Backhoff-Veraguas, Julio; Beiglböck, Mathias The most exciting game. (English) Zbl 07905723 Electron. Commun. Probab. 29, Paper No. 6, 12 p. (2024). MSC: 91A12 60G44 60H10 60J60 PDFBibTeX XMLCite \textit{J. Backhoff-Veraguas} and \textit{M. Beiglböck}, Electron. Commun. Probab. 29, Paper No. 6, 12 p. (2024; Zbl 07905723) Full Text: DOI arXiv Link OA License
Akboudj, Meryem; Jiao, Yong; Osękowski, Adam Non-symmetric differentially subordinate martingales and sharp weak-type bounds for Fourier multipliers. (English) Zbl 07903796 Sci. China, Math. 67, No. 8, 1807-1826 (2024). MSC: 46B09 42B15 60G44 PDFBibTeX XMLCite \textit{M. Akboudj} et al., Sci. China, Math. 67, No. 8, 1807--1826 (2024; Zbl 07903796) Full Text: DOI
Itkin, David; Larsson, Martin Open markets and hybrid Jacobi processes. (English) Zbl 07900402 Ann. Appl. Probab. 34, No. 3, 2940-2985 (2024). MSC: 91G10 60G44 60H30 91G15 60J46 PDFBibTeX XMLCite \textit{D. Itkin} and \textit{M. Larsson}, Ann. Appl. Probab. 34, No. 3, 2940--2985 (2024; Zbl 07900402) Full Text: DOI arXiv Link
Iksanov, Alexander; Kolesko, Konrad; Meiners, Matthias Asymptotic fluctuations in supercritical Crump-Mode-Jagers processes. (English) Zbl 07889243 Ann. Probab. 52, No. 4, 1538-1606 (2024). MSC: 60J80 60F05 60G44 PDFBibTeX XMLCite \textit{A. Iksanov} et al., Ann. Probab. 52, No. 4, 1538--1606 (2024; Zbl 07889243) Full Text: DOI arXiv Link
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
Luc T. Tuyen; Vu T. Luan A representation theorem for set-valued submartingales. (English) Zbl 07880484 Stochastic Anal. Appl. 42, No. 3, 487-498 (2024). MSC: 60H05 60G44 PDFBibTeX XMLCite \textit{Luc T. Tuyen} and \textit{Vu T. Luan}, Stochastic Anal. Appl. 42, No. 3, 487--498 (2024; Zbl 07880484) Full Text: DOI arXiv
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
Li, L.; Wang, Y.; Yang, A. Atomic decompositions of martingale Hardy Lorentz amalgam spaces and applications. (English) Zbl 07857907 Acta Math. Hung. 172, No. 2, 422-444 (2024). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 60G46 60G42 60G44 46E30 PDFBibTeX XMLCite \textit{L. Li} et al., Acta Math. Hung. 172, No. 2, 422--444 (2024; Zbl 07857907) Full Text: DOI
Lu, J.; Peng, Y. Martingale Orlicz-Hardy spaces for continuous-time. (English) Zbl 07857903 Acta Math. Hung. 172, No. 2, 350-377 (2024). Reviewer: Yuliya S. Mishura (Kyïv) 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
Fujita, Takahiko; Yagishita, Shotaro; Yoshida, Naohiro Some martingale properties of the simple random walk and its maximum process. (English) Zbl 1537.60053 Stat. Probab. Lett. 208, Article ID 110076, 8 p. (2024). MSC: 60G50 60J65 60G44 PDFBibTeX XMLCite \textit{T. Fujita} et al., Stat. Probab. Lett. 208, Article ID 110076, 8 p. (2024; Zbl 1537.60053) Full Text: DOI
Elmansouri, Badr; El Otmani, Mohamed Doubly reflected BSDEs driven by RCLL martingales under stochastic Lipschitz coefficient. (English) Zbl 1537.60067 Stoch. Dyn. 24, No. 1, Article ID 2450001, 39 p. (2024). MSC: 60H10 60G44 PDFBibTeX XMLCite \textit{B. Elmansouri} and \textit{M. El Otmani}, Stoch. Dyn. 24, No. 1, Article ID 2450001, 39 p. (2024; Zbl 1537.60067) Full Text: DOI
Zaevski, Tsvetelin S. On some generalized American style derivatives. (English) Zbl 07846882 Comput. Appl. Math. 43, No. 3, Paper No. 115, 29 p. (2024). MSC: 35R35 35Q91 60G44 91G20 PDFBibTeX XMLCite \textit{T. S. Zaevski}, Comput. Appl. Math. 43, No. 3, Paper No. 115, 29 p. (2024; Zbl 07846882) Full Text: DOI
Breton, Jean-Christophe; Privault, Nicolas Wasserstein distance estimates for jump-diffusion processes. (English) Zbl 07842650 Stochastic Processes Appl. 172, Article ID 104334, 16 p. (2024). Reviewer: Monique Pontier (Toulouse) MSC: 60H05 60H10 60G57 60G44 60J60 60J76 PDFBibTeX XMLCite \textit{J.-C. Breton} and \textit{N. Privault}, Stochastic Processes Appl. 172, Article ID 104334, 16 p. (2024; Zbl 07842650) Full Text: DOI arXiv
