Huang, Xing; Wang, Feng-Yu McKean-Vlasov SDEs with drifts discontinuous under Wasserstein distance. (English) Zbl 07314927 Discrete Contin. Dyn. Syst. 41, No. 4, 1667-1679 (2021). MSC: 60H10 60G44 PDF BibTeX XML Cite \textit{X. Huang} and \textit{F.-Y. Wang}, Discrete Contin. Dyn. Syst. 41, No. 4, 1667--1679 (2021; Zbl 07314927) Full Text: DOI
Gradinaru, Mihai; Haugomat, Tristan Locally Feller processes and martingale local problems. (English) Zbl 07312687 Stochastic Processes Appl. 133, 129-165 (2021). MSC: 60J25 60G44 60J35 60B10 60J75 47D07 PDF BibTeX XML Cite \textit{M. Gradinaru} and \textit{T. Haugomat}, Stochastic Processes Appl. 133, 129--165 (2021; Zbl 07312687) Full Text: DOI
Mehri, Sima; Scheutzow, Michael A stochastic Gronwall lemma and well-posedness of path-dependent SDEs driven by martingale noise. (English) Zbl 07298008 ALEA, Lat. Am. J. Probab. Math. Stat. 18, No. 1, 193-209 (2021). MSC: 60H10 60G57 65L03 60G44 34K50 PDF BibTeX XML Cite \textit{S. Mehri} and \textit{M. Scheutzow}, ALEA, Lat. Am. J. Probab. Math. Stat. 18, No. 1, 193--209 (2021; Zbl 07298008) Full Text: Link
Miao, Yu; Tang, Yanyan Large deviation inequalities of LS estimator in nonlinear regression models. (English) Zbl 07290489 Stat. Probab. Lett. 168, Article ID 108930, 11 p. (2021). MSC: 62F15 62F12 62J02 60F10 60E15 60G44 PDF BibTeX XML Cite \textit{Y. Miao} and \textit{Y. Tang}, Stat. Probab. Lett. 168, Article ID 108930, 11 p. (2021; Zbl 07290489) Full Text: DOI
Chalamandaris, George; Malliaris, A. G. Itô’s calculus and the derivation of the Black-Scholes option-pricing model. (English) Zbl 07283239 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific (ISBN 978-981-12-0242-1/hbk; 978-981-12-0238-4/set; 978-981-12-0240-7/ebook). 1025-1074 (2021). MSC: 91G20 60H10 60G44 PDF BibTeX XML Cite \textit{G. Chalamandaris} and \textit{A. G. Malliaris}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1025--1074 (2021; Zbl 07283239) Full Text: DOI
Liu, Guomin Exit times for semimartingales under nonlinear expectation. (English) Zbl 07312458 Stochastic Processes Appl. 130, No. 12, 7338-7362 (2020). MSC: 60G40 60G44 60G48 60H10 PDF BibTeX XML Cite \textit{G. Liu}, Stochastic Processes Appl. 130, No. 12, 7338--7362 (2020; Zbl 07312458) Full Text: DOI
Makasu, Cloud A stochastic convolution integral inequality. (English) Zbl 07308701 Infin. Dimens. Anal. Quantum Probab. Relat. Top. 23, No. 4, Article ID 2050029, 8 p. (2020). MSC: 44A35 60E15 60G44 60H20 PDF BibTeX XML Cite \textit{C. Makasu}, Infin. Dimens. Anal. Quantum Probab. Relat. Top. 23, No. 4, Article ID 2050029, 8 p. (2020; Zbl 07308701) Full Text: DOI
Osękowski, Adam Inequalities for second-order Riesz transforms associated with Bessel expansions. (English) Zbl 07304262 Bull. Pol. Acad. Sci., Math. 68, No. 1, 75-88 (2020). MSC: 42B15 42B20 42B10 60G44 PDF BibTeX XML Cite \textit{A. Osękowski}, Bull. Pol. Acad. Sci., Math. 68, No. 1, 75--88 (2020; Zbl 07304262) Full Text: DOI
Khmaladze, Estate V. Projection approach to distribution-free testing for point processes. Regular models. (English) Zbl 07300700 Trans. A. Razmadze Math. Inst. 174, No. 2, 155-173 (2020). MSC: 62G10 60G55 60G44 PDF BibTeX XML Cite \textit{E. V. Khmaladze}, Trans. A. Razmadze Math. Inst. 174, No. 2, 155--173 (2020; Zbl 07300700) Full Text: Link
Duan, Boyan; Ramdas, Aaditya; Balakrishnan, Sivaraman; Wasserman, Larry Interactive martingale tests for the global null. (English) Zbl 07298083 Electron. J. Stat. 14, No. 2, 4489-4551 (2020). MSC: 62F03 62H15 62J05 62M07 60G44 PDF BibTeX XML Cite \textit{B. Duan} et al., Electron. J. Stat. 14, No. 2, 4489--4551 (2020; Zbl 07298083) Full Text: DOI Euclid
Jarrow, Robert; Larsson, Martin Informational efficiency with trading constraints: a characterization. (English) Zbl 07296662 SIAM J. Financ. Math. 11, No. 4, 959-973 (2020). MSC: 91G15 60G44 PDF BibTeX XML Cite \textit{R. Jarrow} and \textit{M. Larsson}, SIAM J. Financ. Math. 11, No. 4, 959--973 (2020; Zbl 07296662) Full Text: DOI
Valjarević, Dragana; Petrović, Ljiljana Statistical causality and separable processes. (English) Zbl 07287593 Stat. Probab. Lett. 167, Article ID 108915, 6 p. (2020). MSC: 60G44 60H10 62P20 60H07 PDF BibTeX XML Cite \textit{D. Valjarević} and \textit{L. Petrović}, Stat. Probab. Lett. 167, Article ID 108915, 6 p. (2020; Zbl 07287593) Full Text: DOI
