The Japanese contributions to martingale theory.
Watanabe, Shinzo (2009)
Journal Électronique d'Histoire des Probabilités et de la Statistique [electronic only]
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Watanabe, Shinzo (2009)
Journal Électronique d'Histoire des Probabilités et de la Statistique [electronic only]
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Hyungsok Ahn, Philip Protter (1994)
Séminaire de probabilités de Strasbourg
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T. Barth, A. U. Kussmaul (1981)
Annales scientifiques de l'Université de Clermont. Mathématiques
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Minkova, Leda D. (1996)
Journal of Applied Mathematics and Stochastic Analysis
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Michel Métivier (1982)
Séminaire de probabilités de Strasbourg
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J. Campos, F. Plo, M. San Miguel (1993)
Revista Matemática de la Universidad Complutense de Madrid
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Stochastic Petri nets generalize the notion of queuing systems and are a useful model in performance evaluation of parallel and distributed systems. We give necessary and sufficient conditions for the boundedness of a stochastic process related to these nets.
Jiří Witzany (2017)
Commentationes Mathematicae Universitatis Carolinae
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The concept of an equivalent martingale measure is of key importance for pricing of financial derivative contracts. The goal of the paper is to apply infinitesimals in the non-standard analysis set-up to provide an elementary construction of the equivalent martingale measure built on hyperfinite binomial trees with infinitesimal time steps.
Peter Jaeger (2016)
Formalized Mathematics
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First we give an implementation in Mizar [2] basic important definitions of stochastic finance, i.e. filtration ([9], pp. 183 and 185), adapted stochastic process ([9], p. 185) and predictable stochastic process ([6], p. 224). Second we give some concrete formalization and verification to real world examples. In article [8] we started to define random variables for a similar presentation to the book [6]. Here we continue this study. Next we define the stochastic process. For further...
Kühn, Christoph, Stroh, Maximilian (2009)
Electronic Communications in Probability [electronic only]
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Edwin Perkins (1985)
Séminaire de probabilités de Strasbourg
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Adam Osękowski (2010)
Bulletin of the Polish Academy of Sciences. Mathematics
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Martin Ondreját
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Different types of uniqueness (e.g. pathwise uniqueness, uniqueness in law, joint uniqueness in law) and existence (e.g. strong solution, martingale solution) for stochastic evolution equations driven by a Wiener process are studied and compared. We show a sufficient condition for a joint distribution of a process and a Wiener process to be a solution of a given SPDE. Equivalences between different concepts of solution are shown. An alternative approach to the construction of the stochastic...
Wong, Bernard, Heyde, C.C. (2006)
Journal of Applied Mathematics and Stochastic Analysis
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