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
Bayraktar, Erhan; Yao, Song Optimal stopping with expectation constraints. (English) Zbl 1534.60051 Ann. Appl. Probab. 34, No. 1B, 917-959 (2024). MSC: 60G40 49L20 93E20 60G44 PDFBibTeX XMLCite \textit{E. Bayraktar} and \textit{S. Yao}, Ann. Appl. Probab. 34, No. 1B, 917--959 (2024; Zbl 1534.60051) Full Text: DOI arXiv
Glynn, Peter W.; Infanger, Alex Solution representations for Poisson’s equation, martingale structure, and the Markov chain central limit theorem. (English) Zbl 1534.60114 Stoch. Syst. 14, No. 1, 47-68 (2024). MSC: 60J76 60G44 60J10 60F05 PDFBibTeX XMLCite \textit{P. W. Glynn} and \textit{A. Infanger}, Stoch. Syst. 14, No. 1, 47--68 (2024; Zbl 1534.60114) Full Text: DOI OA License
Abramov, Vyacheslav M. Conditions for recurrence and transience for time-inhomogeneous birth-and-death processes. (English) Zbl 07828719 Bull. Aust. Math. Soc. 109, No. 2, 393-402 (2024). Reviewer: Matthias Meiners (Gießen) MSC: 60G50 60G44 60H07 60J80 PDFBibTeX XMLCite \textit{V. M. Abramov}, Bull. Aust. Math. Soc. 109, No. 2, 393--402 (2024; Zbl 07828719) Full Text: DOI arXiv
Geiss, Sarah Sharp convex generalizations of stochastic Gronwall inequalities. (English) Zbl 07825937 J. Differ. Equations 392, 74-127 (2024). MSC: 60H10 60G44 60G51 60J65 26D15 PDFBibTeX XMLCite \textit{S. Geiss}, J. Differ. Equations 392, 74--127 (2024; Zbl 07825937) Full Text: DOI arXiv OA License
Profeta, Christophe Maximal displacement of spectrally negative branching Lévy processes. (English) Zbl 1536.60087 Bernoulli 30, No. 2, 961-982 (2024). MSC: 60J80 60G51 60G44 PDFBibTeX XMLCite \textit{C. Profeta}, Bernoulli 30, No. 2, 961--982 (2024; Zbl 1536.60087) Full Text: DOI arXiv Link
Seo, Insuk Book review of: Y. Nishiyama, Martingale methods in statistics. (English) Zbl 07820421 J. Am. Stat. Assoc. 119, No. 545, 787-789 (2024). MSC: 00A17 60-02 60G42 60G44 62M10 PDFBibTeX XMLCite \textit{I. Seo}, J. Am. Stat. Assoc. 119, No. 545, 787--789 (2024; Zbl 07820421) Full Text: DOI
Bednarz, Ewelina; Ernst, Philip A.; Osękowski, Adam On the diameter of the stopped spider process. (English) Zbl 1532.60079 Math. Oper. Res. 49, No. 1, 346-365 (2024). MSC: 60G40 91B70 60G44 PDFBibTeX XMLCite \textit{E. Bednarz} et al., Math. Oper. Res. 49, No. 1, 346--365 (2024; Zbl 1532.60079) Full Text: DOI arXiv
Bhaskaran, Rajeev; Sadhasivam, Vijay Ganesh Stochastic model for barrier crossings and fluctuations in local timescale. (English) Zbl 1533.60129 J. Math. Phys. 65, No. 2, Article ID 023302, 15 p. (2024). MSC: 60J55 60H10 60G44 60J25 82C05 PDFBibTeX XMLCite \textit{R. Bhaskaran} and \textit{V. G. Sadhasivam}, J. Math. Phys. 65, No. 2, Article ID 023302, 15 p. (2024; Zbl 1533.60129) Full Text: DOI arXiv
Osękowski, Adam A sharp \(L^p\) estimate for the total variation process. (English) Zbl 1532.60083 Stat. Probab. Lett. 206, Article ID 109997, 5 p. (2024). MSC: 60G42 60G46 60G44 PDFBibTeX XMLCite \textit{A. Osękowski}, Stat. Probab. Lett. 206, Article ID 109997, 5 p. (2024; Zbl 1532.60083) Full Text: DOI
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
Bayraktar, Erhan; Deng, Shuoqing; Norgilas, Dominykas Supermartingale shadow couplings: the decreasing case. (English) Zbl 1539.60045 Bernoulli 30, No. 1, 143-169 (2024). Reviewer: Ferenc Weisz (Budapest) MSC: 60G42 60G44 91G20 60G40 49Q20 PDFBibTeX XMLCite \textit{E. Bayraktar} et al., Bernoulli 30, No. 1, 143--169 (2024; Zbl 1539.60045) Full Text: DOI arXiv