Gapeev, Pavel V. Optimal stopping problems for running minima with positive discounting rates. (English) Zbl 07287586 Stat. Probab. Lett. 167, Article ID 108899, 12 p. (2020). Reviewer: Krzysztof J. Szajowski (Wrocław) MSC: 60G40 60G44 60J65 91G20 PDF BibTeX XML Cite \textit{P. V. Gapeev}, Stat. Probab. Lett. 167, Article ID 108899, 12 p. (2020; Zbl 07287586) Full Text: DOI
Balakrishna, N.; Kim, Jiwoong; Koul, Hira L. Lack-of-fit of a parametric measurement error AR(1) model. (English) Zbl 07287567 Stat. Probab. Lett. 166, Article ID 108872, 10 p. (2020). MSC: 62M10 62F03 62F12 60G44 PDF BibTeX XML Cite \textit{N. Balakrishna} et al., Stat. Probab. Lett. 166, Article ID 108872, 10 p. (2020; Zbl 07287567) Full Text: DOI
Wang, Runmin; Shao, Xiaofeng Hypothesis testing for high-dimensional time series via self-normalization. (English) Zbl 07285312 Ann. Stat. 48, No. 5, 2728-2758 (2020). MSC: 62H15 62M10 60K35 60G44 62G10 62G20 PDF BibTeX XML Cite \textit{R. Wang} and \textit{X. Shao}, Ann. Stat. 48, No. 5, 2728--2758 (2020; Zbl 07285312) Full Text: DOI Euclid
Vidmar, Matija A temporal factorization at the maximum for certain positive self-similar Markov processes. (English) Zbl 07284531 J. Appl. Probab. 57, No. 4, 1045-1069 (2020). MSC: 60G51 60G18 60G44 PDF BibTeX XML Cite \textit{M. Vidmar}, J. Appl. Probab. 57, No. 4, 1045--1069 (2020; Zbl 07284531) Full Text: DOI
Lefèvre, Claude; Picard, Philippe; Utev, Sergey On branching models with alarm triggerings. (English) Zbl 07284514 J. Appl. Probab. 57, No. 3, 734-759 (2020). MSC: 60J85 60G44 92D30 PDF BibTeX XML Cite \textit{C. Lefèvre} et al., J. Appl. Probab. 57, No. 3, 734--759 (2020; Zbl 07284514) Full Text: DOI
Yang, Shu; Kim, Jae Kwang Asymptotic theory and inference of predictive mean matching imputation using a superpopulation model framework. (English) Zbl 07279464 Scand. J. Stat. 47, No. 3, 839-861 (2020). Reviewer: Fraser Daly (Edinburgh) MSC: 62F12 62F40 62D10 60F05 60G44 PDF BibTeX XML Cite \textit{S. Yang} and \textit{J. K. Kim}, Scand. J. Stat. 47, No. 3, 839--861 (2020; Zbl 07279464) Full Text: DOI
Backhoff-Veraguas, Julio; Beiglböck, Mathias; Huesmann, Martin; Källblad, Sigrid Martingale Benamou-Brenier: a probabilistic perspective. (English) Zbl 07276924 Ann. Probab. 48, No. 5, 2258-2289 (2020). MSC: 60G42 60G44 91G20 PDF BibTeX XML Cite \textit{J. Backhoff-Veraguas} et al., Ann. Probab. 48, No. 5, 2258--2289 (2020; Zbl 07276924) Full Text: DOI Euclid
Blanchet-Scalliet, Christophette; Jeanblanc, Monique Enlargement of filtration in discrete time. (English) Zbl 07273638 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 (ISBN 978-981-15-1575-0/hbk; 978-981-15-1576-7/ebook). Mathematical Lectures from Peking University, 71-144 (2020). MSC: 60G44 60G40 60G42 PDF BibTeX XML Cite \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 07273638) Full Text: DOI
Kardaras, Constantinos; Ruf, Johannes Filtration shrinkage, the structure of deflators, and failure of market completeness. (English) Zbl 07272720 Finance Stoch. 24, No. 4, 871-901 (2020). MSC: 60G44 60H10 91G20 PDF BibTeX XML Cite \textit{C. Kardaras} and \textit{J. Ruf}, Finance Stoch. 24, No. 4, 871--901 (2020; Zbl 07272720) Full Text: DOI
Kiiski, Matti The Riesz representation theorem and weak\(^\ast\) compactness of semimartingales. (English) Zbl 07272719 Finance Stoch. 24, No. 4, 827-870 (2020). MSC: 60G44 28C05 54D30 60B05 60G05 PDF BibTeX XML Cite \textit{M. Kiiski}, Finance Stoch. 24, No. 4, 827--870 (2020; Zbl 07272719) Full Text: DOI
Dias, José Carlos; Nunes, João Pedro Vidal; Cruz, Aricson A note on options and bubbles under the CEV model: implications for pricing and hedging. (English) Zbl 1451.91196 Rev. Deriv. Res. 23, No. 3, 249-272 (2020). MSC: 91G20 60G44 PDF BibTeX XML Cite \textit{J. C. Dias} et al., Rev. Deriv. Res. 23, No. 3, 249--272 (2020; Zbl 1451.91196) Full Text: DOI
Backhoff-Veraguas, Julio; Bartl, Daniel; Beiglböck, Mathias; Eder, Manu All adapted topologies are equal. (English) Zbl 07271337 Probab. Theory Relat. Fields 178, No. 3-4, 1125-1172 (2020). MSC: 60G42 60G44 91G20 PDF BibTeX XML Cite \textit{J. Backhoff-Veraguas} et al., Probab. Theory Relat. Fields 178, No. 3--4, 1125--1172 (2020; Zbl 07271337) Full Text: DOI
Grigorova, Miryana; Quenez, Marie-Claire; Sulem, Agnès European options in a nonlinear incomplete market model with default. (English) Zbl 1452.91308 SIAM J. Financ. Math. 11, No. 3, 849-880 (2020). MSC: 91G20 60H10 60G44 PDF BibTeX XML Cite \textit{M. Grigorova} et al., SIAM J. Financ. Math. 11, No. 3, 849--880 (2020; Zbl 1452.91308) Full Text: DOI
