Wang, Lei; Dong, Ying-hui; Hua, Chun-rong Optimal investment based on relative performance and weighted utility. (English) Zbl 07884886 Appl. Math., Ser. B (Engl. Ed.) 39, No. 2, 328-342 (2024). MSC: 60G44 PDFBibTeX XMLCite \textit{L. Wang} et al., Appl. Math., Ser. B (Engl. Ed.) 39, No. 2, 328--342 (2024; Zbl 07884886) Full Text: DOI
Sester, Julian A multi-marginal c-convex duality theorem for martingale optimal transport. (English) Zbl 07878524 Stat. Probab. Lett. 210, Article ID 110112, 6 p. (2024). MSC: 60G44 49Q22 49Q20 PDFBibTeX XMLCite \textit{J. Sester}, Stat. Probab. Lett. 210, Article ID 110112, 6 p. (2024; Zbl 07878524) Full Text: DOI arXiv
Ding, Yong; Grafakos, Loukas; Zhu, Kai Sharp inequalities for linear combinations of orthogonal martingales. (English) Zbl 07866799 Front. Math. (Beijing) 19, No. 3, 419-433 (2024). MSC: 60G44 42A45 60G46 42A50 42A99 PDFBibTeX XMLCite \textit{Y. Ding} et al., Front. Math. (Beijing) 19, No. 3, 419--433 (2024; Zbl 07866799) Full Text: DOI arXiv
Okazaki, Fumiya Convergence of martingales with jumps on submanifolds of Euclidean spaces and its applications to harmonic maps. (English) Zbl 07865967 J. Theor. Probab. 37, No. 2, 1168-1198 (2024). MSC: 60G44 60J45 PDFBibTeX XMLCite \textit{F. Okazaki}, J. Theor. Probab. 37, No. 2, 1168--1198 (2024; Zbl 07865967) Full Text: DOI arXiv
Lu, J.; Peng, Y. Martingale Orlicz-Hardy spaces for continuous-time. (English) Zbl 07857903 Acta Math. Hung. 172, No. 2, 350-377 (2024). MSC: 60G44 60G46 PDFBibTeX XMLCite \textit{J. Lu} and \textit{Y. Peng}, Acta Math. Hung. 172, No. 2, 350--377 (2024; Zbl 07857903) Full Text: DOI
Borzykh, D. A. Joint distributions of generalized integrable increasing processes and their generalized compensators. (English. Russian original) Zbl 07842542 Theory Probab. Appl. 69, No. 1, 1-24 (2024); translation from Teor. Veroyatn. Primen. 69, No. 1, 3-32 (2024). MSC: 60G44 60E05 PDFBibTeX XMLCite \textit{D. A. Borzykh}, Theory Probab. Appl. 69, No. 1, 1--24 (2024; Zbl 07842542); translation from Teor. Veroyatn. Primen. 69, No. 1, 3--32 (2024) Full Text: DOI
Rémillard, Bruno; Vaillancourt, Jean Central limit theorems for martingales. I: Continuous limits. (English) Zbl 07829925 Electron. J. Probab. 29, Paper No. 47, 18 p. (2024). Reviewer: Ferenc Weisz (Budapest) MSC: 60G44 60F17 PDFBibTeX XMLCite \textit{B. Rémillard} and \textit{J. Vaillancourt}, Electron. J. Probab. 29, Paper No. 47, 18 p. (2024; Zbl 07829925) Full Text: DOI arXiv
Tamura, Yuma On a certain martingale representation and the related Infinite dimensional moment problem. (English) Zbl 1528.60035 Japan J. Ind. Appl. Math. 41, No. 1, 609-615 (2024). MSC: 60G44 44A60 PDFBibTeX XMLCite \textit{Y. Tamura}, Japan J. Ind. Appl. Math. 41, No. 1, 609--615 (2024; Zbl 1528.60035) Full Text: DOI
Melnikov, Vasily A Komlós dichotomy for the Émery topology. arXiv:2408.03476 Preprint, arXiv:2408.03476 [math.PR] (2024). MSC: 60G44 60H05 46A50 BibTeX Cite \textit{V. Melnikov}, ``A Komlós dichotomy for the Émery topology'', Preprint, arXiv:2408.03476 [math.PR] (2024) Full Text: arXiv OA License
Backhoff-Veraguas, Julio; Unterberger, Clara On the specific relative entropy between martingale diffusions on the line. (English) Zbl 1534.60052 Electron. Commun. Probab. 28, Paper No. 37, 12 p. (2023). MSC: 60G44 60H10 60F10 94A17 PDFBibTeX XMLCite \textit{J. Backhoff-Veraguas} and \textit{C. Unterberger}, Electron. Commun. Probab. 28, Paper No. 37, 12 p. (2023; Zbl 1534.60052) Full Text: DOI arXiv
Jeanblanc, Monique Some remarks on enlargement of filtration and finance. (English) Zbl 1525.60052 Morel, Jean-Michel (ed.) et al., Mathematics going forward. Collected mathematical brushstrokes. Cham: Springer. Lect. Notes Math. 2313, 95-114 (2023). MSC: 60G44 60G40 60G07 60H30 91G40 PDFBibTeX XMLCite \textit{M. Jeanblanc}, Lect. Notes Math. 2313, 95--114 (2023; Zbl 1525.60052) Full Text: DOI HAL
Chikvinidze, Besik; Mania, Michael; Tevzadze, Revaz Functional equations for the stochastic exponential. (English) Zbl 1535.60074 Stoch. Dyn. 23, No. 6, Article ID 2350041, 17 p. (2023). MSC: 60G44 60G46 60J65 39B22 PDFBibTeX XMLCite \textit{B. Chikvinidze} et al., Stoch. Dyn. 23, No. 6, Article ID 2350041, 17 p. (2023; Zbl 1535.60074) Full Text: DOI arXiv
Domelevo, Komla; Petermichl, Stefanie Bellman functions and continuous time. (English) Zbl 1523.60078 Koldobsky, Alexander (ed.) et al., Harmonic analysis and convexity. Berlin: De Gruyter. Adv. Anal. Geom. 9, 119-162 (2023). MSC: 60G44 60G46 PDFBibTeX XMLCite \textit{K. Domelevo} and \textit{S. Petermichl}, Adv. Anal. Geom. 9, 119--162 (2023; Zbl 1523.60078) Full Text: DOI