Beiglböck, Mathias; Lowther, George; Pammer, Gudmund; Schachermayer, Walter Faking Brownian motion with continuous Markov martingales. (English) Zbl 1531.91214 Finance Stoch. 28, No. 1, 259-284 (2024). Reviewer: Pavel Stoynov (Sofia) MSC: 91G10 60G44 60J70 PDFBibTeX XMLCite \textit{M. Beiglböck} et al., Finance Stoch. 28, No. 1, 259--284 (2024; Zbl 1531.91214) Full Text: DOI arXiv OA License
Allan, Andrew L.; Liu, Chong; Prömel, David J. A càdlàg rough path foundation for robust finance. (English) Zbl 1530.91519 Finance Stoch. 28, No. 1, 215-257 (2024). MSC: 91G10 60L20 91G80 60G44 PDFBibTeX XMLCite \textit{A. L. Allan} et al., Finance Stoch. 28, No. 1, 215--257 (2024; Zbl 1530.91519) Full Text: DOI arXiv OA License
Ren, Panpan; Wang, Feng-Yu; Wittmann, Simon Markov Processes and Stochastic Extrinsic Derivative Flows on the Space of Absolutely Continuous Measures. arXiv:2408.15687 Preprint, arXiv:2408.15687 [math.PR] (2024). MSC: 60J46 60J60 60J25 60G57 60G44 BibTeX Cite \textit{P. Ren} et al., ``Markov Processes and Stochastic Extrinsic Derivative Flows on the Space of Absolutely Continuous Measures'', Preprint, arXiv:2408.15687 [math.PR] (2024) Full Text: arXiv OA License
Friz, Peter K.; Hager, Paul P.; Tapia, Nikolas On expected signatures and signature cumulants in semimartingale models. arXiv:2408.05085 Preprint, arXiv:2408.05085 [stat.ML] (2024). MSC: 60L10 60L90 60E10 60G44 60G48 60G51 60J76 BibTeX Cite \textit{P. K. Friz} et al., ``On expected signatures and signature cumulants in semimartingale models'', Preprint, arXiv:2408.05085 [stat.ML] (2024) Full Text: arXiv OA License
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
Schachermayer, Walter; Tschiderer, Bertram The decomposition of stretched Brownian motion into Bass martingales. arXiv:2406.10656 Preprint, arXiv:2406.10656 [math.PR] (2024). MSC: 60G42 60G44 91G20 BibTeX Cite \textit{W. Schachermayer} and \textit{B. Tschiderer}, ``The decomposition of stretched Brownian motion into Bass martingales'', Preprint, arXiv:2406.10656 [math.PR] (2024) Full Text: arXiv OA License
Backhoff-Veraguas, Julio; Loeper, Gregoire; Obloj, Jan Geometric Martingale Benamou-Brenier transport and geometric Bass martingales. arXiv:2406.04016 Preprint, arXiv:2406.04016 [math.PR] (2024). MSC: 60G42 60G44 91G20 BibTeX Cite \textit{J. Backhoff-Veraguas} et al., ``Geometric Martingale Benamou-Brenier transport and geometric Bass martingales'', Preprint, arXiv:2406.04016 [math.PR] (2024) Full Text: arXiv OA License
Melnikov, Vasily Relative weak compactness in infinite-dimensional Fefferman-Meyer duality. arXiv:2404.13416 Preprint, arXiv:2404.13416 [math.FA] (2024). MSC: 46A50 46E40 60G44 BibTeX Cite \textit{V. Melnikov}, ``Relative weak compactness in infinite-dimensional Fefferman-Meyer duality'', Preprint, arXiv:2404.13416 [math.FA] (2024) Full Text: arXiv OA License
Roux, Alet; Juliá, Álvaro Guinea Closed form solution to zero coupon bond using a linear stochastic delay differential equation. arXiv:2402.16428 Preprint, arXiv:2402.16428 [q-fin.MF] (2024). MSC: 91G30 60G44 BibTeX Cite \textit{A. Roux} and \textit{Á. G. Juliá}, ``Closed form solution to zero coupon bond using a linear stochastic delay differential equation'', Preprint, arXiv:2402.16428 [q-fin.MF] (2024) Full Text: arXiv OA License
Tschiderer, Bertram \(q\)-Bass martingales. arXiv:2402.05669 Preprint, arXiv:2402.05669 [math.PR] (2024). MSC: 60G42 60G44 91G20 BibTeX Cite \textit{B. Tschiderer}, ``$q$-Bass martingales'', Preprint, arXiv:2402.05669 [math.PR] (2024) Full Text: arXiv OA License
Janson, Svante Almost sure and moment convergence for triangular Pólya urns. arXiv:2402.01299 Preprint, arXiv:2402.01299 [math.PR] (2024). MSC: 60F15 60F25 60C05 60G44 60J85 BibTeX Cite \textit{S. Janson}, ``Almost sure and moment convergence for triangular Pólya urns'', Preprint, arXiv:2402.01299 [math.PR] (2024) Full Text: arXiv OA License