Choulli, T.; Deng, J. Structure conditions under progressively added information. (English. Russian original) Zbl 1452.91287 Theory Probab. Appl. 65, No. 3, 418-453 (2020); translation from Teor. Veroyatn. Primen. 65, No. 3, 538-582 (2020). MSC: 91G10 91G15 60G44 PDF BibTeX XML Cite \textit{T. Choulli} and \textit{J. Deng}, Theory Probab. Appl. 65, No. 3, 418--453 (2020; Zbl 1452.91287); translation from Teor. Veroyatn. Primen. 65, No. 3, 538--582 (2020) Full Text: DOI
Gushchin, Alexander A. Single jump filtrations and local martingales. (English) Zbl 07270213 Mod. Stoch., Theory Appl. 7, No. 2, 135-156 (2020). MSC: 60G44 60G07 PDF BibTeX XML Cite \textit{A. A. Gushchin}, Mod. Stoch., Theory Appl. 7, No. 2, 135--156 (2020; Zbl 07270213) Full Text: DOI
Richard, Alexandre; Tan, Xiaolu; Touzi, Nizar On the root solution to the Skorokhod embedding problem given full marginals. (English) Zbl 07269414 SIAM J. Control Optim. 58, No. 4, 1874-1892 (2020). MSC: 60G40 60G44 91G80 PDF BibTeX XML Cite \textit{A. Richard} et al., SIAM J. Control Optim. 58, No. 4, 1874--1892 (2020; Zbl 07269414) Full Text: DOI
Yaroslavtsev, Ivan S. Local characteristics and tangency of vector-valued martingales. (English) Zbl 07269214 Probab. Surv. 17, 545-676 (2020). MSC: 60G44 60B11 60G51 60G57 60H05 46G12 28A50 PDF BibTeX XML Cite \textit{I. S. Yaroslavtsev}, Probab. Surv. 17, 545--676 (2020; Zbl 07269214) Full Text: DOI 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 07267929 C. R., Math., Acad. Sci. Paris 358, No. 6, 701-712 (2020). MSC: 60G44 60F05 PDF BibTeX XML Cite \textit{S. Wu} et al., C. R., Math., Acad. Sci. Paris 358, No. 6, 701--712 (2020; Zbl 07267929) Full Text: DOI
Zhai, Yonghui; Wang, Yiwei; Gao, Qinghui Optimal investment strategies for DC occupational pension fund based stochastic contribution flow model: under the constraint of a minimum guarantee. (Chinese. English summary) Zbl 07266811 J. Henan Norm. Univ., Nat. Sci. 48, No. 2, 6-13 (2020). MSC: 91G05 93E20 60G44 PDF BibTeX XML Cite \textit{Y. Zhai} et al., J. Henan Norm. Univ., Nat. Sci. 48, No. 2, 6--13 (2020; Zbl 07266811) Full Text: DOI
Akboudj, Meryem; Jiao, Yong; Osękowski, Adam Weak-\( L^\infty\) inequality for non-symmetric martingale transforms and Haar system. (English) Zbl 07259030 Stat. Probab. Lett. 163, Article ID 108778, 6 p. (2020). MSC: 60G42 60G44 PDF BibTeX XML Cite \textit{M. Akboudj} et al., Stat. Probab. Lett. 163, Article ID 108778, 6 p. (2020; Zbl 07259030) Full Text: DOI
Wen, Jiaqiang; Shi, Yufeng Symmetrical martingale solutions of backward doubly stochastic Volterra integral equations. (English) Zbl 07256668 Comput. Math. Appl. 79, No. 5, 1435-1446 (2020). MSC: 60H10 60G44 65C30 PDF BibTeX XML Cite \textit{J. Wen} and \textit{Y. Shi}, Comput. Math. Appl. 79, No. 5, 1435--1446 (2020; Zbl 07256668) Full Text: DOI
Jeanblanc, Monique; Li, Libo Characteristics and constructions of default times. (English) Zbl 1448.91312 SIAM J. Financ. Math. 11, No. 3, 720-749 (2020). Reviewer: George Stoica (Saint John) MSC: 91G40 60G44 PDF BibTeX XML Cite \textit{M. Jeanblanc} and \textit{L. Li}, SIAM J. Financ. Math. 11, No. 3, 720--749 (2020; Zbl 1448.91312) Full Text: DOI Link
Bo, Lijun; Ceci, Claudia Locally risk-minimizing hedging of counterparty risk for portfolio of credit derivatives. (English) Zbl 1448.91293 Appl. Math. Optim. 82, No. 2, 799-850 (2020). MSC: 91G20 91G40 91G10 60G44 PDF BibTeX XML Cite \textit{L. Bo} and \textit{C. Ceci}, Appl. Math. Optim. 82, No. 2, 799--850 (2020; Zbl 1448.91293) Full Text: DOI
Bañuelos, Rodrigo; Brzozowski, Michał; Osȩkowski, Adam Burkholder’s function and a weighted \(L^2\) bound for stochastic integrals. (English) Zbl 07243366 Proc. Am. Math. Soc. 148, No. 11, 5013-5028 (2020). MSC: 60G42 60G44 PDF BibTeX XML Cite \textit{R. Bañuelos} et al., Proc. Am. Math. Soc. 148, No. 11, 5013--5028 (2020; Zbl 07243366) Full Text: DOI
Guo, Wenjing; Jiang, Haiwen Optimal behavioral portfolio selection for an individual under inflation risk. (Chinese. English summary) Zbl 1449.91123 Chin. J. Eng. Math. 37, No. 2, 131-145 (2020). MSC: 91G10 60G44 PDF BibTeX XML Cite \textit{W. Guo} and \textit{H. Jiang}, Chin. J. Eng. Math. 37, No. 2, 131--145 (2020; Zbl 1449.91123) Full Text: DOI