Wollgast, Dennis; Zorin-Kranich, Pavel Weighted Davis inequalities for martingale square functions. (English) Zbl 07722778 J. Theor. Probab. 36, No. 3, 1520-1533 (2023). MSC: 60G44 60G46 60E15 PDFBibTeX XMLCite \textit{D. Wollgast} and \textit{P. Zorin-Kranich}, J. Theor. Probab. 36, No. 3, 1520--1533 (2023; Zbl 07722778) Full Text: DOI arXiv OA License
Neufcourt, Léo; Protter, Philip Expansion of a filtration with a stochastic process: the information drift. (English) Zbl 1515.60121 Numer. Algebra Control Optim. 13, No. 3-4, 714-742 (2023). MSC: 60G44 60G48 60G07 91G80 PDFBibTeX XMLCite \textit{L. Neufcourt} and \textit{P. Protter}, Numer. Algebra Control Optim. 13, No. 3--4, 714--742 (2023; Zbl 1515.60121) Full Text: DOI arXiv
Mania, Michael; Tevzadze, Revaz Martingale transformations of Brownian motion with application to functional equations. (English) Zbl 1524.60085 Stochastics 95, No. 3, 377-395 (2023). MSC: 60G44 60J65 97I70 PDFBibTeX XMLCite \textit{M. Mania} and \textit{R. Tevzadze}, Stochastics 95, No. 3, 377--395 (2023; Zbl 1524.60085) Full Text: DOI arXiv
Köpfer, Benedikt; Rüschendorf, Ludger Markov projection of semimartingales – application to comparison results. (English) Zbl 1539.60048 Stochastic Processes Appl. 162, 361-386 (2023). Reviewer: Alexander Schnurr (Siegen) MSC: 60G44 60E15 60J25 PDFBibTeX XMLCite \textit{B. Köpfer} and \textit{L. Rüschendorf}, Stochastic Processes Appl. 162, 361--386 (2023; Zbl 1539.60048) Full Text: DOI
Makasu, Cloud A note on the stochastic version of the Gronwall lemma. (English) Zbl 1524.60084 Stochastic Anal. Appl. 41, No. 3, 626-629 (2023). Reviewer: Fraser Daly (Edinburgh) MSC: 60G44 60E15 PDFBibTeX XMLCite \textit{C. Makasu}, Stochastic Anal. Appl. 41, No. 3, 626--629 (2023; Zbl 1524.60084) Full Text: DOI Link
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
Yang, Hairuo On the law of terminal value of additive martingales in a remarkable branching stable process. (English) Zbl 1526.60034 Stochastic Processes Appl. 158, 361-376 (2023). Reviewer: Heinrich Hering (Rockenberg) MSC: 60G44 60J80 PDFBibTeX XMLCite \textit{H. Yang}, Stochastic Processes Appl. 158, 361--376 (2023; Zbl 1526.60034) Full Text: DOI arXiv OA License
Çetin, Umut; Larsen, Kasper Uniqueness in Cauchy problems for diffusive real-valued strict local martingales. (English) Zbl 1532.60085 Trans. Am. Math. Soc., Ser. B 10, 381-406 (2023). MSC: 60G44 60J60 PDFBibTeX XMLCite \textit{U. Çetin} and \textit{K. Larsen}, Trans. Am. Math. Soc., Ser. B 10, 381--406 (2023; Zbl 1532.60085) Full Text: DOI arXiv OA License
Zhang, Jichen; Chen, Zengjing A transitivity property of Ocone martingales. (English) Zbl 1514.60051 Stat. Probab. Lett. 193, Article ID 109703, 7 p. (2023). Reviewer: Ferenc Weisz (Budapest) MSC: 60G44 60J65 PDFBibTeX XMLCite \textit{J. Zhang} and \textit{Z. Chen}, Stat. Probab. Lett. 193, Article ID 109703, 7 p. (2023; Zbl 1514.60051) Full Text: DOI
Krühner, Paul; Xu, Shijie A sharp upper bound for the expected occupation density of Itô processes with bounded irregular drift and diffusion coefficients. arXiv:2310.12655 Preprint, arXiv:2310.12655 [math.PR] (2023). MSC: 60G44 BibTeX Cite \textit{P. Krühner} and \textit{S. Xu}, ``A sharp upper bound for the expected occupation density of Itô processes with bounded irregular drift and diffusion coefficients'', Preprint, arXiv:2310.12655 [math.PR] (2023) Full Text: arXiv OA License
Criens, David; Urusov, Mikhail Criteria for the absence of arbitrage in general diffusion markets. arXiv:2306.11470 Preprint, arXiv:2306.11470 [q-fin.MF] (2023). MSC: 60G44 60H10 60J60 91B70 91G15 91G30 BibTeX Cite \textit{D. Criens} and \textit{M. Urusov}, ``Criteria for the absence of arbitrage in general diffusion markets'', Preprint, arXiv:2306.11470 [q-fin.MF] (2023) Full Text: arXiv OA License
Remillard, Bruno N.; Vaillancourt, Jean Central limit theorems for martingales-II: convergence in the weak dual topology. arXiv:2304.04887 Preprint, arXiv:2304.04887 [math.PR] (2023). MSC: 60G44 60F17 BibTeX Cite \textit{B. N. Remillard} and \textit{J. Vaillancourt}, ``Central limit theorems for martingales-II: convergence in the weak dual topology'', Preprint, arXiv:2304.04887 [math.PR] (2023) Full Text: arXiv OA License
Samia, Sakrani Non-extremal martingale with Brownian filtration. (English) Zbl 07801857 Bol. Soc. Parana. Mat. (3) 40, Paper No. 69, 7 p. (2022). MSC: 60G44 60J65 PDFBibTeX XMLCite \textit{S. Samia}, Bol. Soc. Parana. Mat. (3) 40, Paper No. 69, 7 p. (2022; Zbl 07801857) Full Text: DOI OA License