Bishwal, Jaya P. N. On the sieve estimator for fractional SPDEs from discrete observations. (English) Zbl 07850865 Markov Process. Relat. Fields 29, No. 3, 367-402 (2023). Reviewer: Luis Vázquez (Madrid) MSC: 60F05 60F25 60G22 60G44 60H10 60H15 60H35 62F12 62G05 62M07 62M09 PDFBibTeX XMLCite \textit{J. P. N. Bishwal}, Markov Process. Relat. Fields 29, No. 3, 367--402 (2023; Zbl 07850865) Full Text: Link
Eldan, Ronen Analysis of high-dimensional distributions using pathwise methods. (English) Zbl 1533.60119 Beliaev, Dmitry (ed.) et al., International congress of mathematicians 2022, ICM 2022, Helsinki, Finland, virtual, July 6–14, 2022. Volume 6. Sections 12–14. Berlin: European Mathematical Society (EMS). 4246-4270 (2023). MSC: 60H30 60G17 60G44 52A23 60-02 PDFBibTeX XMLCite \textit{R. Eldan}, in: International congress of mathematicians 2022, ICM 2022, Helsinki, Finland, virtual, July 6--14, 2022. Volume 6. Sections 12--14. Berlin: European Mathematical Society (EMS). 4246--4270 (2023; Zbl 1533.60119) Full Text: DOI OA License
Plecháč, Petr; Stoltz, Gabriel; Wang, Ting Martingale product estimators for sensitivity analysis in computational statistical physics. (English) Zbl 1533.65021 IMA J. Numer. Anal. 43, No. 6, 3430-3477 (2023). Reviewer: Steven B. Damelin (Ann Arbor) MSC: 65C30 65C40 60G44 60H10 82C31 PDFBibTeX XMLCite \textit{P. Plecháč} et al., IMA J. Numer. Anal. 43, No. 6, 3430--3477 (2023; Zbl 1533.65021) Full Text: DOI arXiv
Bouhadou, Siham; Hilbert, Astrid; Ouknine, Youssef Optimal stopping in predictable setting. (English) Zbl 1533.60052 Probab. Uncertain. Quant. Risk 8, No. 4, 485-498 (2023). MSC: 60G40 60G44 60H99 PDFBibTeX XMLCite \textit{S. Bouhadou} et al., Probab. Uncertain. Quant. Risk 8, No. 4, 485--498 (2023; Zbl 1533.60052) Full Text: DOI
Champagnat, Nicolas; Hass, Vincent Existence, uniqueness and ergodicity for the centered Fleming-Viot process. (English) Zbl 1535.37012 Stochastic Processes Appl. 166, Article ID 104219, 63 p. (2023). MSC: 37A50 37A25 37A30 60G44 60J60 60J68 60B10 60G09 60J76 60J90 PDFBibTeX XMLCite \textit{N. Champagnat} and \textit{V. Hass}, Stochastic Processes Appl. 166, Article ID 104219, 63 p. (2023; Zbl 1535.37012) Full Text: DOI arXiv
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
Criens, David; Niemann, Lars Nonlinear continuous semimartingales. (English) Zbl 07790306 Electron. J. Probab. 28, Paper No. 146, 40 p. (2023). MSC: 60G65 35D40 60G07 60G44 93E20 PDFBibTeX XMLCite \textit{D. Criens} and \textit{L. Niemann}, Electron. J. Probab. 28, Paper No. 146, 40 p. (2023; Zbl 07790306) Full Text: DOI arXiv
Bertoin, Jean Limits of Pólya urns with innovations. (English) Zbl 1530.60037 Electron. J. Probab. 28, Paper No. 141, 19 p. (2023). MSC: 60F17 60G44 60J85 62G30 PDFBibTeX XMLCite \textit{J. Bertoin}, Electron. J. Probab. 28, Paper No. 141, 19 p. (2023; Zbl 1530.60037) Full Text: DOI arXiv
Puhalskii, Anatolii A.; Reed, Josh E. Erratum to: “On many-server queues in heavy traffic”. (English) Zbl 1533.60158 Ann. Appl. Probab. 33, No. 6A, 4995 (2023). MSC: 60K25 90B22 60F17 60G15 60G44 PDFBibTeX XMLCite \textit{A. A. Puhalskii} and \textit{J. E. Reed}, Ann. Appl. Probab. 33, No. 6A, 4995 (2023; Zbl 1533.60158) Full Text: DOI
Ararat, Çağın; Ma, Jin; Wu, Wenqian Set-valued backward stochastic differential equations. (English) Zbl 1538.60091 Ann. Appl. Probab. 33, No. 5, 3418-3448 (2023). MSC: 60H10 60H05 28B20 60G44 47H04 PDFBibTeX XMLCite \textit{Ç. Ararat} et al., Ann. Appl. Probab. 33, No. 5, 3418--3448 (2023; Zbl 1538.60091) Full Text: DOI arXiv Link
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
Hess, Markus The stochastic Leibniz formula for Volterra integrals under enlarged filtrations. (English) Zbl 1537.60064 Stoch. Models 39, No. 4, 823-850 (2023). MSC: 60H05 60H20 60G20 60G44 60H10 60G51 60G57 PDFBibTeX XMLCite \textit{M. Hess}, Stoch. Models 39, No. 4, 823--850 (2023; Zbl 1537.60064) Full Text: DOI