Sester, Julian Robust bounds for derivative prices in Markovian models. (English) Zbl 1447.91183 Int. J. Theor. Appl. Finance 23, No. 3, Article ID 2050015, 39 p. (2020). MSC: 91G20 60G44 PDF BibTeX XML Cite \textit{J. Sester}, Int. J. Theor. Appl. Finance 23, No. 3, Article ID 2050015, 39 p. (2020; Zbl 1447.91183) Full Text: DOI
Eldan, Ronen; Mikulincer, Dan Stability of the Shannon-Stam inequality via the Föllmer process. (English) Zbl 07227781 Probab. Theory Relat. Fields 177, No. 3-4, 891-922 (2020). MSC: 94A17 94A24 60G44 60H30 PDF BibTeX XML Cite \textit{R. Eldan} and \textit{D. Mikulincer}, Probab. Theory Relat. Fields 177, No. 3--4, 891--922 (2020; Zbl 07227781) Full Text: DOI
Backhoff-Veraguas, Julio; Bartl, Daniel; Beiglböck, Mathias; Eder, Manu Adapted Wasserstein distances and stability in mathematical finance. (English) Zbl 1440.91036 Finance Stoch. 24, No. 3, 601-632 (2020). MSC: 91G20 91G80 60G44 PDF BibTeX XML Cite \textit{J. Backhoff-Veraguas} et al., Finance Stoch. 24, No. 3, 601--632 (2020; Zbl 1440.91036) Full Text: DOI
Demers, Mark; Melbourne, Ian; Nicol, Matthew Martingale approximations and anisotropic Banach spaces with an application to the time-one map of a Lorentz gas. (English) Zbl 1447.37013 Nonlinearity 33, No. 8, 4095-4113 (2020). Reviewer: George Stoica (Saint John) MSC: 37A50 37A60 60F17 60G42 60G44 76N15 PDF BibTeX XML Cite \textit{M. Demers} et al., Nonlinearity 33, No. 8, 4095--4113 (2020; Zbl 1447.37013) Full Text: DOI
Sala, Carlo; Barone-Adesi, Giovanni Sentiment lost: the effect of projecting the pricing kernel onto a smaller filtration set. (English) Zbl 1445.91064 Stochastic Anal. Appl. 38, No. 4, 686-707 (2020). MSC: 91G20 60G44 62P05 PDF BibTeX XML Cite \textit{C. Sala} and \textit{G. Barone-Adesi}, Stochastic Anal. Appl. 38, No. 4, 686--707 (2020; Zbl 1445.91064) Full Text: DOI
Borwein, Jonathan M.; Zhu, Qiji J. Entropy maximization in finance. (English) Zbl 1447.91155 Bailey, David H. (ed.) et al., From analysis to visualization. A celebration of the life and legacy of Jonathan M. Borwein, Callaghan, Australia, September 25–29, 2017. Cham: Springer. Springer Proc. Math. Stat. 313, 275-295 (2020). MSC: 91G10 91G80 60G44 94A17 PDF BibTeX XML Cite \textit{J. M. Borwein} and \textit{Q. J. Zhu}, Springer Proc. Math. Stat. 313, 275--295 (2020; Zbl 1447.91155) Full Text: DOI
Barrasso, Adrien; Russo, Francesco Decoupled mild solutions of path-dependent PDEs and integro PDEs represented by BSDEs driven by cadlag martingales. (English) Zbl 07223208 Potential Anal. 53, No. 2, 449-481 (2020). MSC: 60H15 60G44 60H10 PDF BibTeX XML Cite \textit{A. Barrasso} and \textit{F. Russo}, Potential Anal. 53, No. 2, 449--481 (2020; Zbl 07223208) Full Text: DOI
Cui, Lirong; Hawkes, Alan; Yi, He An elementary derivation of moments of Hawkes processes. (English) Zbl 07221654 Adv. Appl. Probab. 52, No. 1, 102-137 (2020). MSC: 60G55 60G57 60G44 60J80 PDF BibTeX XML Cite \textit{L. Cui} et al., Adv. Appl. Probab. 52, No. 1, 102--137 (2020; Zbl 07221654) Full Text: DOI
Hussein, Boushra Y. Equivalent locally martingale measure for the deflator process on ordered Banach algebra. (English) Zbl 1448.91284 J. Math. 2020, Article ID 5785098, 7 p. (2020). MSC: 91G15 91G80 60G42 60G44 PDF BibTeX XML Cite \textit{B. Y. Hussein}, J. Math. 2020, Article ID 5785098, 7 p. (2020; Zbl 1448.91284) Full Text: DOI
Brachetta, Matteo; Schmidli, Hanspeter Optimal reinsurance and investment in a diffusion model. (English) Zbl 1444.91191 Decis. Econ. Finance 43, No. 1, 341-361 (2020). MSC: 91G05 60G44 60J60 93E20 PDF BibTeX XML Cite \textit{M. Brachetta} and \textit{H. Schmidli}, Decis. Econ. Finance 43, No. 1, 341--361 (2020; Zbl 1444.91191) Full Text: DOI
Cretarola, Alessandra; Figà-Talamanca, Gianna Bubble regime identification in an attention-based model for Bitcoin and Ethereum price dynamics. (English) Zbl 1436.91113 Econ. Lett. 191, Article ID 108831, 5 p. (2020). MSC: 91G70 60G44 60J27 PDF BibTeX XML Cite \textit{A. Cretarola} and \textit{G. Figà-Talamanca}, Econ. Lett. 191, Article ID 108831, 5 p. (2020; Zbl 1436.91113) Full Text: DOI
Aïd, René; Callegaro, Giorgia; Campi, Luciano No-arbitrage commodity option pricing with market manipulation. (English) Zbl 1443.91281 Math. Financ. Econ. 14, No. 3, 577-603 (2020). MSC: 91G20 60G44 91A15 91A80 PDF BibTeX XML Cite \textit{R. Aïd} et al., Math. Financ. Econ. 14, No. 3, 577--603 (2020; Zbl 1443.91281) Full Text: DOI
