Ramdas, Aaditya; Grünwald, Peter; Vovk, Vladimir; Shafer, Glenn Game-theoretic statistics and safe anytime-valid inference. (English) Zbl 07797149 Stat. Sci. 38, No. 4, 576-601 (2023). MSC: 62-XX PDFBibTeX XMLCite \textit{A. Ramdas} et al., Stat. Sci. 38, No. 4, 576--601 (2023; Zbl 07797149) Full Text: DOI arXiv Link
Ruf, Johannes; Larsson, Martin; Koolen, Wouter M.; Ramdas, Aaditya A composite generalization of Ville’s martingale theorem using e-processes. (English) Zbl 07790281 Electron. J. Probab. 28, Paper No. 127, 21 p. (2023). MSC: 60A10 60F15 60G40 PDFBibTeX XMLCite \textit{J. Ruf} et al., Electron. J. Probab. 28, Paper No. 127, 21 p. (2023; Zbl 07790281) Full Text: DOI arXiv
Klimsiak, Tomasz; Rzymowski, Maurycy Nonlinear BSDEs with two optional Doob’s class barriers satisfying weak Mokobodzki’s condition and extended Dynkin games. (English) Zbl 1523.60100 Appl. Math. Optim. 88, No. 3, Paper No. 80, 33 p. (2023). MSC: 60H10 60G40 PDFBibTeX XMLCite \textit{T. Klimsiak} and \textit{M. Rzymowski}, Appl. Math. Optim. 88, No. 3, Paper No. 80, 33 p. (2023; Zbl 1523.60100) Full Text: DOI arXiv OA License
Berrhazi, Badr-eddine; El Fatini, Mohamed; Hilbert, Astrid; Mrhardy, Naoual; Pettersson, Roger RBDSDEs with jumps and optional barrier and mean field game with common noise. (English) Zbl 1524.60118 Stochastics 95, No. 4, 615-634 (2023). MSC: 60H10 93E20 60G40 PDFBibTeX XMLCite \textit{B.-e. Berrhazi} et al., Stochastics 95, No. 4, 615--634 (2023; Zbl 1524.60118) Full Text: DOI
Valjarević, Dragana; Dimitrijević, Slađana; Petrović, Ljiljana Statistical causality, optional and predictable projections. (English) Zbl 1509.60101 Lith. Math. J. 63, No. 1, 104-116 (2023). MSC: 60G44 60H07 62P20 PDFBibTeX XMLCite \textit{D. Valjarević} et al., Lith. Math. J. 63, No. 1, 104--116 (2023; Zbl 1509.60101) Full Text: DOI
Bru, Marie-France; Bru, Bernard Émile Borel’s denumerable martingales, 1909–1949. (English) Zbl 1523.60006 Mazliak, Laurent (ed.) et al., The splendors and miseries of martingales. Their history from the casino to mathematics. Cham: Birkhäuser. Trends Hist. Sci., 51-65 (2022). MSC: 60-03 01A70 01A05 PDFBibTeX XMLCite \textit{M.-F. Bru} and \textit{B. Bru}, in: The splendors and miseries of martingales. Their history from the casino to mathematics. Cham: Birkhäuser. 51--65 (2022; Zbl 1523.60006) Full Text: DOI
Li, Libo Characterisation of honest times and optional semimartingales of class-\((\Sigma)\). (English) Zbl 1515.60120 J. Theor. Probab. 35, No. 4, 2145-2175 (2022). MSC: 60G44 60G40 60G07 91G40 PDFBibTeX XMLCite \textit{L. Li}, J. Theor. Probab. 35, No. 4, 2145--2175 (2022; Zbl 1515.60120) Full Text: DOI arXiv
Henzi, Alexander; Ziegel, Johanna F. Valid sequential inference on probability forecast performance. (English) Zbl 07582644 Biometrika 109, No. 3, 647-663 (2022); correction ibid. 109, No. 4, 1181-1182 (2022). MSC: 62-XX PDFBibTeX XMLCite \textit{A. Henzi} and \textit{J. F. Ziegel}, Biometrika 109, No. 3, 647--663 (2022; Zbl 07582644) Full Text: DOI arXiv
Bouhadou, Siham; Hilbert, Astrid; Ouknine, Youssef RBSDEs with optional barriers: monotone approximation. (English) Zbl 1498.60200 Probab. Uncertain. Quant. Risk 7, No. 2, 67-84 (2022). MSC: 60H10 60G40 PDFBibTeX XMLCite \textit{S. Bouhadou} et al., Probab. Uncertain. Quant. Risk 7, No. 2, 67--84 (2022; Zbl 1498.60200) Full Text: DOI
Lanchier, Nicolas; Li, Hsin-Lun Consensus in the Hegselmann-Krause model. (English) Zbl 1490.60276 J. Stat. Phys. 187, No. 3, Paper No. 20, 13 p. (2022). MSC: 60K35 PDFBibTeX XMLCite \textit{N. Lanchier} and \textit{H.-L. Li}, J. Stat. Phys. 187, No. 3, Paper No. 20, 13 p. (2022; Zbl 1490.60276) Full Text: DOI arXiv
Hardin, Mela; Lanchier, Nicolas Probability of consensus in spatial opinion models with confidence threshold. (English) Zbl 1484.60110 ALEA, Lat. Am. J. Probab. Math. Stat. 19, No. 1, 417-437 (2022). MSC: 60K35 91A22 91D30 PDFBibTeX XMLCite \textit{M. Hardin} and \textit{N. Lanchier}, ALEA, Lat. Am. J. Probab. Math. Stat. 19, No. 1, 417--437 (2022; Zbl 1484.60110) Full Text: arXiv Link
Ramdas, Aaditya; Ruf, Johannes; Larsson, Martin; Koolen, Wouter M. Testing exchangeability: fork-convexity, supermartingales and e-processes. (English) Zbl 07460558 Int. J. Approx. Reasoning 141, 83-109 (2022). MSC: 68T37 PDFBibTeX XMLCite \textit{A. Ramdas} et al., Int. J. Approx. Reasoning 141, 83--109 (2022; Zbl 07460558) Full Text: DOI arXiv
Hendriksen, Allard; de Heide, Rianne; Grünwald, Peter Optional stopping with Bayes factors: a categorization and extension of folklore results, with an application to invariant situations. (English) Zbl 07807548 Bayesian Anal. 16, No. 3, 961-989 (2021). MSC: 62-XX PDFBibTeX XMLCite \textit{A. Hendriksen} et al., Bayesian Anal. 16, No. 3, 961--989 (2021; Zbl 07807548) Full Text: DOI arXiv Link
