales, supermartingales, and semimartingales retain their nature, but the case of local martingales is more delicate, as illustrated by an explicit case study for the inverse Bessel process. This has implications for the concept of No Free Lunch with Vanishing Risk, in Finance.
Local time and pathwise uniqueness for stochastic differential equations
Local times and singularities of continuous local martingales
Logarithmic inequalities for second-order Riesz transforms and related Fourier multipliers
We study logarithmic estimates for a class of Fourier multipliers which arise from a nonsymmetric modulation of jumps of Lévy processes. In particular, this leads to corresponding tight bounds for second-order Riesz transforms on .
Log-optimal investment in the long run with proportional transaction costs when using shadow prices
We consider a non-consuming agent interested in the maximization of the long-run growth rate of a wealth process investing either in a money market and in one risky asset following a geometric Brownian motion or in futures following an arithmetic Brownian motion. The agent faces proportional transaction costs, and similarly as in [17] where the case of stock trading is considered, we show how the log-optimal optimal policies in the long run can be derived when using the technical tool of shadow...
Lois de martingale, densités et décomposition de Föllmer Schweizer
Lois de semimartingales et critères de compacité
Manifold-valued martingales, changes of probabilities, and smoothness of finely harmonic maps
Markov-Komposition und eine Anwendung auf Martingale.
Martingale Approach To Random Evolution
Martingale inequalities in exponential Orlicz spaces.
Martingale measures in the market with restricted information.
Martingale problems for conditional distributions of Markov processes.
Martingale proofs of many-server heavy-traffic limits for Markovian queues.
Martingales and profile of binary search trees.
Martingales d'Azéma asymétriques. Description élémentaire et unicité
Martingales de valeur absolue donnée, d'après Protter-Sharpe