Bandini, Elena; Russo, Francesco Weak Dirichlet processes and generalized martingale problems. (English) Zbl 07812482 Stochastic Processes Appl. 170, Article ID 104261, 37 p. (2024). MSC: 60H10 60G48 60G57 PDFBibTeX XMLCite \textit{E. Bandini} and \textit{F. Russo}, Stochastic Processes Appl. 170, Article ID 104261, 37 p. (2024; Zbl 07812482) Full Text: DOI arXiv
Passenbrunner, Markus Martingale convergence theorems for tensor splines. (English) Zbl 07810314 Stud. Math. 274, No. 1, 11-36 (2024). MSC: 41A15 42B25 46B22 42C10 60G48 PDFBibTeX XMLCite \textit{M. Passenbrunner}, Stud. Math. 274, No. 1, 11--36 (2024; Zbl 07810314) Full Text: DOI arXiv
Yu, Lin; Mi, Xue Weighted Hardy-Orlicz-amalgam spaces of martingales. (English) Zbl 07803692 Stat. Probab. Lett. 206, Article ID 109995, 9 p. (2024). MSC: 60G42 60G48 46E30 PDFBibTeX XMLCite \textit{L. Yu} and \textit{X. Mi}, Stat. Probab. Lett. 206, Article ID 109995, 9 p. (2024; Zbl 07803692) Full Text: DOI
Choulli, Tahir; Schweizer, Martin New Stochastic Fubini Theorems. arXiv:2403.13791 Preprint, arXiv:2403.13791 [math.PR] (2024). MSC: 60H05 28B05 60G48 BibTeX Cite \textit{T. Choulli} and \textit{M. Schweizer}, ``New Stochastic Fubini Theorems'', Preprint, arXiv:2403.13791 [math.PR] (2024) Full Text: arXiv OA License
Wang, Hongjian; Ramdas, Aaditya Positive Semidefinite Supermartingales and Randomized Matrix Concentration Inequalities. arXiv:2401.15567 Preprint, arXiv:2401.15567 [math.PR] (2024). MSC: 60B20 60G48 62L10 BibTeX Cite \textit{H. Wang} and \textit{A. Ramdas}, ``Positive Semidefinite Supermartingales and Randomized Matrix Concentration Inequalities'', Preprint, arXiv:2401.15567 [math.PR] (2024) Full Text: arXiv OA License
Merlevède, Florence; Peligrad, Magda Functional central limit theorem via nonstationary projective conditions. (English) Zbl 07814328 Adamczak, Radosław (ed.) et al., High dimensional probability IX. The ethereal volume. Selected papers based on the presentations at the 9th conference, virtual, June 15–19, 2020. Cham: Springer. Prog. Probab. 80, 229-254 (2023). Reviewer: Rózsa Horváth-Bokor (Budakalász) MSC: 60F17 60G48 PDFBibTeX XMLCite \textit{F. Merlevède} and \textit{M. Peligrad}, Prog. Probab. 80, 229--254 (2023; Zbl 07814328) Full Text: DOI
Bo, Lijun; Capponi, Agostino; Zhou, Chao Power forward performance in semimartingale markets with stochastic integrated factors. (English) Zbl 07808939 Math. Oper. Res. 48, No. 1, 288-312 (2023). MSC: 91G10 60G48 49L12 45K05 PDFBibTeX XMLCite \textit{L. Bo} et al., Math. Oper. Res. 48, No. 1, 288--312 (2023; Zbl 07808939) Full Text: DOI arXiv
El Jamali, Mohamed; Tayeq, Hatim PDEs for reflected BSDENMs applied to American options. (English) Zbl 07806893 Int. J. Theor. Appl. Finance 26, No. 6-7, Article ID 2330001, 22 p. (2023). MSC: 91G20 60H15 60G48 PDFBibTeX XMLCite \textit{M. El Jamali} and \textit{H. Tayeq}, Int. J. Theor. Appl. Finance 26, No. 6--7, Article ID 2330001, 22 p. (2023; Zbl 07806893) Full Text: DOI
Zhang, Xiaomei; Feng, Decheng Concave Young functions inequalities and an application for strong demimartingales and \(\mathcal{F}\)-strong demimartingales. (English) Zbl 07802815 J. Stat. Theory Pract. 17, No. 4, Paper No. 50, 13 p. (2023). MSC: 60E15 60G48 60F15 PDFBibTeX XMLCite \textit{X. Zhang} and \textit{D. Feng}, J. Stat. Theory Pract. 17, No. 4, Paper No. 50, 13 p. (2023; Zbl 07802815) Full Text: DOI