Hu, Mingshang; Peng, Shige Extended conditional \(G\)-expectations and related stopping times. (English) Zbl 1491.60083 Probab. Uncertain. Quant. Risk 6, No. 4, 369-390 (2021). MSC: 60H10 60H30 60G40 PDFBibTeX XMLCite \textit{M. Hu} and \textit{S. Peng}, Probab. Uncertain. Quant. Risk 6, No. 4, 369--390 (2021; Zbl 1491.60083) Full Text: DOI arXiv
Grigorova, Miryana; Quenez, Marie-Claire; Sulem, Agnès American options in a non-linear incomplete market model with default. (English) Zbl 1476.91185 Stochastic Processes Appl. 142, 479-512 (2021). MSC: 91G20 60G40 60H30 PDFBibTeX XMLCite \textit{M. Grigorova} et al., Stochastic Processes Appl. 142, 479--512 (2021; Zbl 1476.91185) Full Text: DOI
Klimsiak, Tomasz; Rzymowski, Maurycy Reflected BSDEs with two optional barriers and monotone coefficient on general filtered space. (English) Zbl 1480.60160 Electron. J. Probab. 26, Paper No. 91, 24 p. (2021). MSC: 60H10 60G40 PDFBibTeX XMLCite \textit{T. Klimsiak} and \textit{M. Rzymowski}, Electron. J. Probab. 26, Paper No. 91, 24 p. (2021; Zbl 1480.60160) Full Text: DOI arXiv
Aksamit, Anna; Choulli, Tahir; Jeanblanc, Monique Thin times and random times’ decomposition. (English) Zbl 1480.60078 Electron. J. Probab. 26, Paper No. 31, 22 p. (2021). MSC: 60G07 60G40 60G44 PDFBibTeX XMLCite \textit{A. Aksamit} et al., Electron. J. Probab. 26, Paper No. 31, 22 p. (2021; Zbl 1480.60078) Full Text: DOI arXiv
Marzougue, Mohamed; El Otmani, Mohamed BSDEs with jumps and two completely separated irregular barriers in a general filtration. (English) Zbl 1469.60190 ALEA, Lat. Am. J. Probab. Math. Stat. 18, No. 1, 761-792 (2021). MSC: 60H10 60G40 60H20 PDFBibTeX XMLCite \textit{M. Marzougue} and \textit{M. El Otmani}, ALEA, Lat. Am. J. Probab. Math. Stat. 18, No. 1, 761--792 (2021; Zbl 1469.60190) Full Text: Link
Lanchier, Nicolas; Li, Hsin-Lun Probability of consensus in the multivariate Deffuant model on finite connected graphs. (English) Zbl 1477.60140 Electron. Commun. Probab. 25, Paper No. 79, 12 p. (2020). MSC: 60K35 PDFBibTeX XMLCite \textit{N. Lanchier} and \textit{H.-L. Li}, Electron. Commun. Probab. 25, Paper No. 79, 12 p. (2020; Zbl 1477.60140) Full Text: DOI arXiv
Marzougue, Mohamed A note on optional Snell envelopes and reflected backward SDEs. (English) Zbl 1460.60054 Stat. Probab. Lett. 165, Article ID 108833, 6 p. (2020). MSC: 60H10 60G40 PDFBibTeX XMLCite \textit{M. Marzougue}, Stat. Probab. Lett. 165, Article ID 108833, 6 p. (2020; Zbl 1460.60054) Full Text: DOI
Klimsiak, Tomasz; Rzymowski, Maurycy; Słomiński, Leszek Reflected backward stochastic differential equations with two optional barriers. (English) Zbl 1471.60088 Bull. Sci. Math. 158, Article ID 102820, 49 p. (2020). MSC: 60H10 60G40 PDFBibTeX XMLCite \textit{T. Klimsiak} et al., Bull. Sci. Math. 158, Article ID 102820, 49 p. (2020; Zbl 1471.60088) Full Text: DOI arXiv
Fletcher, Samuel C. Stopping rules as experimental design. (English) Zbl 1428.62020 Eur. J. Philos. Sci. 9, No. 2, Paper No. 29, 20 p. (2019). MSC: 62A01 62C05 62F15 PDFBibTeX XMLCite \textit{S. C. Fletcher}, Eur. J. Philos. Sci. 9, No. 2, Paper No. 29, 20 p. (2019; Zbl 1428.62020) Full Text: DOI Link
Tadić, Tvrtko Time-like graphical models. (English) Zbl 1437.62005 Memoirs of the American Mathematical Society 1262. Providence, RI: American Mathematical Society (AMS) (ISBN 978-1-4704-3685-8/pbk; 978-1-4704-5416-6/ebook). vii, 170 p. (2019). Reviewer: Fraser Daly (Edinburgh) MSC: 62-02 62G20 62H22 35K05 60G60 60H15 60J65 62H05 05C90 60G44 62L15 PDFBibTeX XMLCite \textit{T. Tadić}, Time-like graphical models. Providence, RI: American Mathematical Society (AMS) (2019; Zbl 1437.62005) Full Text: DOI arXiv Link
Oukid, Houria; Aissani, Amar A new look at the M/G/1 retrial queue: a martingale approach. (English) Zbl 1414.60073 Adv. Stud. Contemp. Math., Kyungshang 28, No. 3, 413-422 (2018). MSC: 60K25 60G40 60G42 60K35 PDFBibTeX XMLCite \textit{H. Oukid} and \textit{A. Aissani}, Adv. Stud. Contemp. Math., Kyungshang 28, No. 3, 413--422 (2018; Zbl 1414.60073)
van der Pas, Stéphanie; Grünwald, Peter Almost the best of three worlds: risk, consistency and optional stopping for the switch criterion in nested model selection. (English) Zbl 1382.62006 Stat. Sin. 28, No. 1, 229-253 (2018). MSC: 62F07 62C10 PDFBibTeX XMLCite \textit{S. van der Pas} and \textit{P. Grünwald}, Stat. Sin. 28, No. 1, 229--253 (2018; Zbl 1382.62006) Full Text: DOI arXiv