Criens, David No arbitrage in continuous financial markets. (English) Zbl 1443.91272 Math. Financ. Econ. 14, No. 3, 461-506 (2020). MSC: 91G15 60G44 60H30 PDF BibTeX XML Cite \textit{D. Criens}, Math. Financ. Econ. 14, No. 3, 461--506 (2020; Zbl 1443.91272) Full Text: DOI
Jeon, Junkee; Park, Kyunghyun Optimal retirement and portfolio selection with consumption ratcheting. (English) Zbl 1443.91261 Math. Financ. Econ. 14, No. 3, 353-397 (2020). MSC: 91G10 60G40 60G44 PDF BibTeX XML Cite \textit{J. Jeon} and \textit{K. Park}, Math. Financ. Econ. 14, No. 3, 353--397 (2020; Zbl 1443.91261) Full Text: DOI
Jia, Chen; Zhao, Guohuan Moderate maximal inequalities for the Ornstein-Uhlenbeck process. (English) Zbl 07211085 Proc. Am. Math. Soc. 148, No. 8, 3607-3615 (2020). MSC: 60H10 60J60 60J65 60G44 60E15 PDF BibTeX XML Cite \textit{C. Jia} and \textit{G. Zhao}, Proc. Am. Math. Soc. 148, No. 8, 3607--3615 (2020; Zbl 07211085) Full Text: DOI
Hafayed, Mokhtar; Meherrem, Shahlar On optimal control of mean-field stochastic systems driven by Teugels martingales via derivative with respect to measures. (English) Zbl 1443.93139 Int. J. Control 93, No. 5, 1053-1062 (2020). Reviewer: Syed Abbas (Mandi) MSC: 93E20 60G51 60G44 91G10 PDF BibTeX XML Cite \textit{M. Hafayed} and \textit{S. Meherrem}, Int. J. Control 93, No. 5, 1053--1062 (2020; Zbl 1443.93139) Full Text: DOI
Shen, Yang; Wei, Jiaqin; Zhao, Qian Mean-variance asset-liability management problem under non-Markovian regime-switching models. (English) Zbl 1443.91324 Appl. Math. Optim. 81, No. 3, 859-897 (2020). MSC: 91G50 60H10 60G44 PDF BibTeX XML Cite \textit{Y. Shen} et al., Appl. Math. Optim. 81, No. 3, 859--897 (2020; Zbl 1443.91324) Full Text: DOI
Barski, Michał; Zabczyk, Jerzy On CIR equations with general factors. (English) Zbl 1443.91283 SIAM J. Financ. Math. 11, No. 1, 131-147 (2020). MSC: 91G20 60G44 60H20 91G30 PDF BibTeX XML Cite \textit{M. Barski} and \textit{J. Zabczyk}, SIAM J. Financ. Math. 11, No. 1, 131--147 (2020; Zbl 1443.91283) Full Text: DOI
Crépey, Stéphane; Sabbagh, Wissal; Song, Shiqi When capital is a funding source: the anticipated backward stochastic differential equations of X-value adjustments. (English) Zbl 1443.91286 SIAM J. Financ. Math. 11, No. 1, 99-130 (2020). MSC: 91G20 60H10 91G40 60G44 PDF BibTeX XML Cite \textit{S. Crépey} et al., SIAM J. Financ. Math. 11, No. 1, 99--130 (2020; Zbl 1443.91286) Full Text: DOI
Arvanitis, Stelios; Anyfantaki, Sofia On the limit theory of the Gaussian SQMLE in the EGARCH(1,1) model. (English) Zbl 07205124 J. Time Ser. Anal. 41, No. 2, 341-350 (2020). Reviewer: Ludwig Paditz (Dresden) MSC: 62M10 60G44 60F17 65C05 91B84 62P20 PDF BibTeX XML Cite \textit{S. Arvanitis} and \textit{S. Anyfantaki}, J. Time Ser. Anal. 41, No. 2, 341--350 (2020; Zbl 07205124) Full Text: DOI
Fu, Ke-Ang; Ni, Chang; Chen, Hao A particular bidimensional time-dependent renewal risk model with constant interest rates. (English) Zbl 1434.60254 Probab. Eng. Inf. Sci. 34, No. 2, 172-182 (2020). MSC: 60K10 60G44 91G05 PDF BibTeX XML Cite \textit{K.-A. Fu} et al., Probab. Eng. Inf. Sci. 34, No. 2, 172--182 (2020; Zbl 1434.60254) Full Text: DOI
Osękowski, Adam A ratio inequality for nonnegative martingales and their differential subordinates. (English) Zbl 1447.60071 Electron. Commun. Probab. 25, Paper No. 21, 12 p. (2020). MSC: 60G42 60G44 PDF BibTeX XML Cite \textit{A. Osękowski}, Electron. Commun. Probab. 25, Paper No. 21, 12 p. (2020; Zbl 1447.60071) Full Text: DOI Euclid
Mostovyi, Oleksii Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire. (English) Zbl 1443.91276 Stochastic Processes Appl. 130, No. 7, 4444-4469 (2020). MSC: 91G15 91B16 60G44 PDF BibTeX XML Cite \textit{O. Mostovyi}, Stochastic Processes Appl. 130, No. 7, 4444--4469 (2020; Zbl 1443.91276) Full Text: DOI
Albanese, Claudio; Armenti, Yannick; Crépey, Stéphane XVA metrics for CCP optimization. (English) Zbl 07191842 Stat. Risk. Model. 37, No. 1-2, 25-53 (2020). MSC: 60G44 91B25 91B26 91B30 91B70 91B74 91G20 91G40 91G60 91G80 PDF BibTeX XML Cite \textit{C. Albanese} et al., Stat. Risk. Model. 37, No. 1--2, 25--53 (2020; Zbl 07191842) Full Text: DOI