Hadjikyriakou, Milto; Prakasa Rao, B. L. S. Maximal inequalities and convergence results on multidimensionally indexed demimartingales. (English) Zbl 07802813 J. Stat. Theory Pract. 17, No. 4, Paper No. 48, 34 p. (2023). Reviewer: Fraser Daly (Edinburgh) MSC: 60E15 60F15 60G42 60G48 PDFBibTeX XMLCite \textit{M. Hadjikyriakou} and \textit{B. L. S. Prakasa Rao}, J. Stat. Theory Pract. 17, No. 4, Paper No. 48, 34 p. (2023; Zbl 07802813) Full Text: DOI arXiv
Catuogno, Pedro; Stelmastchuk, Simão N. Martingales on principal fiber bundles. (English) Zbl 07794186 Proyecciones 42, No. 4, 1051-1065 (2023). MSC: 53C43 60H30 60G48 PDFBibTeX XMLCite \textit{P. Catuogno} and \textit{S. N. Stelmastchuk}, Proyecciones 42, No. 4, 1051--1065 (2023; Zbl 07794186) Full Text: DOI arXiv
Bladt, Martin; Shaiderman, Dimitry On the characterization of exchangeable sequences through reverse-martingale empirical distributions. (English) Zbl 1528.60030 Electron. Commun. Probab. 28, Paper No. 56, 11 p. (2023). MSC: 60G09 60G48 62G30 PDFBibTeX XMLCite \textit{M. Bladt} and \textit{D. Shaiderman}, Electron. Commun. Probab. 28, Paper No. 56, 11 p. (2023; Zbl 1528.60030) Full Text: DOI arXiv
Platen, Eckhard; Tappe, Stefan No arbitrage and multiplicative special semimartingales. (English) Zbl 07779240 Adv. Appl. Probab. 55, No. 3, 1033-1074 (2023). MSC: 91G10 60G48 PDFBibTeX XMLCite \textit{E. Platen} and \textit{S. Tappe}, Adv. Appl. Probab. 55, No. 3, 1033--1074 (2023; Zbl 07779240) Full Text: DOI arXiv
Giraudo, Davide An exponential inequality for orthomartingale difference random fields and some applications. (Une Inégalité exponentielle pour des champs de type accroissements d’orthomartingales et quelques applications.) (English. French summary) Zbl 07747036 Ann. Henri Lebesgue 6, 575-594 (2023). Reviewer: Moritz Jirak (Vienna) MSC: 60F17 60G48 60G60 PDFBibTeX XMLCite \textit{D. Giraudo}, Ann. Henri Lebesgue 6, 575--594 (2023; Zbl 07747036) Full Text: DOI arXiv
Platen, Eckhard; Tappe, Stefan Exploiting arbitrage requires short selling. (English) Zbl 1522.91250 Front. Math. Finance 2, No. 3, 265-282 (2023). MSC: 91G15 60G48 PDFBibTeX XMLCite \textit{E. Platen} and \textit{S. Tappe}, Front. Math. Finance 2, No. 3, 265--282 (2023; Zbl 1522.91250) Full Text: DOI arXiv
El-Louh, M’hamed; El Allali, Mohammed; Ezzaki, Fatima Convergence theorem of Pettis integrable multivalued pramart. (English) Zbl 1523.60079 Arab J. Math. Sci. 29, No. 2, 204-227 (2023). MSC: 60G48 28B20 46G10 PDFBibTeX XMLCite \textit{M. El-Louh} et al., Arab J. Math. Sci. 29, No. 2, 204--227 (2023; Zbl 1523.60079) Full Text: DOI
Mancini, Cecilia Drift burst test statistic in the presence of infinite variation jumps. (English) Zbl 07726180 Stochastic Processes Appl. 163, 535-591 (2023). MSC: 62G20 60G48 60E10 60G52 PDFBibTeX XMLCite \textit{C. Mancini}, Stochastic Processes Appl. 163, 535--591 (2023; Zbl 07726180) Full Text: DOI
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
Bayraktar, Erhan; Deng, Shuoqing; Norgilas, Dominykas Supermartingale Brenier’s theorem with full-marginals constraint. (English) Zbl 1520.91438 Front. Math. Finance 2, No. 2, 202-243 (2023). MSC: 91G80 60G48 PDFBibTeX XMLCite \textit{E. Bayraktar} et al., Front. Math. Finance 2, No. 2, 202--243 (2023; Zbl 1520.91438) Full Text: DOI arXiv