Berkaoui, Abdelkarem On the optional and orthogonal decompositions of a class of semimartingales. (English) Zbl 1511.60066 Port. Math. 79, No. 3-4, 225-240 (2022). MSC: 60G44 60G07 PDFBibTeX XMLCite \textit{A. Berkaoui}, Port. Math. 79, No. 3--4, 225--240 (2022; Zbl 1511.60066) Full Text: DOI
Di Tella, Paolo On the propagation of the weak representation property in independently enlarged filtrations: the general case. (English) Zbl 1515.60118 J. Theor. Probab. 35, No. 4, 2194-2216 (2022). MSC: 60G44 60G57 60H05 60H30 PDFBibTeX XMLCite \textit{P. Di Tella}, J. Theor. Probab. 35, No. 4, 2194--2216 (2022; Zbl 1515.60118) Full Text: DOI arXiv OA License
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 OA License
Haslhofer, Robert; Kopfer, Eva; Naber, Aaron Differential Harnack inequalities on path space. (English) Zbl 1501.60028 Adv. Math. 410, Part A, Article ID 108714, 47 p. (2022). MSC: 60G44 53B20 58J35 PDFBibTeX XMLCite \textit{R. Haslhofer} et al., Adv. Math. 410, Part A, Article ID 108714, 47 p. (2022; Zbl 1501.60028) Full Text: DOI arXiv
Hernández-Hernández, Ma. Elena; Jacka, Saul D. A generalisation of the Burkholder-Davis-Gundy inequalities. (English) Zbl 1515.60119 Electron. Commun. Probab. 27, Paper No. 50, 8 p. (2022). MSC: 60G44 60G48 60E15 PDFBibTeX XMLCite \textit{Ma. E. Hernández-Hernández} and \textit{S. D. Jacka}, Electron. Commun. Probab. 27, Paper No. 50, 8 p. (2022; Zbl 1515.60119) Full Text: DOI arXiv
Föllmer, Hans Doob decomposition, Dirichlet processes, and entropies on Wiener space. (English) Zbl 1497.60065 Chen, Zhen-Qing (ed.) et al., Dirichlet forms and related topics, in honor of Masatoshi Fukushima’s beiju, IWDFRT 2022, Osaka, Japan, August 22–26,2022. Singapore: Springer. Springer Proc. Math. Stat. 394, 119-141 (2022). MSC: 60G44 60G48 60J65 60F10 46G12 PDFBibTeX XMLCite \textit{H. Föllmer}, Springer Proc. Math. Stat. 394, 119--141 (2022; Zbl 1497.60065) Full Text: DOI HAL
Gilat, David; Meilijson, Isaac; Sacerdote, Laura A note on the maximal expected local time of \(\mathrm{L}_2\)-bounded martingales. (English) Zbl 1507.60054 J. Theor. Probab. 35, No. 3, 1952-1955 (2022). MSC: 60G44 60G40 PDFBibTeX XMLCite \textit{D. Gilat} et al., J. Theor. Probab. 35, No. 3, 1952--1955 (2022; Zbl 1507.60054) Full Text: DOI
Borzykh, Dmitriy; Gushchin, Alexander On the denseness of the subset of discrete distributions in a certain set of two-dimensional distributions. (English) Zbl 1504.60068 Mod. Stoch., Theory Appl. 9, No. 3, 265-277 (2022). MSC: 60G44 60G40 62G32 PDFBibTeX XMLCite \textit{D. Borzykh} and \textit{A. Gushchin}, Mod. Stoch., Theory Appl. 9, No. 3, 265--277 (2022; Zbl 1504.60068) Full Text: DOI
Chikvinidze, B. The mixed Novikov-Kazamaki type condition for the uniform integrability of the general stochastic exponential. (English) Zbl 1492.60112 Stochastics 94, No. 5, 710-722 (2022). MSC: 60G44 60H05 PDFBibTeX XMLCite \textit{B. Chikvinidze}, Stochastics 94, No. 5, 710--722 (2022; Zbl 1492.60112) Full Text: DOI
Dandapani, Aditi; Protter, Philip Strict local martingales and the Khasminskii test for explosions. (English) Zbl 1494.60046 Stochastic Processes Appl. 150, 716-728 (2022). MSC: 60G44 60H10 PDFBibTeX XMLCite \textit{A. Dandapani} and \textit{P. Protter}, Stochastic Processes Appl. 150, 716--728 (2022; Zbl 1494.60046) Full Text: DOI arXiv
Kella, Offer Martingales associated with functions of Markov and finite variation processes. (English) Zbl 1489.60070 Queueing Syst. 100, No. 3-4, 205-207 (2022). MSC: 60G44 60J25 PDFBibTeX XMLCite \textit{O. Kella}, Queueing Syst. 100, No. 3--4, 205--207 (2022; Zbl 1489.60070) Full Text: DOI
Friz, Peter K.; Gatheral, Jim; Radoičić, Radoš Forests, cumulants, martingales. (English) Zbl 1534.60053 Ann. Probab. 50, No. 4, 1418-1445 (2022). Reviewer: Antonis Papapantoleon (Delft) MSC: 60G44 60H99 60L70 PDFBibTeX XMLCite \textit{P. K. Friz} et al., Ann. Probab. 50, No. 4, 1418--1445 (2022; Zbl 1534.60053) Full Text: DOI arXiv
Mania, M.; Tikanadze, L. Functional equations and martingales. (English) Zbl 1494.60047 Aequationes Math. 96, No. 1, 221-241 (2022). Reviewer: Christos E. Kountzakis (Karlovassi) MSC: 60G44 60J65 PDFBibTeX XMLCite \textit{M. Mania} and \textit{L. Tikanadze}, Aequationes Math. 96, No. 1, 221--241 (2022; Zbl 1494.60047) Full Text: DOI arXiv
