Grossissement d'une filtration et semi-martingales : formules explicites
Grossissement d'une filtration et semi-martingales : théorèmes généraux
Inégalité de Hardy, semimartingales, et faux-amis
Inégalité de semimartingale
Instante de primer vaciado y extensiones de la identidad de Wald.
Este trabajo presenta diversas extensiones de la identidad de Wald, con interpretaciones en términos del comportamiento de un embalse. Se considera la independencia y diversos casos de dependencia (markoviana homogénea, markoviana no homogénea) de las variables aleatorias "entrada neta" al embalse. En tiempo continuo, se incluye una identidad de Wald para el proceso de Poisson compuesto.
Intégrales stochastiques généralisées
Invariant measures and a stability theorem for locally Lipschitz stochastic delay equations
We consider a stochastic delay differential equation with exponentially stable drift and diffusion driven by a general Lévy process. The diffusion coefficient is assumed to be locally Lipschitz and bounded. Under a mild condition on the large jumps of the Lévy process, we show existence of an invariant measure. Main tools in our proof are a variation-of-constants formula and a stability theorem in our context, which are of independent interest.
La classe des semimartingales qui permettent d'intégrer les processus optionnels
La mesure de H. Föllmer en théorie des surmartingales
Le théorème de convergence des martingales dans les variétés riemanniennes d'après R.W. Darling et W.A. Zheng
Les intervalles de constance de
Les «principes d'invariance» en probabilité sur l'espace de Wiener
Les semi-martingales et la théorie de la mesure
Les semi-martingales formelles
L'exponentielle stochastique des groupes de Lie
Lifting theorems for some classes of two parameter martingales.
Linear filtering of systems with memory and application to finance.
Local characteristics and absolute continuity conditions for d-dimensional semi-martingales
Local martingales measures
Local risk-minimization for multidimensional assets and payment streams
One of the earliest concepts for hedging and pricing in incomplete financial markets has been the quadratic criterion of local risk-minimization. However, definitions and theory have so far been established only for the case of a single (one-dimensional) risky asset. We extend the approach to a general multidimensional setting and prove that the basic martingale characterization result for locally risk-minimizing strategies still holds true. In comparison with existing literature, the self-contained...