Konarovskyi, Vitalii; Marx, Victor On conditioning Brownian particles to coalesce. (English) Zbl 1529.60061 J. Theor. Probab. 36, No. 4, 2126-2164 (2023). Reviewer: Oleg K. Zakusilo (Kyïv) MSC: 60J90 60G15 60G44 60K35 60E05 PDFBibTeX XMLCite \textit{V. Konarovskyi} and \textit{V. Marx}, J. Theor. Probab. 36, No. 4, 2126--2164 (2023; Zbl 1529.60061) Full Text: DOI arXiv OA License
Kordzakhia, N. E.; Novikov, A. A.; Shiryaev, A. N. The Kolmogorov inequality for the maximum of the sum of random variables and its martingale analogues. (English. Russian original) Zbl 07764859 Theory Probab. Appl. 68, No. 3, 457-472 (2023); translation from Teor. Veroyatn. Primen. 68, No. 3, 565-585 (2023). Reviewer: Eugen Paltanea (Braşov) MSC: 60E15 60G44 60J65 60G40 PDFBibTeX XMLCite \textit{N. E. Kordzakhia} et al., Theory Probab. Appl. 68, No. 3, 457--472 (2023; Zbl 07764859); translation from Teor. Veroyatn. Primen. 68, No. 3, 565--585 (2023) Full Text: DOI
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
Fontana, Claudio; Pavarana, Simone; Runggaldier, Wolfgang J. A stochastic control perspective on term structure models with roll-over risk. (English) Zbl 1524.91127 Finance Stoch. 27, No. 4, 903-932 (2023). MSC: 91G30 60G44 93E20 91G10 PDFBibTeX XMLCite \textit{C. Fontana} et al., Finance Stoch. 27, No. 4, 903--932 (2023; Zbl 1524.91127) Full Text: DOI arXiv OA License
Kabanov, Yuri; Promyslov, Platon Ruin probabilities for a Sparre Andersen model with investments: the case of annuity payments. (English) Zbl 1529.91062 Finance Stoch. 27, No. 4, 887-902 (2023). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 60G44 PDFBibTeX XMLCite \textit{Y. Kabanov} and \textit{P. Promyslov}, Finance Stoch. 27, No. 4, 887--902 (2023; Zbl 1529.91062) Full Text: DOI arXiv
Criens, David; Niemann, Lars Robust utility maximization with nonlinear continuous semimartingales. (English) Zbl 1522.91214 Math. Financ. Econ. 17, No. 3, 499-536 (2023). MSC: 91G10 91B16 93E20 60G44 PDFBibTeX XMLCite \textit{D. Criens} and \textit{L. Niemann}, Math. Financ. Econ. 17, No. 3, 499--536 (2023; Zbl 1522.91214) Full Text: DOI arXiv Backlinks: MO OA License
Aidara, Sadibou; Sane, Ibrahima Delay BSDEs driven by fractional Brownian motion. (English) Zbl 1525.60067 Random Oper. Stoch. Equ. 31, No. 3, 273-284 (2023). MSC: 60H10 60H07 60G22 60G44 PDFBibTeX XMLCite \textit{S. Aidara} and \textit{I. Sane}, Random Oper. Stoch. Equ. 31, No. 3, 273--284 (2023; Zbl 1525.60067) Full Text: DOI
Cai, Cheng; De Angelis, Tiziano A change of variable formula with applications to multi-dimensional optimal stopping problems. (English) Zbl 1525.60066 Stochastic Processes Appl. 164, 33-61 (2023). MSC: 60H05 60G44 60J60 60J65 60G40 35R35 PDFBibTeX XMLCite \textit{C. Cai} and \textit{T. De Angelis}, Stochastic Processes Appl. 164, 33--61 (2023; Zbl 1525.60066) Full Text: DOI arXiv OA License
Fontana, Claudio; Gnoatto, Alessandro; Szulda, Guillaume CBI-time-changed Lévy processes. (English) Zbl 1517.60050 Stochastic Processes Appl. 163, 323-349 (2023). MSC: 60G51 91G20 91G30 60H20 60J25 60G44 60J80 PDFBibTeX XMLCite \textit{C. Fontana} et al., Stochastic Processes Appl. 163, 323--349 (2023; Zbl 1517.60050) Full Text: DOI arXiv
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
Criens, David On the Feller-Dynkin and the martingale property of one-dimensional diffusions. (English) Zbl 1522.60067 Electron. Commun. Probab. 28, Paper No. 20, 15 p. (2023). Reviewer: Göran Högnäs (Åbo) MSC: 60J60 60G44 60J35 60H10 PDFBibTeX XMLCite \textit{D. Criens}, Electron. Commun. Probab. 28, Paper No. 20, 15 p. (2023; Zbl 1522.60067) Full Text: DOI arXiv