Grigorova, Miryana; Imkeller, Peter; Offen, Elias; Ouknine, Youssef; Quenez, Marie-Claire Reflected BSDEs when the obstacle is not right-continuous and optimal stopping. (English) Zbl 1379.60045 Ann. Appl. Probab. 27, No. 5, 3153-3188 (2017). MSC: 60G40 60H30 60G07 47N10 60G48 PDFBibTeX XMLCite \textit{M. Grigorova} et al., Ann. Appl. Probab. 27, No. 5, 3153--3188 (2017; Zbl 1379.60045) Full Text: DOI arXiv Euclid
Bayraktar, Erhan; Zhou, Zhou On arbitrage and duality under model uncertainty and portfolio constraints. (English) Zbl 1411.91541 Math. Finance 27, No. 4, 988-1012 (2017). MSC: 91G20 60G40 91G10 PDFBibTeX XMLCite \textit{E. Bayraktar} and \textit{Z. Zhou}, Math. Finance 27, No. 4, 988--1012 (2017; Zbl 1411.91541) Full Text: DOI arXiv Link
Reiß, Markus; Selk, Leonie Efficient estimation of functionals in nonparametric boundary models. (English) Zbl 1380.62177 Bernoulli 23, No. 2, 1022-1055 (2017). MSC: 62G08 60G55 62G05 62G20 PDFBibTeX XMLCite \textit{M. Reiß} and \textit{L. Selk}, Bernoulli 23, No. 2, 1022--1055 (2017; Zbl 1380.62177) Full Text: DOI arXiv Euclid
Song, Sh. Random time with differentiable conditional distribution function. (English. Russian original) Zbl 1375.60083 Theory Probab. Appl. 60, No. 4, 647-669 (2016); translation from Teor. Veroyatn. Primen. 60, No. 4, 740-769 (2015). MSC: 60G40 60G48 60G07 PDFBibTeX XMLCite \textit{Sh. Song}, Theory Probab. Appl. 60, No. 4, 647--669 (2016; Zbl 1375.60083); translation from Teor. Veroyatn. Primen. 60, No. 4, 740--769 (2015) Full Text: DOI arXiv
Föllmer, Hans; Schied, Alexander Stochastic finance. An introduction in discrete time. 4th revised edition. (English) Zbl 1343.91001 de Gruyter Textbook. Berlin: de Gruyter (ISBN 978-3-11-046344-6/pbk; 978-3-11-046345-3/ebook). xii, 596 p. (2016). MSC: 91-01 91G20 91B30 91G10 91G80 60G40 60G42 60H30 PDFBibTeX XMLCite \textit{H. Föllmer} and \textit{A. Schied}, Stochastic finance. An introduction in discrete time. 4th revised edition. Berlin: de Gruyter (2016; Zbl 1343.91001) Full Text: DOI
Czichowsky, Christoph; Schachermayer, Walter Strong supermartingales and limits of nonnegative martingales. (English) Zbl 1339.60045 Ann. Probab. 44, No. 1, 171-205 (2016). Reviewer: Guy Jumarie (Montréal) MSC: 60G42 60G48 60F05 60G40 60H05 PDFBibTeX XMLCite \textit{C. Czichowsky} and \textit{W. Schachermayer}, Ann. Probab. 44, No. 1, 171--205 (2016; Zbl 1339.60045) Full Text: DOI arXiv Euclid
Pavlov, I. V.; Nazarko, O. V. Optional sampling theorem for deformed submartingales. (English) Zbl 1326.60055 Theory Probab. Appl. 59, No. 3, 499-507 (2015); translation from Teor. Veroyatn. Primen. 59, No. 3, 585–594 (2015). MSC: 60G40 60G48 PDFBibTeX XMLCite \textit{I. V. Pavlov} and \textit{O. V. Nazarko}, Theory Probab. Appl. 59, No. 3, 499--507 (2015; Zbl 1326.60055); translation from Teor. Veroyatn. Primen. 59, No. 3, 585--594 (2015) Full Text: DOI
Kardaras, Constantinos On the stochastic behaviour of optional processes up to random times. (English) Zbl 1316.60057 Ann. Appl. Probab. 25, No. 2, 429-464 (2015). MSC: 60G40 60G07 60G44 60J65 91G80 PDFBibTeX XMLCite \textit{C. Kardaras}, Ann. Appl. Probab. 25, No. 2, 429--464 (2015; Zbl 1316.60057) Full Text: DOI arXiv Euclid
Larsson, Martin Filtration shrinkage, strict local martingales and the Föllmer measure. (English) Zbl 1304.60050 Ann. Appl. Probab. 24, No. 4, 1739-1766 (2014). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 60G44 60G17 60G30 60G40 PDFBibTeX XMLCite \textit{M. Larsson}, Ann. Appl. Probab. 24, No. 4, 1739--1766 (2014; Zbl 1304.60050) Full Text: DOI arXiv Euclid
Pavlov, I. V.; Nazarko, O. V. Generalization of Doob’s optional sampling theorem for deformed submartingales. (English. Russian original) Zbl 1326.60054 Russ. Math. Surv. 68, No. 6, 1139-1141 (2013); translation from Usp. Mat. Nauk 68, No. 6, 175-176 (2013). Reviewer: Bernhard Burgstaller (Florianópolis) MSC: 60G40 60G48 60G42 PDFBibTeX XMLCite \textit{I. V. Pavlov} and \textit{O. V. Nazarko}, Russ. Math. Surv. 68, No. 6, 1139--1141 (2013; Zbl 1326.60054); translation from Usp. Mat. Nauk 68, No. 6, 175--176 (2013) Full Text: DOI
Chiarolla, Maria B.; Ferrari, Giorgio; Riedel, Frank Generalized Kuhn-Tucker conditions for \(N\)-firm stochastic irreversible investment under limited resources. (English) Zbl 1283.91143 SIAM J. Control Optim. 51, No. 5, 3863-3885 (2013). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91B70 93E20 60G40 60H25 PDFBibTeX XMLCite \textit{M. B. Chiarolla} et al., SIAM J. Control Optim. 51, No. 5, 3863--3885 (2013; Zbl 1283.91143) Full Text: DOI arXiv