Choulli, Tahir; Alharbi, Ferdoos Representation for martingales living after a random time with applications. (English) Zbl 1520.91385 Front. Math. Finance 2, No. 2, 170-201 (2023). MSC: 91G15 60G48 PDFBibTeX XMLCite \textit{T. Choulli} and \textit{F. Alharbi}, Front. Math. Finance 2, No. 2, 170--201 (2023; Zbl 1520.91385) Full Text: DOI arXiv
Criens, David Propagation of chaos for weakly interacting mild solutions to stochastic partial differential equations. (English) Zbl 1522.60055 J. Stat. Phys. 190, No. 6, Paper No. 114, 40 p. (2023). Reviewer: Alexandra Rodkina (College Station) MSC: 60H15 60G48 60B10 PDFBibTeX XMLCite \textit{D. Criens}, J. Stat. Phys. 190, No. 6, Paper No. 114, 40 p. (2023; Zbl 1522.60055) Full Text: DOI arXiv
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
El Omari, Mohamed Mixtures of higher-order fractional Brownian motions. (English) Zbl 07706310 Commun. Stat., Theory Methods 52, No. 12, 4200-4215 (2023). MSC: 60G18 60G22 60G48 PDFBibTeX XMLCite \textit{M. El Omari}, Commun. Stat., Theory Methods 52, No. 12, 4200--4215 (2023; Zbl 07706310) Full Text: DOI
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
Vidyasagar, M. Convergence of stochastic approximation via martingale and converse Lyapunov methods. (English) Zbl 1518.93148 Math. Control Signals Syst. 35, No. 2, 351-374 (2023). MSC: 93E15 93D20 60G48 PDFBibTeX XMLCite \textit{M. Vidyasagar}, Math. Control Signals Syst. 35, No. 2, 351--374 (2023; Zbl 1518.93148) Full Text: DOI arXiv
Isohätälä, Jukka; Haskell, William B. A dynamic analytic method for risk-aware controlled martingale problems. (English) Zbl 1518.93154 Ann. Appl. Probab. 33, No. 3, 1661-1700 (2023). MSC: 93E20 60G48 90C30 PDFBibTeX XMLCite \textit{J. Isohätälä} and \textit{W. B. Haskell}, Ann. Appl. Probab. 33, No. 3, 1661--1700 (2023; Zbl 1518.93154) Full Text: DOI arXiv
Randrianantoanina, Narcisse P. Jones’ interpolation theorem for noncommutative martingale Hardy spaces. (English) Zbl 1517.46048 Trans. Am. Math. Soc. 376, No. 3, 2089-2124 (2023). MSC: 46L52 46L53 46B70 46E30 60G42 60G48 PDFBibTeX XMLCite \textit{N. Randrianantoanina}, Trans. Am. Math. Soc. 376, No. 3, 2089--2124 (2023; Zbl 1517.46048) Full Text: DOI arXiv
Feng, Decheng; Zhang, Xiaomei Maximal inequalities and the strong law of large numbers for strong demimartingales. (English) Zbl 1499.60055 Stat. Probab. Lett. 193, Article ID 109708, 7 p. (2023). MSC: 60E15 60F15 60G48 PDFBibTeX XMLCite \textit{D. Feng} and \textit{X. Zhang}, Stat. Probab. Lett. 193, Article ID 109708, 7 p. (2023; Zbl 1499.60055) Full Text: DOI
Ciosmak, Krzysztof J. General localisation scheme II: applications. arXiv:2312.13167 Preprint, arXiv:2312.13167 [math.PR] (2023). MSC: 49N05 49Q22 60D05 60G42 60G48 06B23 28A50 46E05 BibTeX Cite \textit{K. J. Ciosmak}, ``General localisation scheme II: applications'', Preprint, arXiv:2312.13167 [math.PR] (2023) Full Text: arXiv OA License
Ciosmak, Krzysztof J. General localisation scheme I: theory. arXiv:2312.12281 Preprint, arXiv:2312.12281 [math.PR] (2023). MSC: 49N05 49Q22 60D05 60G42 60G48 06B23 28A50 46E05 BibTeX Cite \textit{K. J. Ciosmak}, ``General localisation scheme I: theory'', Preprint, arXiv:2312.12281 [math.PR] (2023) Full Text: arXiv OA License
