Régularité à droite des surmartingales à deux indices et théorème d'arrêt
Remarques sur l'intégrale stochastique
Renewal series and square-root boundaries for Bessel processes.
Representación de variables en el movimiento browniano con deriva.
Se estudia la representación de variables positivas en un movimiento browniano con deriva, mediante tiempos de espera minimales asociados a barreras. Se trata también la representación de procesos crecientes, discretos y continuos por la derecha.
Ruin models with investment income.
Semi-group methods in stochastic control
Skorohod embedding in Brownian motion in
Skorokhod stopping in discrete time
Skorokhod stopping times of minimal variance
Skorokhod stopping via potential theory
Some new Chacon-Edgar-type inequalities for stochastic processes, and characterizations of Vitali-conditions
Some universal field equations
Spatial trajectories
Stability and other limit laws for exit times of random walks from a strip or a halfplane
Stability estimating in optimal stopping problem
We consider the optimal stopping problem for a discrete-time Markov process on a Borel state space . It is supposed that an unknown transition probability , , is approximated by the transition probability , , and the stopping rule , optimal for , is applied to the process governed by . We found an upper bound for the difference between the total expected cost, resulting when applying , and the minimal total expected cost. The bound given is a constant times , where is the total variation...
Stability of solutions of BSDEs with random terminal time
In this paper, we study the stability of the solutions of Backward Stochastic Differential Equations (BSDE for short) with an almost surely finite random terminal time. More precisely, we are going to show that if (Wn) is a sequence of scaled random walks or a sequence of martingales that converges to a Brownian motion W and if is a sequence of stopping times that converges to a stopping time τ, then the solution of the BSDE driven by Wn with random terminal time converges to the solution...
State tameness: a new approach for credit constrains.
Stationary Markov sets
Stopping problems as special statistical decision problems
Stopping sequences