Addendum to "Hyperdefinite stochastic integration III".
Almost log-optimal trading strategies for small transaction costs in model with stochastic coefficients
We consider a non-consuming agent investing in a stock and a money market interested in the portfolio market price far in the future. We derive a strategy which is almost log-optimal in the long run in the presence of small proportional transaction costs for the case when the rate of return and the volatility of the stock market price are bounded It o processes with bounded coefficients and when the volatility is bounded away from zero.
An alternative proof of a theorem of Aldous concerning convergence in distribution for martingales
An application of multivariate total positivity to peacocks
We use multivariate total positivity theory to exhibit new families of peacocks. As the authors of [F. Hirsch, C. Profeta, B. Roynette and M. Yor, Peacocks and associated martingales vol. 3. Bocconi-Springer (2011)], our guiding example is the result of Carr−Ewald−Xiao [P. Carr, C.-O. Ewald and Y. Xiao, Finance Res. Lett. 5 (2008) 162–171]. We shall introduce the notion of strong conditional monotonicity. This concept is strictly more restrictive than the conditional monotonicity as defined in [F....
An exponential martingale equation.
An extension of a Meyer's theorem
An integral representation for the Hellinger distance.
An invariance principle for Azéma martingales
An Invariance Principle for Progressively Truncated Likelihood Ratio Statistics.
An optimal Itô formula for Lévy processes.
Anticipation cancelled by a Girsanov transformation : a paradox on Wiener space
Appendice à l'exposé précédent : «Inégalités de semimartingales»
Appendice à l’exposé précédent : «La filtration naturelle du mouvement brownien indexé par dans une variété compacte»
Application de la relation de domination à certains renforcements des inégalités de martingales
Application d'un lemme de Jeulin au grossissement de la filtration brownienne
Approximation du crochet de certaines semimartingales continues
Approximation martingale characterization of Wiener prcesses on locally compact abelian gorups.
Arbitrage et lois de martingale
Attainable claims with p'th moments
Backward stochastic differential equations in a Lie group