Luschgy, Harald Martingales in discrete time. Theory and applications. (Martingale in diskreter Zeit. Theorie und Anwendungen.) (German) Zbl 1262.60002 Berlin: Springer Spektrum (ISBN 978-3-642-29960-5/pbk; 978-3-642-29961-2/ebook). xiv, 458 p. (2013). Reviewer: Heinrich Hering (Rockenberg) MSC: 60-01 60G42 60J80 60J85 60J05 60G09 62L20 91G20 46B15 PDFBibTeX XMLCite \textit{H. Luschgy}, Martingale in diskreter Zeit. Theorie und Anwendungen. Berlin: Springer Spektrum (2013; Zbl 1262.60002) Full Text: DOI
Liang, Kun; Nettleton, Dan Adaptive and dynamic adaptive procedures for false discovery rate control and estimation. (English) Zbl 1411.62226 J. R. Stat. Soc., Ser. B, Stat. Methodol. 74, No. 1, 163-182 (2012). MSC: 62J15 62F10 62F12 PDFBibTeX XMLCite \textit{K. Liang} and \textit{D. Nettleton}, J. R. Stat. Soc., Ser. B, Stat. Methodol. 74, No. 1, 163--182 (2012; Zbl 1411.62226) Full Text: DOI
Jacobsen, Martin The time to ruin in some additive risk models with random premium rates. (English) Zbl 1264.60067 J. Appl. Probab. 49, No. 4, 915-938 (2012). Reviewer: Klaus Schürger (Bonn) MSC: 60K20 60G40 60G44 60J35 91B30 PDFBibTeX XMLCite \textit{M. Jacobsen}, J. Appl. Probab. 49, No. 4, 915--938 (2012; Zbl 1264.60067) Full Text: DOI Euclid
Najnudel, Joseph; Nikeghbali, Ashkan On some universal \(\sigma\)-finite measures related to a remarkable class of submartingales. (English) Zbl 1275.60045 Stochastic Processes Appl. 122, No. 4, 1582-1600 (2012). MSC: 60G44 60G05 PDFBibTeX XMLCite \textit{J. Najnudel} and \textit{A. Nikeghbali}, Stochastic Processes Appl. 122, No. 4, 1582--1600 (2012; Zbl 1275.60045) Full Text: DOI arXiv
Regazzini, Eugenio; Spizzichino, Fabio Bruno de Finetti’s encounter with martingales. (English) Zbl 1344.60009 J. Électron. Hist. Probab. Stat. 7, No. 1, Article 2, 20 p. (2011). MSC: 60-03 60G40 60G42 91B16 91B30 01A70 PDFBibTeX XMLCite \textit{E. Regazzini} and \textit{F. Spizzichino}, J. Électron. Hist. Probab. Stat. 7, No. 1, Article 2, 20 p. (2011; Zbl 1344.60009) Full Text: EMIS Link
Mattner, Lutz One optional observation inflates \(\alpha\) by \({100/\sqrt{n}}\) per cent. (English) Zbl 1206.62024 Metrika 73, No. 1, 43-59 (2011). MSC: 62F05 62F03 62L99 PDFBibTeX XMLCite \textit{L. Mattner}, Metrika 73, No. 1, 43--59 (2011; Zbl 1206.62024) Full Text: DOI arXiv
Zacks, Shelemyahu Discussion on “Quickest detection problems: fifty years later” by Albert N. Shiryaev. (English) Zbl 1274.62544 Sequential Anal. 29, No. 4, 430-433 (2010). MSC: 62L15 62L10 62F15 PDFBibTeX XMLCite \textit{S. Zacks}, Sequential Anal. 29, No. 4, 430--433 (2010; Zbl 1274.62544) Full Text: DOI
Frostig, Esther On risk model with dividends payments perturbed by a Brownian motion – an algorithmic approach. (English) Zbl 1169.91389 Astin Bull. 38, No. 1, 183-206 (2008). MSC: 91B30 60J65 PDFBibTeX XMLCite \textit{E. Frostig}, ASTIN Bull. 38, No. 1, 183--206 (2008; Zbl 1169.91389) Full Text: DOI
Zhou, Xinquan I-type optional increasing paths. (Chinese. English summary) Zbl 1174.60374 Pure Appl. Math. 24, No. 3, 508-510 (2008). MSC: 60G44 60G40 PDFBibTeX XMLCite \textit{X. Zhou}, Pure Appl. Math. 24, No. 3, 508--510 (2008; Zbl 1174.60374)
Di Bucchianico, Alessandro; Groote, Jan Friso; Van Hee, Kees; Kruidhof, Ronald Statistical certification of software systems. (English) Zbl 1132.62086 Commun. Stat., Simulation Comput. 37, No. 2, 346-359 (2008). MSC: 62N05 62L10 68M15 62L15 62F15 PDFBibTeX XMLCite \textit{A. Di Bucchianico} et al., Commun. Stat., Simulation Comput. 37, No. 2, 346--359 (2008; Zbl 1132.62086) Full Text: DOI
Xia, Yafeng; Zhou, Xiaoxing; Su, Tianen The ruin probability of the compound negative binomial risk model with a completely stochastic premium. (English) Zbl 1145.91358 Gao, Hongwei (ed.) et al., Proceedings of the second international conference on game theory and applications, Qingdao, China, September 17–19, 2007. Liverpool: World Academic Union (World Academic Press) (ISBN 978-1-84626-166-4/hbk). 214-218 (2007). MSC: 91B30 60G40 PDFBibTeX XMLCite \textit{Y. Xia} et al., in: Proceedings of the second international conference on game theory and applications, Qingdao, China, September 17--19, 2007. Liverpool: World Academic Union (World Academic Press). 214--218 (2007; Zbl 1145.91358)
Xia, Yafeng; Zhou, Xiaoxing; Sun, Nailing The application of martingale in ruin probability of the compound negative binomial risk model. (English) Zbl 1145.91359 Gao, Hongwei (ed.) et al., Proceedings of the second international conference on game theory and applications, Qingdao, China, September 17–19, 2007. Liverpool: World Academic Union (World Academic Press) (ISBN 978-1-84626-166-4/hbk). 209-213 (2007). MSC: 91B30 60G40 PDFBibTeX XMLCite \textit{Y. Xia} et al., in: Proceedings of the second international conference on game theory and applications, Qingdao, China, September 17--19, 2007. Liverpool: World Academic Union (World Academic Press). 209--213 (2007; Zbl 1145.91359)
