Optional Decomposition and Lagrange Multipliers [PDF]
, 1997 Let Q be the set of equivalent martingale measures for a given process S, and let X be a process which is a local supermartingale with respect to any measure in Q.
Kabanov, Jurij M. +3 more
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Risk-neutral compatibility with option prices
Option prices, Risk neutral measures, Equity pricing, Equivalent martingale measures, 60G44, 60H10, 60H05, G12, G13,
Philip Protter, Jean Jacod
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Two-Parameter Stratonovich Integrals
, 1999 In a space of generalized white noise functionals we define several integrals of the Stratonovich type. Our approach uses multiple Stratonovich integrals defined via a renormalization operator on Fock space.
Redfern, Mylan
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Fractional Wiener chaos: Part 1 [PDF]
Mathematics Subject Classification: 26A33 · 42B10 · 60H25 · 60G18 · 60G44 · 60H05 · 33C45 · 60J05 · 60h35In this paper, we introduce a fractional analogue of the Wiener polynomial chaos expansion.
Boguslavskaya, E +3 more
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Milking the Cow: Cattle-Derived Chimeric Ultralong CDR-H3 Antibodies and Their Engineered CDR-H3-Only Knobbody Counterparts Targeting Epidermal Growth Factor Receptor Elicit Potent NK Cell-Mediated Cytotoxicity. [PDF]
Front Immunol, 2021 Pekar L +10 more
europepmc +1 more source
Grabbing the Bull by Both Horns: Bovine Ultralong CDR-H3 Paratopes Enable Engineering of 'Almost Natural' Common Light Chain Bispecific Antibodies Suitable For Effector Cell Redirection. [PDF]
Front Immunol, 2021 Klewinghaus D +6 more
europepmc +1 more source
A financial market with singular drift and no arbitrage. [PDF]
Math Financ Econ, 2021 Agram N, Øksendal B.
europepmc +1 more source
On the Minimal Martingale Measure and the Föllmer-Schweizer Decomposition
, 1994 : We provide three characterizations of the minimal martingale measure b P associated to a given d-dimensional semimartingale X. In each case, b P is shown to be the unique solution of an optimization problem where one minimizes a certain functional over
Projektbereich B, Martin Schweizer
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Path integral control of a stochastic multi-risk SIR pandemic model. [PDF]
Theory Biosci, 2023 Pramanik P.
europepmc +1 more source
Conditional exponential moments for iterated Wiener integrals
, 1999 We provide sharp exponential moment bounds for (Stratonovich) iterated stochastic integrals under conditioning by certain small balls, including balls in certain Holder-like norms of exponent greater than 1=3. The proof uses a control of the variation of
Ofer Zeitouni, Terry Lyons
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