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
Divandar, Mahin Sadat; Sadeghi, Ghadir The Itô integral and near-martingales in Riesz spaces. (English) Zbl 07710583 Commun. Stat., Theory Methods 52, No. 14, 5068-5081 (2023). MSC: 46A40 60G44 60G48 PDFBibTeX XMLCite \textit{M. S. Divandar} and \textit{G. Sadeghi}, Commun. Stat., Theory Methods 52, No. 14, 5068--5081 (2023; Zbl 07710583) Full Text: DOI
Merkle, Ana Causal predictability and weak solutions of the stochastic differential equations with driving semimartingales. (English) Zbl 1515.60207 Stat. Probab. Lett. 197, Article ID 109816, 7 p. (2023). MSC: 60H10 60H30 60G44 60G07 PDFBibTeX XMLCite \textit{A. Merkle}, Stat. Probab. Lett. 197, Article ID 109816, 7 p. (2023; Zbl 1515.60207) Full Text: DOI
Criens, David; Pfaffelhuber, Peter; Schmidt, Thorsten The martingale problem method revisited. (English) Zbl 1534.60069 Electron. J. Probab. 28, Paper No. 19, 46 p. (2023). MSC: 60H10 60G44 60B10 60J60 60J25 60H20 PDFBibTeX XMLCite \textit{D. Criens} et al., Electron. J. Probab. 28, Paper No. 19, 46 p. (2023; Zbl 1534.60069) Full Text: DOI arXiv Link
Gałązka, Tomasz; Osękowski, Adam Sharp estimates for martingale transforms with unbounded transforming sequences. (English) Zbl 1539.60046 Electron. J. Probab. 28, Paper No. 66, 20 p. (2023). Reviewer: Michał Strzelecki (Warszawa) MSC: 60G42 60G44 PDFBibTeX XMLCite \textit{T. Gałązka} and \textit{A. Osękowski}, Electron. J. Probab. 28, Paper No. 66, 20 p. (2023; Zbl 1539.60046) Full Text: DOI Link
Konarovskyi, Vitalii Coalescing-fragmentating Wasserstein dynamics: particle approach. (English) Zbl 1532.60218 Ann. Inst. Henri Poincaré, Probab. Stat. 59, No. 2, 983-1028 (2023). MSC: 60K35 60B12 60G44 60J60 82B21 PDFBibTeX XMLCite \textit{V. Konarovskyi}, Ann. Inst. Henri Poincaré, Probab. Stat. 59, No. 2, 983--1028 (2023; Zbl 1532.60218) Full Text: DOI arXiv
Černý, Aleš; Ruf, Johannes Simplified calculus for semimartingales: multiplicative compensators and changes of measure. (English) Zbl 1516.60009 Stochastic Processes Appl. 161, 572-602 (2023). MSC: 60E10 60G07 60G44 60G48 60G51 60H05 60H30 91G10 PDFBibTeX XMLCite \textit{A. Černý} and \textit{J. Ruf}, Stochastic Processes Appl. 161, 572--602 (2023; Zbl 1516.60009) Full Text: DOI arXiv
Yamagishi, Hayate; Yoshida, Nakahiro Order estimate of functionals related to fractional Brownian motion. (English) Zbl 1532.60076 Stochastic Processes Appl. 161, 490-543 (2023). MSC: 60G22 60F05 60H07 60G44 PDFBibTeX XMLCite \textit{H. Yamagishi} and \textit{N. Yoshida}, Stochastic Processes Appl. 161, 490--543 (2023; Zbl 1532.60076) Full Text: DOI OA License
Wu, Minyu; Cao, Wenjie; Wu, Fuke Approximate properties of stochastic functional differential equations with singular perturbations. (English) Zbl 1519.34091 Discrete Contin. Dyn. Syst., Ser. B 28, No. 9, 4700-4734 (2023). MSC: 34K50 34K26 34K33 60G44 60H10 34K25 PDFBibTeX XMLCite \textit{M. Wu} et al., Discrete Contin. Dyn. Syst., Ser. B 28, No. 9, 4700--4734 (2023; Zbl 1519.34091) Full Text: DOI
Bayer, Christian; Eigel, Martin; Sallandt, Leon; Trunschke, Philipp Pricing high-dimensional Bermudan options with hierarchical tensor formats. (English) Zbl 1516.91066 SIAM J. Financ. Math. 14, No. 2, 383-406 (2023). MSC: 91G60 65C05 91G20 60G44 PDFBibTeX XMLCite \textit{C. Bayer} et al., SIAM J. Financ. Math. 14, No. 2, 383--406 (2023; Zbl 1516.91066) Full Text: DOI arXiv
Kühn, Franziska; Schilling, René L. Maximal inequalities and some applications. (English) Zbl 1515.60064 Probab. Surv. 20, 382-485 (2023). Reviewer: Fraser Daly (Edinburgh) MSC: 60E15 60G15 60G44 60G51 60G53 60J25 42B25 42A61 PDFBibTeX XMLCite \textit{F. Kühn} and \textit{R. L. Schilling}, Probab. Surv. 20, 382--485 (2023; Zbl 1515.60064) Full Text: DOI arXiv Link