Shiryaev, A. N. Martingale methods in problems on boundary intersections of Brownian motions. (О мартингальных методах в задачах о пересечении границ броуновским движением.) (Russian) Zbl 1145.60004 Sovremennye Problemy Matematiki 8. Moskva: MatematicheskiĭInstitut im. V. A. Steklova, RAN (ISBN 5-98419-020-6/pbk). 78 p. (2007). Reviewer: Pavel Gapeev (London) MSC: 60-02 60G40 60J65 60J60 60J55 60G44 60G42 PDFBibTeX XMLCite \textit{A. N. Shiryaev}, О мартингальных методах в задачах о пересечении границ броуновским движением (Russian). Moskva: Matematicheskiĭ\ Institut im. V. A. Steklova, RAN (2007; Zbl 1145.60004)
Gilliland, Dennis; Levental, Shlomo; Xiao, Yimin A note on absorption probabilities in one-dimensional random walk via complex-valued martingales. (English) Zbl 1138.60036 Stat. Probab. Lett. 77, No. 11, 1098-1105 (2007). Reviewer: Aleksander Iksanov (Kiev) MSC: 60G50 60G40 60G42 PDFBibTeX XMLCite \textit{D. Gilliland} et al., Stat. Probab. Lett. 77, No. 11, 1098--1105 (2007; Zbl 1138.60036) Full Text: DOI
Fenoy, M. Mar; Ibarrola, Pilar The optional sampling theorem for submartingales in the sequentially planned context. (English) Zbl 1114.62078 Stat. Probab. Lett. 77, No. 8, 826-831 (2007). MSC: 62L10 60G40 60G48 PDFBibTeX XMLCite \textit{M. M. Fenoy} and \textit{P. Ibarrola}, Stat. Probab. Lett. 77, No. 8, 826--831 (2007; Zbl 1114.62078) Full Text: DOI HAL
Nikeghbali, Ashkan Non-stopping times and stopping theorems. (English) Zbl 1121.60046 Stochastic Processes Appl. 117, No. 4, 457-475 (2007). Reviewer: Klaus Schürger (Bonn) MSC: 60G44 60G40 PDFBibTeX XMLCite \textit{A. Nikeghbali}, Stochastic Processes Appl. 117, No. 4, 457--475 (2007; Zbl 1121.60046) Full Text: DOI arXiv
Hudson, R. L. Stop times in Fock space quantum probability. (English) Zbl 1118.81048 Stochastics 79, No. 3-4, 383-391 (2007). Reviewer: Franco Fagnola (Milano) MSC: 81S25 60G48 60G40 81-02 PDFBibTeX XMLCite \textit{R. L. Hudson}, Stochastics 79, No. 3--4, 383--391 (2007; Zbl 1118.81048) Full Text: DOI
Lai, Tze Leung; Su, Zheng; Chuang, Chin Shan Bias correction and confidence intervals following sequential tests. (English) Zbl 1268.62095 Sun, Jiayang (ed.) et al., Recent developments in nonparametric inference and probability. Festschrift for Michael Woodroofe. Some papers presented at the ‘Conference on nonparametric inference and probability with applications to science’, Ann Arbor, MI, USA, September 24–25, 2005. Beachwood, OH: IMS, Institute of Mathematical Statistics (ISBN 978-0-940600-66-9/pbk). Institute of Mathematical Statistics Lecture Notes - Monograph Series 50, 44-57 (2006). MSC: 62L10 62F25 62F40 PDFBibTeX XMLCite \textit{T. L. Lai} et al., IMS Lect. Notes, Monogr. Ser. 50, 44--57 (2006; Zbl 1268.62095) Full Text: arXiv
Nikeghbali, Ashkan Some random times and martingales associated with \(BES_0(\delta)\) processes \((0<\delta<2)\). (English) Zbl 1105.60062 ALEA, Lat. Am. J. Probab. Math. Stat. 2, 67-89 (2006). MSC: 60J60 60G44 60J55 PDFBibTeX XMLCite \textit{A. Nikeghbali}, ALEA, Lat. Am. J. Probab. Math. Stat. 2, 67--89 (2006; Zbl 1105.60062) Full Text: arXiv
Jacobsen, Martin The time to ruin for a class of Markov additive risk process with two-sided jumps. (English) Zbl 1100.60021 Adv. Appl. Probab. 37, No. 4, 963-992 (2005). Reviewer: Uta Freiberg (Canberra) MSC: 60G40 60K15 60E10 60G44 60J25 91B30 PDFBibTeX XMLCite \textit{M. Jacobsen}, Adv. Appl. Probab. 37, No. 4, 963--992 (2005; Zbl 1100.60021) Full Text: DOI
van der Vaart, Aad On Robins’ formula. (English) Zbl 1074.62033 Stat. Decis. 22, No. 3, 171-200 (2004). MSC: 62G99 62A01 60G44 60A10 60G35 60G40 62G15 62G20 62F25 PDFBibTeX XMLCite \textit{A. van der Vaart}, Stat. Decis. 22, No. 3, 171--200 (2004; Zbl 1074.62033) Full Text: DOI
Bank, Peter; El Karoui, Nicole A stochastic representation theorem with applications to optimization and obstacle problems. (English) Zbl 1058.60022 Ann. Probab. 32, No. 1B, 1030-1067 (2004). Reviewer: Stefan Weber (Berlin) MSC: 60G07 60G40 60H25 PDFBibTeX XMLCite \textit{P. Bank} and \textit{N. El Karoui}, Ann. Probab. 32, No. 1B, 1030--1067 (2004; Zbl 1058.60022) Full Text: DOI
Asmussen, Søren; Pihlsgård, Mats Transient properties of many-server queues and related QBDs. (English) Zbl 1061.90027 Queueing Syst. 46, No. 3-4, 249-270 (2004). MSC: 90B22 PDFBibTeX XMLCite \textit{S. Asmussen} and \textit{M. Pihlsgård}, Queueing Syst. 46, No. 3--4, 249--270 (2004; Zbl 1061.90027) Full Text: DOI