Chikvinidze, B. Necessary and sufficient conditions for the uniform integrability of the stochastic exponential. (English) Zbl 1498.60163 J. Theor. Probab. 35, No. 1, 282-294 (2022). MSC: 60G44 PDFBibTeX XMLCite \textit{B. Chikvinidze}, J. Theor. Probab. 35, No. 1, 282--294 (2022; Zbl 1498.60163) Full Text: DOI arXiv
Boubel, Charles; Juillet, Nicolas The Markov-quantile process attached to a family of marginals. (Le processus Markov-quantile attaché à une famille de marges.) (English. French summary) Zbl 1494.60045 J. Éc. Polytech., Math. 9, 1-62 (2022). Reviewer: Ismael Bailleul (Rennes) MSC: 60G44 60A10 28A33 60J25 35Q35 49J55 PDFBibTeX XMLCite \textit{C. Boubel} and \textit{N. Juillet}, J. Éc. Polytech., Math. 9, 1--62 (2022; Zbl 1494.60045) Full Text: DOI arXiv OA License
Pammer, Gudmund; Robinson, Benjamin A.; Schachermayer, Walter A regularized Kellerer theorem in arbitrary dimension. arXiv:2210.13847 Preprint, arXiv:2210.13847 [math.PR] (2022). MSC: 60G44 60J60 60H10 60J25 60F99 BibTeX Cite \textit{G. Pammer} et al., ``A regularized Kellerer theorem in arbitrary dimension'', Preprint, arXiv:2210.13847 [math.PR] (2022) Full Text: arXiv OA License
Itkin, David; Koch, Benedikt; Larsson, Martin; Teichmann, Josef Ergodic robust maximization of asymptotic growth under stochastic volatility. arXiv:2211.15628 Preprint, arXiv:2211.15628 [q-fin.MF] (2022). MSC: 60G44 60J60 91G10 60J46 BibTeX Cite \textit{D. Itkin} et al., ``Ergodic robust maximization of asymptotic growth under stochastic volatility'', Preprint, arXiv:2211.15628 [q-fin.MF] (2022) Full Text: arXiv OA License
Bañuelos, Rodrigo; Kim, Daesung; Kwaśnicki, Mateusz Sharp \(\ell^p\) inequalities for discrete singular integrals on the lattice \(\mathbb{Z}^d\). arXiv:2209.09737 Preprint, arXiv:2209.09737 [math.PR] (2022). MSC: 60G44 42A50 42B20 60J70 39A12 BibTeX Cite \textit{R. Bañuelos} et al., ``Sharp $\ell^p$ inequalities for discrete singular integrals on the lattice $\mathbb{Z}^d$'', Preprint, arXiv:2209.09737 [math.PR] (2022) Full Text: arXiv OA License
Valjarević, Dragana; Petrović, Ljiljana Statistical causality and purely discontinuous local martingales. (English) Zbl 1496.60039 Stochastics 93, No. 7, 1043-1051 (2021). MSC: 60G44 60G51 62P20 60H07 PDFBibTeX XMLCite \textit{D. Valjarević} and \textit{L. Petrović}, Stochastics 93, No. 7, 1043--1051 (2021; Zbl 1496.60039) Full Text: DOI
Sakrani, Samia Representation of martingales under signed measures and the study of the classes \(\sum_s\) and \(\sum'_s\). (English) Zbl 1490.60101 Stochastics 93, No. 2, 196-210 (2021). MSC: 60G44 60J65 PDFBibTeX XMLCite \textit{S. Sakrani}, Stochastics 93, No. 2, 196--210 (2021; Zbl 1490.60101) Full Text: DOI
Gapeev, Pavel V.; Jeanblanc, Monique; Wu, Dongli Projections of martingales in enlargements of Brownian filtrations under Jacod’s equivalence hypothesis. (English) Zbl 1497.60066 Electron. J. Probab. 26, Paper No. 136, 24 p. (2021). Reviewer: Christos E. Kountzakis (Karlovassi) MSC: 60G44 60J65 60G40 60G35 60H10 91G40 PDFBibTeX XMLCite \textit{P. V. Gapeev} et al., Electron. J. Probab. 26, Paper No. 136, 24 p. (2021; Zbl 1497.60066) Full Text: DOI
Geiss, Sarah; Scheutzow, Michael Sharpness of Lenglart’s domination inequality and a sharp monotone version. (English) Zbl 1498.60164 Electron. Commun. Probab. 26, Paper No. 44, 8 p. (2021). Reviewer: Claudio Fontana (Paris) MSC: 60G44 60G40 60G42 60J65 PDFBibTeX XMLCite \textit{S. Geiss} and \textit{M. Scheutzow}, Electron. Commun. Probab. 26, Paper No. 44, 8 p. (2021; Zbl 1498.60164) Full Text: DOI arXiv
Huang, Yichao Another probabilistic construction of \(\Phi_2^{2n}\). (English) Zbl 1493.60073 Electron. Commun. Probab. 26, Paper No. 19, 13 p. (2021). MSC: 60G44 81T08 PDFBibTeX XMLCite \textit{Y. Huang}, Electron. Commun. Probab. 26, Paper No. 19, 13 p. (2021; Zbl 1493.60073) Full Text: DOI arXiv
Fukasawa, Masaaki; Matsushita, Kazuki Realized cumulants for martingales. (English) Zbl 1485.60047 Electron. Commun. Probab. 26, Paper No. 12, 10 p. (2021). Reviewer: Christos E. Kountzakis (Karlovassi) MSC: 60G44 PDFBibTeX XMLCite \textit{M. Fukasawa} and \textit{K. Matsushita}, Electron. Commun. Probab. 26, Paper No. 12, 10 p. (2021; Zbl 1485.60047) Full Text: DOI arXiv
Kühn, F.; Schilling, R. L. For which functions are \(f(X_t)-\mathbb{E} f(X_t)\) and \(g(X_t)/\mathbb{E} g(X_t)\) martingales? (English) Zbl 1490.60100 Theory Probab. Math. Stat. 105, 79-91 (2021). Reviewer: Pavel Gapeev (London) MSC: 60G44 60G51 60J65 39B22 45E10 PDFBibTeX XMLCite \textit{F. Kühn} and \textit{R. L. Schilling}, Theory Probab. Math. Stat. 105, 79--91 (2021; Zbl 1490.60100) Full Text: DOI arXiv
