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...
Local time and pathwise uniqueness for stochastic differential equations
Local times and almost sure convergence of semi-martingales
Lois de semimartingales et critères de compacité