Results 21 to 30 of about 65 (64)
The efficient hedging problem for American options
, 2011 American options, Convex risk functionals, Fatou convergence, Worst stopping, Expected shortfall, 91B28, 90C39, 60H05, G13, G11,
MULINACCI, SABRINA, Sabrina Mulinacci
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, 2018 In this article, we present results on the existence and the topological structure of the solution set for initial-value problems relating to the first-order impulsive differential equation with infinite Brownian motions are proved. The approach is based
FERHAT, Mohamed, BLOUHI, Tayeb
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Behavior with respect to the Hurst index of the Wiener Hermite integrals and application to SPDEs
, 2019 International audienceWe consider the Wiener integral with respect to a d-parameter Hermite process with Hurst multi-index H = (H 1 , .., H d) ∈ 1 2 , 1 d and we analyze the limit behavior in distribution of this object when the components of H tend to 1
Tudor, Ciprian A., Slaoui, Meryem
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A family of integral representations for the brownian variables
, 2003 . – The natural filtration of a real Brownian motion and its excursion filtration are sharing a fundamental property: the property of integral representation. As a consequence, every Brownian variable admits two distinct integral representations. We show
Eisenbaum, Nathalie +3 more
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Multiple stochastic integral expansions of arbitrary Poisson jump times functionals
, 1999 We compute the Wiener-Poisson expansion of square-integrable functionals of a finite number of Poisson jump times in series of multiple Poisson stochastic integrals. Key words: Fock space, Poisson process, Wiener chaos.
Nicolas Privault
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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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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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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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Probability structure preserving and absolute continuity
, 2002 . – The concept of probability structure preserving mapping is introduced. The idea is applied to define stochastic integral for fractional Brownian motion (fBm) and to obtain an anticipative Girsanov theorem for fBm.
Hu, Yaozhong, Yaozhong Hu
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