Ellanskaya, Anastasiya; Kabanov, Yuri On ruin probabilities with risky investments in a stock with stochastic volatility. (English) Zbl 1493.60072 Extremes 24, No. 4, 687-697 (2021). MSC: 60G44 91G05 PDFBibTeX XMLCite \textit{A. Ellanskaya} and \textit{Y. Kabanov}, Extremes 24, No. 4, 687--697 (2021; Zbl 1493.60072) Full Text: DOI arXiv
Gushchin, Alexander A.; Zhunussova, Assylliya K. Single jump filtrations: preservation of the local martingale property with respect to the filtration generated by the local martingale. (English) Zbl 1483.60064 Karapetyants, Alexey N. (ed.) et al., Operator theory and harmonic analysis. OTHA 2020, Part II – probability-analytical models, methods and applications. Based on the international conference on modern methods, problems and applications of operator theory and harmonic analysis. Cham: Springer. Springer Proc. Math. Stat. 358, 219-231 (2021). MSC: 60G44 PDFBibTeX XMLCite \textit{A. A. Gushchin} and \textit{A. K. Zhunussova}, Springer Proc. Math. Stat. 358, 219--231 (2021; Zbl 1483.60064) Full Text: DOI
Yaroslavtsev, Ivan S. On strongly orthogonal martingales in UMD Banach spaces. (English) Zbl 1495.60032 Probab. Math. Stat. 41, No. 1, 153-171 (2021). MSC: 60G44 60H05 60G46 42B15 PDFBibTeX XMLCite \textit{I. S. Yaroslavtsev}, Probab. Math. Stat. 41, No. 1, 153--171 (2021; Zbl 1495.60032) Full Text: DOI arXiv
Brzozowski, Michał; Osękowski, Adam Weighted maximal inequalities for martingale transforms. (English) Zbl 1495.60031 Probab. Math. Stat. 41, No. 1, 89-114 (2021). MSC: 60G44 60G42 PDFBibTeX XMLCite \textit{M. Brzozowski} and \textit{A. Osękowski}, Probab. Math. Stat. 41, No. 1, 89--114 (2021; Zbl 1495.60031) Full Text: DOI
Eyi Obiang, Fulgence Resolution of the skew Brownian motion equations with stochastic calculus for signed measures. (English) Zbl 1482.60059 Stochastic Anal. Appl. 39, No. 5, 775-803 (2021). MSC: 60G44 60J65 60H10 60J55 PDFBibTeX XMLCite \textit{F. Eyi Obiang}, Stochastic Anal. Appl. 39, No. 5, 775--803 (2021; Zbl 1482.60059) Full Text: DOI arXiv
Osękowski, Adam An extension of Pratelli’s inequality. (English) Zbl 1474.60118 Stat. Probab. Lett. 177, Article ID 109175, 6 p. (2021). MSC: 60G44 60G42 PDFBibTeX XMLCite \textit{A. Osękowski}, Stat. Probab. Lett. 177, Article ID 109175, 6 p. (2021; Zbl 1474.60118) Full Text: DOI OA License
Valjarević, Dragana; Merkle, Ana Statistical causality and measurable separability of \(\sigma \)-algebras. (English) Zbl 1474.60119 Stat. Probab. Lett. 177, Article ID 109166, 6 p. (2021). MSC: 60G44 60H10 62P20 93E03 PDFBibTeX XMLCite \textit{D. Valjarević} and \textit{A. Merkle}, Stat. Probab. Lett. 177, Article ID 109166, 6 p. (2021; Zbl 1474.60119) Full Text: DOI
Kamiński, Łukasz; Osękowski, Adam Sharp Lorentz-norm estimates for BMO martingales. (English) Zbl 1474.60117 Stat. Probab. Lett. 173, Article ID 109068, 7 p. (2021). MSC: 60G44 46E30 PDFBibTeX XMLCite \textit{Ł. Kamiński} and \textit{A. Osękowski}, Stat. Probab. Lett. 173, Article ID 109068, 7 p. (2021; Zbl 1474.60117) Full Text: DOI
Mania, M.; Tevzadze, R. On martingale transformations of multidimensional Brownian motion. (English) Zbl 1482.60060 Stat. Probab. Lett. 175, Article ID 109119, 7 p. (2021). MSC: 60G44 60J65 PDFBibTeX XMLCite \textit{M. Mania} and \textit{R. Tevzadze}, Stat. Probab. Lett. 175, Article ID 109119, 7 p. (2021; Zbl 1482.60060) Full Text: DOI arXiv
Bielecki, Tomasz R.; Jakubowski, Jacek; Jeanblanc, Monique; Niewęgłowski, Mariusz Semimartingales and shrinkage of filtration. (English) Zbl 1479.60084 Ann. Appl. Probab. 31, No. 3, 1376-1402 (2021). MSC: 60G44 91G40 PDFBibTeX XMLCite \textit{T. R. Bielecki} et al., Ann. Appl. Probab. 31, No. 3, 1376--1402 (2021; Zbl 1479.60084) Full Text: DOI arXiv Link
Ankirchner, Stefan; Blanchet-Scalliet, Christophette; Kazi-Tani, Nabil; Zhou, Chao Gambling for resurrection and the heat equation on a triangle. (English) Zbl 1489.60069 Appl. Math. Optim. 84, No. 3, 3111-3136 (2021). MSC: 60G44 49L20 35C10 PDFBibTeX XMLCite \textit{S. Ankirchner} et al., Appl. Math. Optim. 84, No. 3, 3111--3136 (2021; Zbl 1489.60069) Full Text: DOI HAL
Osękowski, Adam Sharp Lorentz-norm estimates for differentially subordinate martingales and applications. (English) Zbl 1493.60074 Trans. Am. Math. Soc. 374, No. 10, 7235-7262 (2021). MSC: 60G44 60G42 46E30 PDFBibTeX XMLCite \textit{A. Osękowski}, Trans. Am. Math. Soc. 374, No. 10, 7235--7262 (2021; Zbl 1493.60074) Full Text: DOI