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
Friz, Peter K.; Zorin-Kranich, Pavel Rough semimartingales and \(p\)-variation estimates for martingale transforms. (English) Zbl 1532.60230 Ann. Probab. 51, No. 2, 397-441 (2023). MSC: 60L20 60G44 60G46 60H05 PDFBibTeX XMLCite \textit{P. K. Friz} and \textit{P. Zorin-Kranich}, Ann. Probab. 51, No. 2, 397--441 (2023; Zbl 1532.60230) Full Text: DOI arXiv
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
Cox, Alexander M. G.; Robinson, Benjamin A. Optimal control of martingales in a radially symmetric environment. (English) Zbl 1509.93061 Stochastic Processes Appl. 159, 149-198 (2023). MSC: 93E20 49L25 49Q22 60G44 PDFBibTeX XMLCite \textit{A. M. G. Cox} and \textit{B. A. Robinson}, Stochastic Processes Appl. 159, 149--198 (2023; Zbl 1509.93061) Full Text: DOI arXiv OA License
Biagini, Francesca; Mazzon, Andrea; Perkkiö, Ari-Pekka Optional projection under equivalent local martingale measures. (English) Zbl 1511.91140 Finance Stoch. 27, No. 2, 435-465 (2023). MSC: 91G15 60G44 60H30 PDFBibTeX XMLCite \textit{F. Biagini} et al., Finance Stoch. 27, No. 2, 435--465 (2023; Zbl 1511.91140) Full Text: DOI arXiv OA License
Kim, Donghan Market-to-book ratio in stochastic portfolio theory. (English) Zbl 1511.91129 Finance Stoch. 27, No. 2, 401-434 (2023). MSC: 91G10 60G44 60H05 PDFBibTeX XMLCite \textit{D. Kim}, Finance Stoch. 27, No. 2, 401--434 (2023; Zbl 1511.91129) Full Text: DOI arXiv
Chen, Xiao; Choi, Jin Hyuk; Larsen, Kasper; Seppi, Duane J. Price impact in Nash equilibria. (English) Zbl 1512.91131 Finance Stoch. 27, No. 2, 305-340 (2023). Reviewer: Pavel Stoynov (Sofia) MSC: 91G15 91G30 60G44 91G60 PDFBibTeX XMLCite \textit{X. Chen} et al., Finance Stoch. 27, No. 2, 305--340 (2023; Zbl 1512.91131) 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
Tzaninis, Spyridon M.; Macheras, Nikolaos D. A characterization of progressively equivalent probability measures preserving the structure of a compound mixed renewal process. (English) Zbl 1509.60158 ALEA, Lat. Am. J. Probab. Math. Stat. 20, No. 1, 225-247 (2023). MSC: 60K05 60A10 60G44 60G55 91G05 PDFBibTeX XMLCite \textit{S. M. Tzaninis} and \textit{N. D. Macheras}, ALEA, Lat. Am. J. Probab. Math. Stat. 20, No. 1, 225--247 (2023; Zbl 1509.60158) Full Text: arXiv Link
van der Hofstad, Remco; Kapodistria, Stella; Palmowski, Zbigniew; Shneer, Seva Unified approach for solving exit problems for additive-increase and multiplicative-decrease processes. (English) Zbl 1515.60134 J. Appl. Probab. 60, No. 1, 85-105 (2023). MSC: 60G51 60G07 60G44 60G55 PDFBibTeX XMLCite \textit{R. van der Hofstad} et al., J. Appl. Probab. 60, No. 1, 85--105 (2023; Zbl 1515.60134) Full Text: DOI arXiv
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
Takeda, Shosei; Yano, Kouji Local time penalizations with various clocks for Lévy processes. (English) Zbl 1512.60028 Electron. J. Probab. 28, Paper No. 12, 35 p. (2023). MSC: 60G51 60F05 60G44 PDFBibTeX XMLCite \textit{S. Takeda} and \textit{K. Yano}, Electron. J. Probab. 28, Paper No. 12, 35 p. (2023; Zbl 1512.60028) Full Text: DOI arXiv Link
Nakajima, Shuta; Nakashima, Makoto Fluctuations of two-dimensional stochastic heat equation and KPZ equation in subcritical regime for general initial conditions. (English) Zbl 1515.60334 Electron. J. Probab. 28, Paper No. 1, 38 p. (2023). MSC: 60K37 60F05 60G44 82D60 PDFBibTeX XMLCite \textit{S. Nakajima} and \textit{M. Nakashima}, Electron. J. Probab. 28, Paper No. 1, 38 p. (2023; Zbl 1515.60334) Full Text: DOI arXiv
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