Ethier, S. N.; Khoshnevisan, Davar Bounds on gambler’s ruin probabilities in terms of moments. (English) Zbl 0997.60042 Methodol. Comput. Appl. Probab. 4, No. 1, 55-68 (2002). MSC: 60G40 PDFBibTeX XMLCite \textit{S. N. Ethier} and \textit{D. Khoshnevisan}, Methodol. Comput. Appl. Probab. 4, No. 1, 55--68 (2002; Zbl 0997.60042) Full Text: DOI
Aletti, G.; Capasso, V. Reduction of dimension for spatial point processes and right continuous martingales. (English) Zbl 1004.60048 Stochastics Stochastics Rep. 72, No. 1-2, 1-9 (2002). Reviewer: V.Oganyan (Erevan) MSC: 60G55 60G40 60G48 PDFBibTeX XMLCite \textit{G. Aletti} and \textit{V. Capasso}, Stochastics Stochastics Rep. 72, No. 1--2, 1--9 (2002; Zbl 1004.60048) Full Text: DOI
Kella, Offer; Stadje, Wolfgang On hitting times for compound Poisson dams with exponential jumps and linear release rate. (English) Zbl 0994.60092 J. Appl. Probab. 38, No. 3, 781-786 (2001). Reviewer: S.Asmussen (Lund) MSC: 60K30 60K15 60G10 60J25 PDFBibTeX XMLCite \textit{O. Kella} and \textit{W. Stadje}, J. Appl. Probab. 38, No. 3, 781--786 (2001; Zbl 0994.60092) Full Text: DOI
Chen, Zengjing; Peng, Shige Continuous properties of \(g\)-martingales. (English) Zbl 0980.60084 Chin. Ann. Math., Ser. B 22, No. 1, 115-128 (2001). Reviewer: Rainer Buckdahn (Brest) MSC: 60H10 60G48 PDFBibTeX XMLCite \textit{Z. Chen} and \textit{S. Peng}, Chin. Ann. Math., Ser. B 22, No. 1, 115--128 (2001; Zbl 0980.60084) Full Text: DOI
Zhou, Xinquan Properties of optional increasing paths. (Chinese. English summary) Zbl 0956.60036 J. Baoji Coll. Arts Sci., Nat. Sci. 19, No. 4, 48-49 (1999). MSC: 60G40 PDFBibTeX XMLCite \textit{X. Zhou}, J. Baoji Coll. Arts Sci., Nat. Sci. 19, No. 4, 48--49 (1999; Zbl 0956.60036)
Brzeźniak, Zdzisław; Zastawniak, Tomasz Basic stochastic processes. A course through exercises. (English) Zbl 0922.60003 Springer Undergraduate Mathematics Series. Berlin: Springer. x, 225 p. (1999). Reviewer: Yu.S.Mishura (Kyïv) MSC: 60-01 60G05 60G42 60G40 60G55 60H05 60H10 60J10 PDFBibTeX XMLCite \textit{Z. Brzeźniak} and \textit{T. Zastawniak}, Basic stochastic processes. A course through exercises. Berlin: Springer (1999; Zbl 0922.60003)
Peskir, Goran The integral analogue of the Hardy-Littlewood \(L\log L\)-inequality for Brownian motion. (English) Zbl 0897.60048 Math. Inequal. Appl. 1, No. 1, 137-148 (1998). MSC: 60G40 60J65 60E15 60G44 60J25 60J60 PDFBibTeX XMLCite \textit{G. Peskir}, Math. Inequal. Appl. 1, No. 1, 137--148 (1998; Zbl 0897.60048) Full Text: DOI
Nagao, Hisao Asymptotically pointwise optimal rules of sequential estimation of mean vector when an information matrix has some structure in a multivariate normal population. (English) Zbl 0897.62092 Sequential Anal. 16, No. 4, 363-374 (1997). MSC: 62L12 62H12 PDFBibTeX XMLCite \textit{H. Nagao}, Sequential Anal. 16, No. 4, 363--374 (1997; Zbl 0897.62092) Full Text: DOI
Nagao, Hisao Asymptotically pointwise optimal rules for estimating the mean in general exponential distributions for squared loss. (English) Zbl 0928.62064 Sequential Anal. 16, No. 2, 155-174 (1997). MSC: 62L12 62H12 PDFBibTeX XMLCite \textit{H. Nagao}, Sequential Anal. 16, No. 2, 155--174 (1997; Zbl 0928.62064) Full Text: DOI
Graversen, S. E.; Peškir, G. On Wald-type optimal stopping for Brownian motion. (English) Zbl 0876.60023 J. Appl. Probab. 34, No. 1, 66-73 (1997). MSC: 60G40 60J65 60G42 60G44 60H05 PDFBibTeX XMLCite \textit{S. E. Graversen} and \textit{G. Peškir}, J. Appl. Probab. 34, No. 1, 66--73 (1997; Zbl 0876.60023) Full Text: DOI
Wang, Zikun Some joint distributions for Markov process. (English) Zbl 0872.60058 Chin. Sci. Bull. 41, No. 16, 1321-1327 (1996). MSC: 60J27 60J65 PDFBibTeX XMLCite \textit{Z. Wang}, Chin. Sci. Bull. 41, No. 16, 1321--1327 (1996; Zbl 0872.60058)
Bauer, Heinz Probability theory. Translated from the German by Robert B. Burckel. (English) Zbl 0868.60001 de Gruyter Studies in Mathematics. 23. Berlin: de Gruyter. xv, 523 p. (1996). Reviewer: M.Schweizer (Berlin) MSC: 60-01 60-02 PDFBibTeX XMLCite \textit{H. Bauer}, Probability theory. Translated from the German by Robert B. Burckel. Berlin: de Gruyter (1996; Zbl 0868.60001)
Gerber, Hans U.; Shiu, Elias S. W. Actuarial bridges to dynamic hedging and option pricing. (English) Zbl 0896.62112 Insur. Math. Econ. 18, No. 3, 183-218 (1996). MSC: 62P05 91G20 91G10 60G35 PDFBibTeX XMLCite \textit{H. U. Gerber} and \textit{E. S. W. Shiu}, Insur. Math. Econ. 18, No. 3, 183--218 (1996; Zbl 0896.62112) Full Text: DOI
Pötscher, B. M. Optional skipping of martingale differences and related sequences. (English) Zbl 0887.60055 Metron 54, No. 1-2, 31-36 (1996). Reviewer: N.Weber (Sydney) MSC: 60G42 60G40 PDFBibTeX XMLCite \textit{B. M. Pötscher}, Metron 54, No. 1--2, 31--36 (1996; Zbl 0887.60055)