Beiglböck, Mathias; Cox, Alexander M. G.; Huesmann, Martin The geometry of multi-marginal Skorokhod embedding. (English) Zbl 07191239 Probab. Theory Relat. Fields 176, No. 3-4, 1045-1096 (2020). MSC: 60G42 60G44 91G20 PDF BibTeX XML Cite \textit{M. Beiglböck} et al., Probab. Theory Relat. Fields 176, No. 3--4, 1045--1096 (2020; Zbl 07191239) Full Text: DOI
Wu, Fuke; Yin, George An averaging principle for two-time-scale stochastic functional differential equations. (English) Zbl 1442.34127 J. Differ. Equations 269, No. 1, 1037-1077 (2020). Reviewer: Yong-Kui Chang (Xi’an) MSC: 34K50 34K33 34K26 60G44 60J60 92D25 PDF BibTeX XML Cite \textit{F. Wu} and \textit{G. Yin}, J. Differ. Equations 269, No. 1, 1037--1077 (2020; Zbl 1442.34127) Full Text: DOI
Aidara, Sadibou Comparison theorems for anticipated backward doubly stochastic differential equations with non-Lipschitz coefficients. (English) Zbl 07188115 Random Oper. Stoch. Equ. 28, No. 1, 19-26 (2020). MSC: 60H05 60G44 60H10 60H20 PDF BibTeX XML Cite \textit{S. Aidara}, Random Oper. Stoch. Equ. 28, No. 1, 19--26 (2020; Zbl 07188115) Full Text: DOI
Macheras, Nikolaos D.; Tzaninis, Spyridon M. A characterization of equivalent martingale measures in a renewal risk model with applications to premium calculation principles. (English) Zbl 1435.60039 Mod. Stoch., Theory Appl. 7, No. 1, 43-60 (2020). MSC: 60G55 91G40 28A35 60G44 60K05 PDF BibTeX XML Cite \textit{N. D. Macheras} and \textit{S. M. Tzaninis}, Mod. Stoch., Theory Appl. 7, No. 1, 43--60 (2020; Zbl 1435.60039) Full Text: DOI
Criens, David Lyapunov criteria for the Feller-Dynkin property of martingale problems. (English) Zbl 1434.60192 Stochastic Processes Appl. 130, No. 5, 2693-2736 (2020). MSC: 60J25 60G44 60H10 PDF BibTeX XML Cite \textit{D. Criens}, Stochastic Processes Appl. 130, No. 5, 2693--2736 (2020; Zbl 1434.60192) Full Text: DOI
Fontana, Claudio; Grbac, Zorana; Gümbel, Sandrine; Schmidt, Thorsten Term structure modelling for multiple curves with stochastic discontinuities. (English) Zbl 1435.91195 Finance Stoch. 24, No. 2, 465-511 (2020). MSC: 91G30 60G44 60G57 91G15 PDF BibTeX XML Cite \textit{C. Fontana} et al., Finance Stoch. 24, No. 2, 465--511 (2020; Zbl 1435.91195) Full Text: DOI
Chau, Huy N.; Cosso, Andrea; Fontana, Claudio The value of informational arbitrage. (English) Zbl 1433.91151 Finance Stoch. 24, No. 2, 277-307 (2020). MSC: 91G10 60G44 91B44 PDF BibTeX XML Cite \textit{H. N. Chau} et al., Finance Stoch. 24, No. 2, 277--307 (2020; Zbl 1433.91151) Full Text: DOI
Ruf, Johannes; Wolter, James Lewis Nonparametric identification of the mixed hazard model using martingale-based moments. (English) Zbl 1435.62137 Econom. Theory 36, No. 2, 331-346 (2020). MSC: 62G07 60G44 62N01 PDF BibTeX XML Cite \textit{J. Ruf} and \textit{J. L. Wolter}, Econom. Theory 36, No. 2, 331--346 (2020; Zbl 1435.62137) Full Text: DOI
Xu, Kai; Chen, Fangxue Martingale-difference-divergence-based tests for goodness-of-fit in quantile models. (English) Zbl 1437.62156 J. Stat. Plann. Inference 207, 138-154 (2020). MSC: 62G08 60G44 PDF BibTeX XML Cite \textit{K. Xu} and \textit{F. Chen}, J. Stat. Plann. Inference 207, 138--154 (2020; Zbl 1437.62156) Full Text: DOI
Michta, Mariusz; Świątek, Kamil Ł. Properties of set-valued integrals and set-valued stochastic equations driven by two-parameter martingales. (English) Zbl 1431.60044 J. Math. Anal. Appl. 485, No. 1, Article ID 123773, 28 p. (2020). MSC: 60H05 60H15 60G44 PDF BibTeX XML Cite \textit{M. Michta} and \textit{K. Ł. Świątek}, J. Math. Anal. Appl. 485, No. 1, Article ID 123773, 28 p. (2020; Zbl 1431.60044) Full Text: DOI
Chen, Xian; Jia, Chen Limit theorems for generalized density-dependent Markov chains and bursty stochastic gene regulatory networks. (English) Zbl 1431.60083 J. Math. Biol. 80, No. 4, 959-994 (2020). MSC: 60J25 60J27 60J28 60G44 92C40 92C42 92C45 92B05 PDF BibTeX XML Cite \textit{X. Chen} and \textit{C. Jia}, J. Math. Biol. 80, No. 4, 959--994 (2020; Zbl 1431.60083) Full Text: DOI
Engländer, János A generalization of the submartingale property: maximal inequality and applications to various stochastic processes. (English) Zbl 1444.60018 J. Theor. Probab. 33, No. 1, 506-521 (2020). MSC: 60E15 60G44 60G48 60G51 60J80 PDF BibTeX XML Cite \textit{J. Engländer}, J. Theor. Probab. 33, No. 1, 506--521 (2020; Zbl 1444.60018) Full Text: DOI
Bogso, Antoine-Marie Mean residual life processes and associated submartingales. (English) Zbl 07169676 J. Theor. Probab. 33, No. 1, 36-64 (2020). MSC: 60E15 60G44 60J25 32F17 PDF BibTeX XML Cite \textit{A.-M. Bogso}, J. Theor. Probab. 33, No. 1, 36--64 (2020; Zbl 07169676) Full Text: DOI