Valjarević, D.; Petrović, Lj. Causality between stopped filtrations and some applications. (English) Zbl 1469.60130 J. Contemp. Math. Anal., Armen. Acad. Sci. 56, No. 3, 134-142 (2021) and Izv. Nats. Akad. Nauk Armen., Mat. 56, No. 3, 79-91 (2021). MSC: 60G44 60H07 60H10 62P20 PDFBibTeX XMLCite \textit{D. Valjarević} and \textit{Lj. Petrović}, J. Contemp. Math. Anal., Armen. Acad. Sci. 56, No. 3, 134--142 (2021; Zbl 1469.60130) Full Text: DOI
Osękowski, Adam; Zuo, Yahui Sharp maximal \(L^p\)-bounds for continuous martingales and their differential subordinates. (English) Zbl 1480.60105 Electron. J. Probab. 26, Paper No. 21, 22 p. (2021). MSC: 60G44 60H05 PDFBibTeX XMLCite \textit{A. Osękowski} and \textit{Y. Zuo}, Electron. J. Probab. 26, Paper No. 21, 22 p. (2021; Zbl 1480.60105) Full Text: DOI
Huang, Xing; Wang, Feng-Yu Derivative estimates on distributions of McKean-Vlasov SDEs. (English) Zbl 1491.60057 Electron. J. Probab. 26, Paper No. 15, 12 p. (2021). MSC: 60G44 60H10 PDFBibTeX XMLCite \textit{X. Huang} and \textit{F.-Y. Wang}, Electron. J. Probab. 26, Paper No. 15, 12 p. (2021; Zbl 1491.60057) Full Text: DOI arXiv
Brzozowski, Michał Weighted exponential inequality for differentially subordinate martingales. (English) Zbl 1482.60058 Arch. Math. 116, No. 6, 707-720 (2021). MSC: 60G44 42B20 60G46 PDFBibTeX XMLCite \textit{M. Brzozowski}, Arch. Math. 116, No. 6, 707--720 (2021; Zbl 1482.60058) Full Text: DOI OA License
Samia, Sakrani Time-changed local martingales under signed measures. (English) Zbl 1481.60085 J. Theor. Probab. 34, No. 2, 644-659 (2021). MSC: 60G44 60J65 PDFBibTeX XMLCite \textit{S. Samia}, J. Theor. Probab. 34, No. 2, 644--659 (2021; Zbl 1481.60085) Full Text: DOI
Mania, Michael A probabilistic method of solving Lobachevsky’s functional equation. (English) Zbl 1470.60119 Aequationes Math. 95, No. 2, 237-243 (2021). MSC: 60G44 60J65 PDFBibTeX XMLCite \textit{M. Mania}, Aequationes Math. 95, No. 2, 237--243 (2021; Zbl 1470.60119) Full Text: DOI
Kabanov, Yu. M. On sets of laws of continuous martingales. (English. Russian original) Zbl 1469.60129 Theory Probab. Appl. 65, No. 4, 652-655 (2021); translation from Teor. Veroyatn. Primen. 65, No. 4, 823-828 (2020). MSC: 60G44 60H05 PDFBibTeX XMLCite \textit{Yu. M. Kabanov}, Theory Probab. Appl. 65, No. 4, 652--655 (2021; Zbl 1469.60129); translation from Teor. Veroyatn. Primen. 65, No. 4, 823--828 (2020) Full Text: DOI
Gushchin, A. A. The joint law of a max-continuous local submartingale and its maximum. (English. Russian original) Zbl 1469.60128 Theory Probab. Appl. 65, No. 4, 545-557 (2021); translation from Teor. Veroyatn. Primen. 65, No. 4, 693-709 (2020). MSC: 60G44 60G70 PDFBibTeX XMLCite \textit{A. A. Gushchin}, Theory Probab. Appl. 65, No. 4, 545--557 (2021; Zbl 1469.60128); translation from Teor. Veroyatn. Primen. 65, No. 4, 693--709 (2020) Full Text: DOI
Ghafari, Joe A proof of the continuous martingale convergence theorem. arXiv:2107.00006 Preprint, arXiv:2107.00006 [math.PR] (2021). MSC: 60G44 BibTeX Cite \textit{J. Ghafari}, ``A proof of the continuous martingale convergence theorem'', Preprint, arXiv:2107.00006 [math.PR] (2021) Full Text: arXiv OA License
Tikanadze, Luka On Jensen’s functional equation. (English) Zbl 1513.60048 Rep. Enlarged Sess. Semin. I. Vekua Inst. Appl. Math. 34, 85-87 (2020). MSC: 60G44 60J65 PDFBibTeX XMLCite \textit{L. Tikanadze}, Rep. Enlarged Sess. Semin. I. Vekua Inst. Appl. Math. 34, 85--87 (2020; Zbl 1513.60048) Full Text: Link
Mania, Michael; Tevzadze, Revaz On martingale transformations of the linear Brownian motion. (English) Zbl 1513.60047 Rep. Enlarged Sess. Semin. I. Vekua Inst. Appl. Math. 34, 58-61 (2020). MSC: 60G44 60J65 PDFBibTeX XMLCite \textit{M. Mania} and \textit{R. Tevzadze}, Rep. Enlarged Sess. Semin. I. Vekua Inst. Appl. Math. 34, 58--61 (2020; Zbl 1513.60047) Full Text: Link
Valjarević, Dragana; Petrović, Ljiljana Statistical causality and separable processes. (English) Zbl 1460.60032 Stat. Probab. Lett. 167, Article ID 108915, 6 p. (2020). MSC: 60G44 60H10 62P20 60H07 PDFBibTeX XMLCite \textit{D. Valjarević} and \textit{L. Petrović}, Stat. Probab. Lett. 167, Article ID 108915, 6 p. (2020; Zbl 1460.60032) Full Text: DOI
Blanchet-Scalliet, Christophette; Jeanblanc, Monique Enlargement of filtration in discrete time. (English) Zbl 1453.60097 Jiao, Ying (ed.), From probability to finance. Lecture notes of BICMR summer school on financial mathematics, Beijing International Center for Mathematical Research, Beijing, China, May 29 – June 9, 2017. Singapore: Springer. Math. Lect. Peking Univ., 71-144 (2020). MSC: 60G44 60G40 60G42 PDFBibTeX XMLCite \textit{C. Blanchet-Scalliet} and \textit{M. Jeanblanc}, in: From probability to finance. Lecture notes of BICMR summer school on financial mathematics, Beijing International Center for Mathematical Research, Beijing, China, May 29 -- June 9, 2017. Singapore: Springer. 71--144 (2020; Zbl 1453.60097) Full Text: DOI HAL