Chang, Zhihua On the general stopping time changes of right processes. (Chinese. English summary) Zbl 0845.60074 J. Math., Wuhan Univ. 15, No. 2, 225-230 (1995). MSC: 60J25 PDFBibTeX XMLCite \textit{Z. Chang}, J. Math., Wuhan Univ. 15, No. 2, 225--230 (1995; Zbl 0845.60074)
Yeh, J. Martingales and stochastic analysis. (English) Zbl 0848.60001 Series on Multivariate Analysis. 1. Singapore: World Scientific. xiii, 501 p. (1995). Reviewer: F.Flandoli (Pisa) MSC: 60-02 60G42 60G44 60Hxx PDFBibTeX XMLCite \textit{J. Yeh}, Martingales and stochastic analysis. Singapore: World Scientific (1995; Zbl 0848.60001)
Sandell, Dennis A game with three players. (Swedish. English summary) Zbl 0837.90146 Normat 43, No. 3, 113-119 (1995). MSC: 91A60 PDFBibTeX XMLCite \textit{D. Sandell}, Normat 43, No. 3, 113--119 (1995; Zbl 0837.90146)
Kaspi, Haya; Mandelbaum, Avi Lévy bandits: Multi-armed bandits driven by Lévy processes. (English) Zbl 0830.60065 Ann. Appl. Probab. 5, No. 2, 541-565 (1995). MSC: 60J99 60G40 60J55 PDFBibTeX XMLCite \textit{H. Kaspi} and \textit{A. Mandelbaum}, Ann. Appl. Probab. 5, No. 2, 541--565 (1995; Zbl 0830.60065) Full Text: DOI
Gerber, Hans U.; Shiu, Elias S. W. From perpetual strangles to Russian options. (English) Zbl 0822.60042 Insur. Math. Econ. 15, No. 2-3, 121-126 (1994). Reviewer: V.Mackevičius (Vilnius) MSC: 60G40 62P05 PDFBibTeX XMLCite \textit{H. U. Gerber} and \textit{E. S. W. Shiu}, Insur. Math. Econ. 15, No. 2--3, 121--126 (1994; Zbl 0822.60042) Full Text: DOI
Stirzaker, David Tower problems and martingales. (English) Zbl 0806.60032 Math. Sci. 19, No. 1, 52-59 (1994). Reviewer: M.Boutahar (Marseille) MSC: 60G42 PDFBibTeX XMLCite \textit{D. Stirzaker}, Math. Sci. 19, No. 1, 52--59 (1994; Zbl 0806.60032)
Embrechts, P.; Klüppelberg, C. Some aspects of insurance mathematics. (English. Russian original) Zbl 0803.62092 Theory Probab. Appl. 38, No. 2, 262-295 (1993); translation from Teor. Veroyatn. Primen. 38, No. 2, 374-416 (1993). MSC: 62P05 91B30 PDFBibTeX XMLCite \textit{P. Embrechts} and \textit{C. Klüppelberg}, Teor. Veroyatn. Primen. 38, No. 2, 374--416 (1993; Zbl 0803.62092); translation from Teor. Veroyatn. Primen. 38, No. 2, 374--416 (1993)
Bilotti-Aliaga, Martha Use of a side effect as a covariate in a problem of sequential analysis. (English) Zbl 0752.62053 J. Stat. Plann. Inference 32, No. 3, 311-323 (1992). MSC: 62L10 62P10 90C90 60F15 62L15 PDFBibTeX XMLCite \textit{M. Bilotti-Aliaga}, J. Stat. Plann. Inference 32, No. 3, 311--323 (1992; Zbl 0752.62053) Full Text: DOI
Ivanoff, B. G.; Merzbach, E. Set-indexed stochastic processes and predictability. (English. Russian original) Zbl 0794.60044 Theory Probab. Appl. 37, No. 1, 61-66 (1992); translation from Teor. Veroyatn. Primen. 37, No. 1, 57-63 (1992). MSC: 60G48 PDFBibTeX XMLCite \textit{B. G. Ivanoff} and \textit{E. Merzbach}, Theory Probab. Appl. 37, No. 1, 61--66 (1992; Zbl 0794.60044); translation from Teor. Veroyatn. Primen. 37, No. 1, 57--63 (1992) Full Text: DOI
Gaenssler, Peter; Joos, Konrad Another view on martingale central limit theorems. (English) Zbl 0747.60023 Stochastic Processes Appl. 40, No. 2, 181-197 (1992). MSC: 60F05 60G42 PDFBibTeX XMLCite \textit{P. Gaenssler} and \textit{K. Joos}, Stochastic Processes Appl. 40, No. 2, 181--197 (1992; Zbl 0747.60023) Full Text: DOI
Ivanoff, B. G.; Merzbach, E. Set-indexed stochastic processes and predictability. (Russian) Zbl 0754.60047 Teor. Veroyatn. Primen. 37, No. 1, 57-63 (1992). Reviewer: B.G.Ivanoff (Ottawa) MSC: 60G48 PDFBibTeX XMLCite \textit{B. G. Ivanoff} and \textit{E. Merzbach}, Teor. Veroyatn. Primen. 37, No. 1, 57--63 (1992; Zbl 0754.60047)
Harenbrock, Marion; Schmitz, Norbert Optional sampling of submartingales with scanned index sets. (English) Zbl 0759.60050 J. Theor. Probab. 5, No. 2, 309-326 (1992). Reviewer: E.Valkeila (Helsinki) MSC: 60G42 62L15 PDFBibTeX XMLCite \textit{M. Harenbrock} and \textit{N. Schmitz}, J. Theor. Probab. 5, No. 2, 309--326 (1992; Zbl 0759.60050) Full Text: DOI
Jin, Zhiming The optimal stopping problem of a continuous parameter process. (English) Zbl 0759.60049 Appl. Math., J. Chin. Univ. 7, No. 1, 19-31 (1992). MSC: 60G40 PDFBibTeX XMLCite \textit{Z. Jin}, Appl. Math., J. Chin. Univ. 7, No. 1, 19--31 (1992; Zbl 0759.60049)
Bauer, Heinz Probability theory. 4., völlig überarb. u. neugestaltete Aufl. des Werkes: Wahrscheinlichkeitstheorie und Grundzüge der Maßtheorie. (Wahrscheinlichkeitstheorie.) (German) Zbl 0714.60001 De Gruyter Lehrbuch. Berlin etc.: Walter de Gruyter. xvii, 520 S. DM 98.00/hbk; DM 68.00/pbk (1991). Reviewer: Klaus D. Schmidt (Dresden) MSC: 60-01 60-02 PDFBibTeX XMLCite \textit{H. Bauer}, Wahrscheinlichkeitstheorie. 4., völlig überarb. u. neugestaltete Aufl. des Werkes: Wahrscheinlichkeitstheorie und Grundzüge der Maßtheorie. Berlin etc.: Walter de Gruyter (1991; Zbl 0714.60001)