Mahmoud, Hosam M.; Zhang, Panpan Distributions in the constant-differentials Pólya process. (English) Zbl 07153411 Stat. Probab. Lett. 156, Article ID 108592, 6 p. (2020). MSC: 60C05 60G44 60F05 PDF BibTeX XML Cite \textit{H. M. Mahmoud} and \textit{P. Zhang}, Stat. Probab. Lett. 156, Article ID 108592, 6 p. (2020; Zbl 07153411) Full Text: DOI
Bartl, Daniel; Kupper, Michael; Neufeld, Ariel Pathwise superhedging on prediction sets. (English) Zbl 07146640 Finance Stoch. 24, No. 1, 215-248 (2020). MSC: 91G20 91B24 60G44 PDF BibTeX XML Cite \textit{D. Bartl} et al., Finance Stoch. 24, No. 1, 215--248 (2020; Zbl 07146640) Full Text: DOI arXiv
Tehranchi, Michael R. A Black-Scholes inequality: applications and generalisations. (English) Zbl 1432.91126 Finance Stoch. 24, No. 1, 1-38 (2020). Reviewer: Piotr Jaworski (Warszawa) MSC: 91G20 60G44 91G80 PDF BibTeX XML Cite \textit{M. R. Tehranchi}, Finance Stoch. 24, No. 1, 1--38 (2020; Zbl 1432.91126) Full Text: DOI
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 PDF BibTeX XML Cite \textit{M. Hess}, Stochastic Anal. Appl. 38, No. 1, 179--189 (2020; Zbl 1427.60074) Full Text: DOI
Boen, Lynn European rainbow option values under the two-asset Merton jump-diffusion model. (English) Zbl 1429.91316 J. Comput. Appl. Math. 364, Article ID 112344, 15 p. (2020). MSC: 91G20 60G44 60J76 PDF BibTeX XML Cite \textit{L. Boen}, J. Comput. Appl. Math. 364, Article ID 112344, 15 p. (2020; Zbl 1429.91316) Full Text: DOI
Kifer, Yuri Lectures on mathematical finance and related topics. (English) Zbl 07142442 Hackensack, NJ: World Scientific (ISBN 978-981-12-0956-7/hbk; 978-981-120-958-1/ebook). xvi, 328 p. (2020). MSC: 91-01 60-01 91G20 91G15 60G40 60G42 60G44 60H30 PDF BibTeX XML Cite \textit{Y. Kifer}, Lectures on mathematical finance and related topics. Hackensack, NJ: World Scientific (2020; Zbl 07142442) Full Text: DOI
Wei, Chao; He, Chaobing Parameter estimation for partially observed nonlinear stochastic system. (English) Zbl 07305584 Int. J. Comput. Sci. Math. 10, No. 2, 150-159 (2019). MSC: 62F10 62M20 60G44 PDF BibTeX XML Cite \textit{C. Wei} and \textit{C. He}, Int. J. Comput. Sci. Math. 10, No. 2, 150--159 (2019; Zbl 07305584) Full Text: DOI
Deugoué, G.; Ngana, A. Ndongmo; Medjo, T. Tachim Martingale solutions to stochastic nonlocal Cahn-Hilliard-Navier-Stokes equations with multiplicative noise of jump type. (English) Zbl 07303181 Physica D 398, 23-68 (2019). MSC: 60H15 35R60 35R09 60G44 35A01 35A02 PDF BibTeX XML Cite \textit{G. Deugoué} et al., Physica D 398, 23--68 (2019; Zbl 07303181) Full Text: DOI
Bercu, Bernard; Vázquez, Víctor On the almost sure central limit theorem for ARX processes in adaptive tracking. (English) Zbl 1451.93184 Int. J. Adapt. Control Signal Process. 33, No. 12, 1901-1911 (2019). MSC: 93C40 93B05 60F05 60G44 PDF BibTeX XML Cite \textit{B. Bercu} and \textit{V. Vázquez}, Int. J. Adapt. Control Signal Process. 33, No. 12, 1901--1911 (2019; Zbl 1451.93184) Full Text: DOI
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 PDF BibTeX XML Cite \textit{C. Rainer}, Lect. Notes Math. 2252, 23--29 (2019; Zbl 1452.60026) Full Text: DOI
Zhao, Yuexu; Liu, Jie Pricing of American catastrophe disaster insurance futures options with martingale method. (Chinese. English summary) Zbl 1449.91170 Math. Pract. Theory 49, No. 22, 16-21 (2019). MSC: 91G20 91G05 60G40 60G44 PDF BibTeX XML Cite \textit{Y. Zhao} and \textit{J. Liu}, Math. Pract. Theory 49, No. 22, 16--21 (2019; Zbl 1449.91170)
Liu, Xueru; Li, Meihong; Tian, Fan; Liu, Guoxiang Two-factor Markov-modulated stochastic volatility models for option pricing. (Chinese. English summary) Zbl 1449.91154 J. Nanjing Norm. Univ., Nat. Sci. Ed. 42, No. 4, 31-38 (2019). MSC: 91G20 60J28 60G44 60G40 PDF BibTeX XML Cite \textit{X. Liu} et al., J. Nanjing Norm. Univ., Nat. Sci. Ed. 42, No. 4, 31--38 (2019; Zbl 1449.91154) Full Text: DOI
Chikvinidze, B. New proof of the Novikov criterion using backward stochastic differential equations. (English) Zbl 1449.60098 Theory Stoch. Process. 24, No. 2, 14-16 (2019). MSC: 60H10 60G44 PDF BibTeX XML Cite \textit{B. Chikvinidze}, Theory Stoch. Process. 24, No. 2, 14--16 (2019; Zbl 1449.60098) Full Text: Link