Kardaras, Constantinos; Ruf, Johannes Filtration shrinkage, the structure of deflators, and failure of market completeness. (English) Zbl 1456.60099 Finance Stoch. 24, No. 4, 871-901 (2020). MSC: 60G44 60H10 91G20 PDFBibTeX XMLCite \textit{C. Kardaras} and \textit{J. Ruf}, Finance Stoch. 24, No. 4, 871--901 (2020; Zbl 1456.60099) Full Text: DOI arXiv OA License
Kiiski, Matti The Riesz representation theorem and weak\(^\ast\) compactness of semimartingales. (English) Zbl 1453.60098 Finance Stoch. 24, No. 4, 827-870 (2020). MSC: 60G44 28C05 54D30 60B05 60G05 PDFBibTeX XMLCite \textit{M. Kiiski}, Finance Stoch. 24, No. 4, 827--870 (2020; Zbl 1453.60098) Full Text: DOI arXiv OA License
Gushchin, Alexander A. Single jump filtrations and local martingales. (English) Zbl 1472.60076 Mod. Stoch., Theory Appl. 7, No. 2, 135-156 (2020). MSC: 60G44 60G07 PDFBibTeX XMLCite \textit{A. A. Gushchin}, Mod. Stoch., Theory Appl. 7, No. 2, 135--156 (2020; Zbl 1472.60076) Full Text: DOI arXiv
Yaroslavtsev, Ivan S. Local characteristics and tangency of vector-valued martingales. (English) Zbl 1459.60091 Probab. Surv. 17, 545-676 (2020). MSC: 60G44 60B11 60G51 60H05 46G12 28A50 PDFBibTeX XMLCite \textit{I. S. Yaroslavtsev}, Probab. Surv. 17, 545--676 (2020; Zbl 1459.60091) Full Text: DOI arXiv Euclid
Wu, Songqi; Ma, Xiaohui; Sang, Hailin; Fan, Xiequan A Berry-Esseen bound of order \(\frac{1}{\sqrt{n}}\) for martingales. (Une borne de Berry-Esseen d’ordre \(\frac{1}{\sqrt{n}}\) pour les martingales.) (English. French summary) Zbl 1471.60060 C. R., Math., Acad. Sci. Paris 358, No. 6, 701-712 (2020). MSC: 60G44 60F05 PDFBibTeX XMLCite \textit{S. Wu} et al., C. R., Math., Acad. Sci. Paris 358, No. 6, 701--712 (2020; Zbl 1471.60060) Full Text: DOI OA License
Osękowski, Adam On the best constant in the martingale version of Fefferman’s inequality. (English) Zbl 1464.60039 Bernoulli 26, No. 3, 1912-1926 (2020). MSC: 60G44 42B35 60E15 PDFBibTeX XMLCite \textit{A. Osękowski}, Bernoulli 26, No. 3, 1912--1926 (2020; Zbl 1464.60039) Full Text: DOI Euclid
Dandapani, Aditi; Protter, Philip Strict local martingales via filtration enlargement. (English) Zbl 1462.60053 Int. J. Theor. Appl. Finance 23, No. 1, Article ID 2050001, 28 p. (2020). MSC: 60G44 91B70 PDFBibTeX XMLCite \textit{A. Dandapani} and \textit{P. Protter}, Int. J. Theor. Appl. Finance 23, No. 1, Article ID 2050001, 28 p. (2020; Zbl 1462.60053) Full Text: DOI arXiv
di Tella, Paolo On the weak representation property in progressively enlarged filtrations with an application in exponential utility maximization. (English) Zbl 1471.60059 Stochastic Processes Appl. 130, No. 2, 760-784 (2020). MSC: 60G44 60G40 60G57 PDFBibTeX XMLCite \textit{P. di Tella}, Stochastic Processes Appl. 130, No. 2, 760--784 (2020; Zbl 1471.60059) Full Text: DOI arXiv
Hess, Markus Enlarged filtrations and indistinguishable processes. (English) Zbl 1427.60074 Stochastic Anal. Appl. 38, No. 1, 179-189 (2020). MSC: 60G44 60G51 60H10 91G20 60G57 91B44 91G70 91G10 93E20 PDFBibTeX XMLCite \textit{M. Hess}, Stochastic Anal. Appl. 38, No. 1, 179--189 (2020; Zbl 1427.60074) Full Text: DOI
Gilat, David; Meilijson, Isaac; Sacerdote, Laura A sharp bound on the expected local time of a continuous \({\cal L}_2\)-bounded Martingale. arXiv:2002.06978 Preprint, arXiv:2002.06978 [math.PR] (2020). MSC: 60G44 60G40 BibTeX Cite \textit{D. Gilat} et al., ``A sharp bound on the expected local time of a continuous ${\cal L}_2$-bounded Martingale'', Preprint, arXiv:2002.06978 [math.PR] (2020) Full Text: arXiv OA License
Lepinette, Emmanuel A short introduction to arbitrage theory and pricing in mathematical finance for discrete-time markets with or without frictions. (English) Zbl 1497.60067 Grad. J. Math. 4, No. 1, 30-41 (2019). MSC: 60G44 91B24 91G10 PDFBibTeX XMLCite \textit{E. Lepinette}, Grad. J. Math. 4, No. 1, 30--41 (2019; Zbl 1497.60067) Full Text: Link
Krylov, N. V. A few comments on a result of A. Novikov and Girsanov’s theorem. (English) Zbl 1492.60113 Stochastics 91, No. 8, 1186-1189 (2019). MSC: 60G44 60H10 PDFBibTeX XMLCite \textit{N. V. Krylov}, Stochastics 91, No. 8, 1186--1189 (2019; Zbl 1492.60113) Full Text: DOI arXiv