Bouzar, Nadjib Convergence results for strict C-sequences. (English) Zbl 0729.60041 Can. J. Stat. 19, No. 2, 219-227 (1991). MSC: 60G48 60E15 60F15 60G40 PDFBibTeX XMLCite \textit{N. Bouzar}, Can. J. Stat. 19, No. 2, 219--227 (1991; Zbl 0729.60041) Full Text: DOI
Harenbrock, Marion Optional Sampling Theoreme für Submartingale mit partiell geordneten Indexmengen. (Optimal sampling theorems for submartingales with partially ordered index sets). (German) Zbl 0713.60056 Münster: Univ. Münster, FB Mathematik, Diss. 151 S. (1990). Reviewer: M.Dozzi MSC: 60G42 60G48 60G40 PDFBibTeX XMLCite \textit{M. Harenbrock}, Optional Sampling Theoreme für Submartingale mit partiell geordneten Indexmengen. (Optimal sampling theorems for submartingales with partially ordered index sets). Münster: Univ. Münster, FB Mathematik (1990; Zbl 0713.60056)
Mandelbaum, Avi; Shepp, Larry A.; Vanderbei, Robert J. Optimal switching between a pair of Brownian motions. (English) Zbl 0712.60046 Ann. Probab. 18, No. 3, 1010-1033 (1990). Reviewer: K.Szajowski MSC: 60G40 60G07 34F05 PDFBibTeX XMLCite \textit{A. Mandelbaum} et al., Ann. Probab. 18, No. 3, 1010--1033 (1990; Zbl 0712.60046) Full Text: DOI
Taylor, Howard M. Martingales and random walks. (English) Zbl 0709.60044 Stochastic models, Handb. Oper. Res. Manage. Sci. 2, 125-144 (1990). Reviewer: Z.Rychlik MSC: 60G42 60G44 60G48 PDFBibTeX XML
Taylor, Howard M. Martingales and random walks. (English) Zbl 0708.60038 Stochastic models, Handb. Oper. Res. Manage. Sci. 2, 125-144 (1990). Reviewer: H.M.Taylor MSC: 60G42 60G44 60H05 60G55 PDFBibTeX XML
Schmitz, N. [Duscha, G.; Harenbrock, M.; Lübbert, J.] Optimale sequentiell geplante Entscheidungsverfahren. Teil 1: Theorie. (Optimal sequentially planned decision procedures. Part 1: Theory). Unter Mitwirkung von G. Duscha, M. Harenbrock und J. Lübbert. (German) Zbl 0693.62063 Skripten zur Mathematischen Statistik, 18. Münster: Univ. Münster, Institut für Mathematische Statistik. iv, 179 S. (1989). Reviewer: V.Mammitzsch MSC: 62L10 62-02 62L99 62C10 62L15 PDFBibTeX XML
Biswas, Suddhendu; Thomas, Mariamma A martingale approach to the investigation of the duration of a mild epidemic. (English) Zbl 0691.92012 Biom. J. 31, No. 4, 477-486 (1989). MSC: 92D25 60J85 60J80 PDFBibTeX XMLCite \textit{S. Biswas} and \textit{M. Thomas}, Biom. J. 31, No. 4, 477--486 (1989; Zbl 0691.92012) Full Text: DOI
Bui Khoi Dam BMO-sequences and amarts. (English) Zbl 0685.60052 Acta Math. Hung. 53, No. 3-4, 271-279 (1989). Reviewer: T.F.Móri MSC: 60G48 60G42 PDFBibTeX XMLCite \textit{Bui Khoi Dam}, Acta Math. Hung. 53, No. 3--4, 271--279 (1989; Zbl 0685.60052) Full Text: DOI
Dassios, A.; Embrechts, P. Martingales and insurance risk. (English) Zbl 0676.62083 Commun. Stat., Stochastic Models 5, No. 2, 181-217 (1989). Reviewer: S.Asmussen MSC: 62P05 60G44 60J25 PDFBibTeX XMLCite \textit{A. Dassios} and \textit{P. Embrechts}, Commun. Stat., Stochastic Models 5, No. 2, 181--217 (1989; Zbl 0676.62083) Full Text: DOI
Dinculeanu, Nicolae Vector-valued stochastic processes. V: Optional and predictable variation of stochastic measures and stochastic processes. (English) Zbl 0691.60030 Proc. Am. Math. Soc. 104, No. 2, 625-631 (1988). MSC: 60G07 60G40 PDFBibTeX XMLCite \textit{N. Dinculeanu}, Proc. Am. Math. Soc. 104, No. 2, 625--631 (1988; Zbl 0691.60030) Full Text: DOI
Sandell, Dennis A game with three players. (English) Zbl 0664.60049 Stat. Probab. Lett. 7, No. 1, 61-63 (1988). Reviewer: J.P.Lepeltier MSC: 60G40 PDFBibTeX XMLCite \textit{D. Sandell}, Stat. Probab. Lett. 7, No. 1, 61--63 (1988; Zbl 0664.60049) Full Text: DOI
Bertoin, Jean Une extension d’une inégalité de Burkholder, Davis, Gundy pour les processus à \(\alpha\)-variation bornée et applications. (An extension of an inequality of Burkholder, Davis, Gundy for processes of bounded \(\alpha\)-variation and applications). (French) Zbl 0664.60023 Stochastics 24, No. 2, 75-86 (1988). Reviewer: J.Bertoin MSC: 60E15 PDFBibTeX XMLCite \textit{J. Bertoin}, Stochastics 24, No. 2, 75--86 (1988; Zbl 0664.60023) Full Text: DOI
Dalang, Robert C. On stopping points in the plane that lie on a unique optional increasing path. (English) Zbl 0653.60036 Stochastics 24, No. 3, 245-268 (1988). Reviewer: Y.Ohtsubo MSC: 60G40 60G07 34F05 93E99 PDFBibTeX XMLCite \textit{R. C. Dalang}, Stochastics 24, No. 3, 245--268 (1988; Zbl 0653.60036) Full Text: DOI