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 PDF BibTeX XML Cite \textit{M. Veraar} and \textit{I. Yaroslavtsev}, Prog. Probab. 74, 321--340 (2019; Zbl 1443.60043) Full Text: DOI
Britton, Tom; Pardoux, Etienne Stochastic epidemics in a homogeneous community. (English) Zbl 1447.92402 Britton, Tom (ed.) et al., Stochastic epidemic models with inference. Lectures given at the ICPAM/CIMPA school on “Stochastic models of epidemics”, Ziguinchor, Senegal, December 5–16, 2015. Cham: Springer. Lect. Notes Math. 2255, 5-120 (2019). Reviewer: Yilun Shang (Newcastle) MSC: 92D30 60G44 60F05 60J85 PDF BibTeX XML Cite \textit{T. Britton} and \textit{E. Pardoux}, Lect. Notes Math. 2255, 5--120 (2019; Zbl 1447.92402) Full Text: DOI DOI Link Link DOI DOI
Li, L. A remark on John-Nirenberg theorem for martingales. (English) Zbl 07181188 Ukr. Math. J. 70, No. 11, 1812-1820 (2019) and Ukr. Mat. Zh. 70, No. 11, 1571-1577 (2018). MSC: 60G44 PDF BibTeX XML Cite \textit{L. Li}, Ukr. Math. J. 70, No. 11, 1812--1820 (2019; Zbl 07181188) Full Text: DOI
Gushchin, A. A.; Urusov, M. A. Minimal embeddings of integrable processes in a Brownian motion. (English. Russian original) Zbl 1441.60063 Russ. Math. Surv. 74, No. 5, 953-955 (2019); translation from Usp. Mat. Nauk 74, No. 5, 185-186 (2019). MSC: 60J65 60G44 60G48 PDF BibTeX XML Cite \textit{A. A. Gushchin} and \textit{M. A. Urusov}, Russ. Math. Surv. 74, No. 5, 953--955 (2019; Zbl 1441.60063); translation from Usp. Mat. Nauk 74, No. 5, 185--186 (2019) Full Text: DOI
Grandits, Peter On the gain of collaboration in a two dimensional ruin problem. (English) Zbl 1446.91061 Eur. Actuar. J. 9, No. 2, 635-644 (2019). Reviewer: Dominique Lépingle (Orléans) MSC: 91G05 60G44 93E20 91G80 PDF BibTeX XML Cite \textit{P. Grandits}, Eur. Actuar. J. 9, No. 2, 635--644 (2019; Zbl 1446.91061) 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 PDF BibTeX XML Cite \textit{S. Dirksen} and \textit{I. Yaroslavtsev}, Proc. Lond. Math. Soc. (3) 119, No. 6, 1633--1693 (2019; Zbl 1452.60025) Full Text: DOI
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 PDF BibTeX XML Cite \textit{S. Herrmann} and \textit{F. Stebegg}, Ann. Appl. Probab. 29, No. 6, 3348--3386 (2019; Zbl 1435.60031) Full Text: DOI Euclid
Butov, Aleksandr Aleksandrovich; Kovalenko, Anatoliĭ Aleksandrovich Stochastic models of just-in-time systems and windows of vulnerability in terms of the processes of birth and death. (English) Zbl 1449.60046 Vestn. Samar. Gos. Tekh. Univ., Ser. Fiz.-Mat. Nauki 23, No. 3, 525-540 (2019). MSC: 60F15 60G40 60G44 60J80 60J85 PDF BibTeX XML Cite \textit{A. A. Butov} and \textit{A. A. Kovalenko}, Vestn. Samar. Gos. Tekh. Univ., Ser. Fiz.-Mat. Nauki 23, No. 3, 525--540 (2019; Zbl 1449.60046) Full Text: DOI MNR
Fadina, Tolulope; Neufeld, Ariel; Schmidt, Thorsten Affine processes under parameter uncertainty. (English) Zbl 1443.91309 Probab. Uncertain. Quant. Risk 4, Paper No. 5, 35 p. (2019). MSC: 91G30 60G44 35Q91 PDF BibTeX XML Cite \textit{T. Fadina} et al., Probab. Uncertain. Quant. Risk 4, Paper No. 5, 35 p. (2019; Zbl 1443.91309) Full Text: DOI
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 PDF BibTeX XML Cite \textit{C. Profeta} and \textit{F. Vrins}, Probab. Uncertain. Quant. Risk 4, Paper No. 2, 27 p. (2019; Zbl 1444.60035) Full Text: DOI
Dobler, Dennis; Pauly, Markus; Scheike, Thomash. Confidence bands for multiplicative hazards models: flexible resampling approaches. (English) Zbl 1436.62540 Biometrics 75, No. 3, 906-916 (2019). MSC: 62P10 62N05 62J05 60G44 62G15 62H12 62N01 PDF BibTeX XML Cite \textit{D. Dobler} et al., Biometrics 75, No. 3, 906--916 (2019; Zbl 1436.62540) Full Text: DOI
Yaroslavtsev, Ivan S. On the martingale decompositions of Gundy, Meyer, and Yoeurp in infinite dimensions. (English. French summary) Zbl 07161497 Ann. Inst. Henri Poincaré, Probab. Stat. 55, No. 4, 1988-2018 (2019). Reviewer: Ferenc Weisz (Budapest) MSC: 60G44 60G07 60G57 60H99 46N30 PDF BibTeX XML Cite \textit{I. S. Yaroslavtsev}, Ann. Inst. Henri Poincaré, Probab. Stat. 55, No. 4, 1988--2018 (2019; Zbl 07161497) Full Text: DOI Euclid
Bäuerle, Nicole; Chen, An Optimal retirement planning under partial information. (English) Zbl 1437.91385 Stat. Risk. Model. 36, No. 1-4, 37-55 (2019). Reviewer: Hanspeter Schmidli (Köln) MSC: 91G05 91G10 60G44 PDF BibTeX XML Cite \textit{N. Bäuerle} and \textit{A. Chen}, Stat. Risk. Model. 36, No. 1--4, 37--55 (2019; Zbl 1437.91385) Full Text: DOI