Rainer, Catherine Azéma’s martingale. (La martingale d’Azéma.) (French) Zbl 1452.60026 Donati-Martin, Catherine (ed.) et al., Séminaire de probabilités L. Cham: Springer. Lect. Notes Math. 2252, 23-29 (2019). MSC: 60G44 PDFBibTeX XMLCite \textit{C. Rainer}, Lect. Notes Math. 2252, 23--29 (2019; Zbl 1452.60026) Full Text: DOI
Veraar, Mark; Yaroslavtsev, Ivan Pointwise properties of martingales with values in Banach function spaces. (English) Zbl 1443.60043 Gozlan, Nathael (ed.) et al., High dimensional probability VIII. The Oaxaca volume. Selected papers based on the presentations at the 8th conference on high-dimensional probability, HDP VIII, Casa Matemática Oaxaca (CMO), Mexico, May 28 – June 2, 2017. Cham: Birkhäuser. Prog. Probab. 74, 321-340 (2019). MSC: 60G44 60B11 60H05 60G48 PDFBibTeX XMLCite \textit{M. Veraar} and \textit{I. Yaroslavtsev}, Prog. Probab. 74, 321--340 (2019; Zbl 1443.60043) Full Text: DOI arXiv
Li, L. A remark on John-Nirenberg theorem for martingales. (English) Zbl 1458.60049 Ukr. Math. J. 70, No. 11, 1812-1820 (2019) and Ukr. Mat. Zh. 70, No. 11, 1571-1577 (2018). MSC: 60G44 PDFBibTeX XMLCite \textit{L. Li}, Ukr. Math. J. 70, No. 11, 1812--1820 (2019; Zbl 1458.60049) Full Text: DOI
Dirksen, Sjoerd; Yaroslavtsev, Ivan \(L^q\)-valued Burkholder-Rosenthal inequalities and sharp estimates for stochastic integrals. (English) Zbl 1452.60025 Proc. Lond. Math. Soc. (3) 119, No. 6, 1633-1693 (2019). Reviewer: Frank Oertel (Rosenheim) MSC: 60G44 60H05 60G42 PDFBibTeX XMLCite \textit{S. Dirksen} and \textit{I. Yaroslavtsev}, Proc. Lond. Math. Soc. (3) 119, No. 6, 1633--1693 (2019; Zbl 1452.60025) Full Text: DOI arXiv
Herrmann, Sebastian; Stebegg, Florian Robust pricing and hedging around the globe. (English) Zbl 1435.60031 Ann. Appl. Probab. 29, No. 6, 3348-3386 (2019). MSC: 60G44 49N05 91G20 PDFBibTeX XMLCite \textit{S. Herrmann} and \textit{F. Stebegg}, Ann. Appl. Probab. 29, No. 6, 3348--3386 (2019; Zbl 1435.60031) Full Text: DOI arXiv Euclid
Profeta, Christophe; Vrins, Frédéric Piecewise constant martingales and lazy clocks. (English) Zbl 1444.60035 Probab. Uncertain. Quant. Risk 4, Paper No. 2, 27 p. (2019). MSC: 60G44 60J60 60G42 60G48 60J65 PDFBibTeX XMLCite \textit{C. Profeta} and \textit{F. Vrins}, Probab. Uncertain. Quant. Risk 4, Paper No. 2, 27 p. (2019; Zbl 1444.60035) Full Text: DOI arXiv OA License
Yaroslavtsev, Ivan S. On the martingale decompositions of Gundy, Meyer, and Yoeurp in infinite dimensions. (English. French summary) Zbl 1456.60100 Ann. Inst. Henri Poincaré, Probab. Stat. 55, No. 4, 1988-2018 (2019). Reviewer: Ferenc Weisz (Budapest) MSC: 60G44 60G07 60G57 60H99 46N30 PDFBibTeX XMLCite \textit{I. S. Yaroslavtsev}, Ann. Inst. Henri Poincaré, Probab. Stat. 55, No. 4, 1988--2018 (2019; Zbl 1456.60100) Full Text: DOI arXiv Euclid
Kazanchyan, Drastamat C.; Kruglov, Victor M. Uniform integrability of exponential processes. (English) Zbl 1439.60042 Lobachevskii J. Math. 40, No. 10, 1498-1506 (2019). MSC: 60G44 60J60 60H05 PDFBibTeX XMLCite \textit{D. C. Kazanchyan} and \textit{V. M. Kruglov}, Lobachevskii J. Math. 40, No. 10, 1498--1506 (2019; Zbl 1439.60042) Full Text: DOI
Simard, Clarence Martingale decomposition of an \(L^2\) space with nonlinear stochastic integrals. (English) Zbl 1427.60075 J. Appl. Probab. 56, No. 4, 1231-1243 (2019). MSC: 60G44 60H05 60G48 PDFBibTeX XMLCite \textit{C. Simard}, J. Appl. Probab. 56, No. 4, 1231--1243 (2019; Zbl 1427.60075) Full Text: DOI arXiv
Kramkov, Dmitry; Pulido, Sergio Density of the set of probability measures with the martingale representation property. (English) Zbl 1451.60044 Ann. Probab. 47, No. 4, 2563-2581 (2019). Reviewer: Ferenc Weisz (Budapest) MSC: 60G44 60H05 91G20 PDFBibTeX XMLCite \textit{D. Kramkov} and \textit{S. Pulido}, Ann. Probab. 47, No. 4, 2563--2581 (2019; Zbl 1451.60044) Full Text: DOI arXiv Euclid
Huesmann, Martin; Trevisan, Dario A Benamou-Brenier formulation of martingale optimal transport. (English) Zbl 1428.62526 Bernoulli 25, No. 4A, 2729-2757 (2019). MSC: 60G44 49Q22 82C31 PDFBibTeX XMLCite \textit{M. Huesmann} and \textit{D. Trevisan}, Bernoulli 25, No. 4A, 2729--2757 (2019; Zbl 1428.62526) Full Text: DOI arXiv Euclid
Brzozowski, Michał; Osękowski, Adam Sharp weighted weak type \((\infty, \infty)\) inequality for differentially subordinate martingales. (English) Zbl 1422.60069 Stat. Probab. Lett. 155, Article ID 108561, 9 p. (2019). MSC: 60G44 PDFBibTeX XMLCite \textit{M. Brzozowski} and \textit{A. Osękowski}, Stat. Probab. Lett. 155, Article ID 108561, 9 p. (2019; Zbl 1422.60069) Full Text: DOI