A remark on stochastic integration
Hyungsok Ahn, Philip Protter (1994)
Séminaire de probabilités de Strasbourg
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Displaying similar documents to “The Japanese contributions to martingale theory.”
A remark on stochastic integration
Some remarks on the theory of stochastic integration
Jia-An Yan (1991)
Séminaire de probabilités de Strasbourg
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A note on stochastic integration with respect to optional semimartingales.
Kühn, Christoph, Stroh, Maximilian (2009)
Electronic Communications in Probability [electronic only]
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The splendors and miseries of martingales. Introduction to the June 2009 issue of the Electronic Journal for History of Probability and Statistics.
Mazliak, Laurent, Shafer, Glenn (2009)
Journal Électronique d'Histoire des Probabilités et de la Statistique [electronic only]
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Introduction to Stopping Time in Stochastic Finance Theory
Peter Jaeger (2017)
Formalized Mathematics
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We start with the definition of stopping time according to [4], p.283. We prove, that different definitions for stopping time can coincide. We give examples of stopping time using constant-functions or functions defined with the operator max or min (defined in [6], pp.37–38). Finally we give an example with some given filtration. Stopping time is very important for stochastic finance. A stopping time is the moment, where a certain event occurs ([7], p.372) and can be used together with...
Stochastic differential equations with jumps.
Bass, Richard F. (2004)
Probability Surveys [electronic only]
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Multiple stochastic integrals. A counter example
Edwin Perkins (1985)
Séminaire de probabilités de Strasbourg
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Stochastic processes from 1950 to the present.
Meyer, Paul-André (2009)
Journal Électronique d'Histoire des Probabilités et de la Statistique [electronic only]
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Local characteristics and absolute continuity conditions for d-dimensional semi-martingales
Jean Jacod (1979)
Banach Center Publications
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Martingale proofs of many-server heavy-traffic limits for Markovian queues.
Pang, Guodong, Talreja, Rishi, Whitt, Ward (2007)
Probability Surveys [electronic only]
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A stochastic model for the financial market with discontinuous prices.
Minkova, Leda D. (1996)
Journal of Applied Mathematics and Stochastic Analysis
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Predictable representation of martingale spaces and changes of probability measures
Darrell Duffie (1985)
Séminaire de probabilités de Strasbourg
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A new proof of Kellerer’s theorem
Francis Hirsch, Bernard Roynette (2012)
ESAIM: Probability and Statistics
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In this paper, we present a new proof of the celebrated theorem of Kellerer, stating that every integrable process, which increases in the convex order, has the same one-dimensional marginals as a martingale. Our proof proceeds by approximations, and calls upon martingales constructed as solutions of stochastic differential equations. It relies on a uniqueness result, due to Pierre, for a Fokker-Planck equation.