Stochastic process measurability conditions

J. L. Doob

Displaying similar documents to “Stochastic process measurability conditions”

Homogeneous potentials

Ronald K. Getoor (1978)

Séminaire de probabilités de Strasbourg

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A limit theorem for the prediction process under absolute continuity

Hideatsu Tsukahara (1999)

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 measurability of hitting times.

Bass, Richard F. (2010)

Electronic Communications in Probability [electronic only]

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The $d X (t) = X b (X) d t + X σ (X) d W$ equation and financial mathematics. I

Josef Štěpán, Petr Dostál (2003)

Kybernetika

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The existence of a weak solution and the uniqueness in law are assumed for the equation, the coefficients $b$ and $σ$ being generally $C (ℝ^{+})$ -progressive processes. Any weak solution $X$ is called a $(b, σ)$ -stock price and Girsanov Theorem jointly with the DDS Theorem on time changed martingales are applied to establish the probability distribution $μ_{σ}$ of $X$ in $C (ℝ^{+})$ in the special case of a diffusion volatility $σ (X, t) = \tilde{σ} (X (t)) .$ A martingale option pricing method is presented.

Generation of $σ$ -fields by step processes

Paul-André Meyer (1976)

Séminaire de probabilités de Strasbourg

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Displaying similar documents to “Stochastic process measurability conditions”

Homogeneous potentials

A limit theorem for the prediction process under absolute continuity

A note on stochastic integration with respect to optional semimartingales.

The measurability of hitting times.

The d X ( t ) = X b ( X ) d t + X σ ( X ) d W equation and financial mathematics. I

Generation of σ -fields by step processes

The $d X (t) = X b (X) d t + X σ (X) d W$ equation and financial mathematics. I

Generation of $σ$ -fields by step processes