Kamiński, Łukasz; Osękowski, Adam On the best constant in the \(L^p\) estimate for the sharp maximal function. (English) Zbl 1528.42024 J. Math. Anal. Appl. 518, No. 2, Article ID 126733, 18 p. (2023). Reviewer: Diego Chamorro (Évry) MSC: 42B25 42B20 60G44 60G46 PDFBibTeX XMLCite \textit{Ł. Kamiński} and \textit{A. Osękowski}, J. Math. Anal. Appl. 518, No. 2, Article ID 126733, 18 p. (2023; Zbl 1528.42024) Full Text: DOI
Villarroel, Javier; Vega, Juan A. Escape probabilities from an interval for compound Poisson processes with drift. (English) Zbl 1497.60063 Balakrishnan, Narayanaswamy (ed.) et al., Trends in mathematical, information and data sciences. A tribute to Leandro Pardo. Based on the presentations at the symposium on information theory with applications to statistical inference, Madrid, Spain, December 2, 2019. Cham: Springer. Stud. Syst. Decis. Control 445, 93-105 (2023). MSC: 60G40 60G44 60J76 PDFBibTeX XMLCite \textit{J. Villarroel} and \textit{J. A. Vega}, Stud. Syst. Decis. Control 445, 93--105 (2023; Zbl 1497.60063) Full Text: DOI
Abramov, Vyacheslav M. Conditions for recurrence and transience for time-inhomogeneous random walks. arXiv:2311.07796 Preprint, arXiv:2311.07796 [math.PR] (2023). MSC: 60G50 60G55 60G44 60H07 60J80 BibTeX Cite \textit{V. M. Abramov}, ``Conditions for recurrence and transience for time-inhomogeneous random walks'', Preprint, arXiv:2311.07796 [math.PR] (2023) Full Text: arXiv OA License
Campese, Simon; Lengert, Nicolas; Podolskij, Mark Limit theorems for general functionals of Brownian local times. arXiv:2311.01251 Preprint, arXiv:2311.01251 [math.PR] (2023). MSC: 60F05 60G44 60H05 BibTeX Cite \textit{S. Campese} et al., ``Limit theorems for general functionals of Brownian local times'', Preprint, arXiv:2311.01251 [math.PR] (2023) Full Text: arXiv OA License
Tschiderer, Bertram Diffusion processes as Wasserstein gradient flows via stochastic control of the volatility matrix. arXiv:2310.18678 Preprint, arXiv:2310.18678 [math.PR] (2023). MSC: 60H30 60G44 60J60 94A17 BibTeX Cite \textit{B. Tschiderer}, ``Diffusion processes as Wasserstein gradient flows via stochastic control of the volatility matrix'', Preprint, arXiv:2310.18678 [math.PR] (2023) Full Text: arXiv OA License
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
He, Xihao On the limit theory of mean field optimal stopping with non-Markov dynamics and common noise. arXiv:2310.00407 Preprint, arXiv:2310.00407 [math.PR] (2023). MSC: 60G40 60G44 60G07 93E15 BibTeX Cite \textit{X. He}, ``On the limit theory of mean field optimal stopping with non-Markov dynamics and common noise'', Preprint, arXiv:2310.00407 [math.PR] (2023) Full Text: arXiv OA License
Sojmark, Andreas; Wunderlich, Fabrice Weak Convergence of Stochastic Integrals on Skorokhod Space in Skorokhod’s J1 and M1 Topologies. arXiv:2309.12197 Preprint, arXiv:2309.12197 [math.PR] (2023). MSC: 60H05 60F17 60G44 60G50 60G51 60G52 BibTeX Cite \textit{A. Sojmark} and \textit{F. Wunderlich}, ``Weak Convergence of Stochastic Integrals on Skorokhod Space in Skorokhod's J1 and M1 Topologies'', Preprint, arXiv:2309.12197 [math.PR] (2023) Full Text: arXiv OA License
Backhoff-Veraguas, Julio; Schachermayer, Walter; Tschiderer, Bertram The Bass functional of martingale transport. arXiv:2309.11181 Preprint, arXiv:2309.11181 [math.PR] (2023). MSC: 60G42 60G44 91G20 BibTeX Cite \textit{J. Backhoff-Veraguas} et al., ``The Bass functional of martingale transport'', Preprint, arXiv:2309.11181 [math.PR] (2023) Full Text: arXiv OA License
Di Tella, Paolo; Geiss, Christel; Steinicke, Alexander Product formulas for multiple stochastic integrals associated with Lévy processes. arXiv:2309.11150 Preprint, arXiv:2309.11150 [math.PR] (2023). MSC: 60H05 60G51 60G44 60F05 BibTeX Cite \textit{P. Di Tella} et al., ``Product formulas for multiple stochastic integrals associated with Lévy processes'', Preprint, arXiv:2309.11150 [math.PR] (2023) Full Text: arXiv OA License