Continuity of the superposition of set-valued functions.
Merentes, N., Nikodem, K., Rivas, S. (1997)
Journal of Applied Analysis
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Displaying similar documents to “Set-valued Stratonovich integral”
Continuity of the superposition of set-valued functions.
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Mariusz Michta (1996)
Discussiones Mathematicae, Differential Inclusions, Control and Optimization
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Set-valued semimartingales are introduced as an extension of the notion of single-valued semimartingales. For such multivalued processes their semimartingale selection properties are investigated.
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Jonathan Warren (1999)
Séminaire de probabilités de Strasbourg
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Tsirelson, Boris (1998)
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Bulletin of the Polish Academy of Sciences. Mathematics
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We introduce the concept of truncated variation of Brownian motion with drift, which differs from regular variation by neglecting small jumps (smaller than some c > 0). We estimate the expected value of the truncated variation. The behaviour resembling phase transition as c varies is revealed. Truncated variation appears in the formula for an upper bound for return from any trading based on a single asset with flat commission.
Linear transformations of two independent Brownian motions and orthogonal decompositions of Brownian filtrations.
Ching-Tang Wu, Marc Yor (2002)
Publicacions Matemàtiques
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Brownian motions defined as linear transformations of two independent Brownian motions are studied, together with certain orthogonal decompositions of Brownian filtrations.
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Soucaliuc, Florin, Werner, Wendelin (2002)
Electronic Communications in Probability [electronic only]
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