Wang, Christopher Independence and conditional independence in discrete-time dynamic allocation problems. arXiv:2312.09350 Preprint, arXiv:2312.09350 [math.PR] (2023). MSC: 93E20 60G40 60G48 90B35 90C24 BibTeX Cite \textit{C. Wang}, ``Independence and conditional independence in discrete-time dynamic allocation problems'', Preprint, arXiv:2312.09350 [math.PR] (2023) Full Text: arXiv OA License
Keskin, Ata A Formalization of Martingales in Isabelle/HOL. arXiv:2311.06188 Preprint, arXiv:2311.06188 [cs.LO] (2023). MSC: 60G48 60G07 BibTeX Cite \textit{A. Keskin}, ``A Formalization of Martingales in Isabelle/HOL'', Preprint, arXiv:2311.06188 [cs.LO] (2023) Full Text: arXiv OA License
Cambronero, Santiago; Campos, David; Fonseca-Mora, C. A.; Mena, Darío Cylindrical Martingale-Valued Measures, Stochastic Integration and SPDEs. arXiv:2308.10374 Preprint, arXiv:2308.10374 [math.PR] (2023). MSC: 60H05 60H15 60B11 60G48 BibTeX Cite \textit{S. Cambronero} et al., ``Cylindrical Martingale-Valued Measures, Stochastic Integration and SPDEs'', Preprint, arXiv:2308.10374 [math.PR] (2023) Full Text: arXiv OA License
Fießinger, Felix; Stadje, Mitja The \(C^{0,1}\) Itô-Ventzell formula for weak Dirichlet processes. arXiv:2307.16519 Preprint, arXiv:2307.16519 [math.PR] (2023). MSC: 60H05 60G48 60G44 60J65 BibTeX Cite \textit{F. Fießinger} and \textit{M. Stadje}, ``The $C^{0,1}$ It\^o-Ventzell formula for weak Dirichlet processes'', Preprint, arXiv:2307.16519 [math.PR] (2023) Full Text: arXiv OA License
Li, Hsin-Lun Application of the Fermi function in money exchange. arXiv:2307.01617 Preprint, arXiv:2307.01617 [math.DS] (2023). MSC: 91C20 91D25 91D30 94C15 60G48 BibTeX Cite \textit{H.-L. Li}, ``Application of the Fermi function in money exchange'', Preprint, arXiv:2307.01617 [math.DS] (2023) Full Text: arXiv OA License
Van Belle, Ruben A categorical treatment of the Radon-Nikodym theorem and martingales. arXiv:2305.03421 Preprint, arXiv:2305.03421 [math.CT] (2023). MSC: 18A40 46B22 18D20 60G42 60G48 BibTeX Cite \textit{R. Van Belle}, ``A categorical treatment of the Radon-Nikodym theorem and martingales'', Preprint, arXiv:2305.03421 [math.CT] (2023) Full Text: arXiv OA License
Chong, Carsten H.; Todorov, Viktor Asymptotic Expansions for High-Frequency Option Data. arXiv:2304.12450 Preprint, arXiv:2304.12450 [q-fin.ST] (2023). MSC: 60E10 60G48 62M99 62P20 BibTeX Cite \textit{C. H. Chong} and \textit{V. Todorov}, ``Asymptotic Expansions for High-Frequency Option Data'', Preprint, arXiv:2304.12450 [q-fin.ST] (2023) Full Text: arXiv OA License
Fonseca-Mora, C. A. Convergence Uniform on Compacts in Probability with Applications to Stochastic Analysis in Duals of Nuclear Spaces. arXiv:2303.17082 Preprint, arXiv:2303.17082 [math.PR] (2023). MSC: 60B11 60G48 60H05 60H15 BibTeX Cite \textit{C. A. Fonseca-Mora}, ``Convergence Uniform on Compacts in Probability with Applications to Stochastic Analysis in Duals of Nuclear Spaces'', Preprint, arXiv:2303.17082 [math.PR] (2023) Full Text: arXiv OA License
Bayraktar, Erhan; Kim, Donghan; Tilva, Abhishek Quantifying dimensional change in stochastic portfolio theory. arXiv:2303.00858 Preprint, arXiv:2303.00858 [q-fin.MF] (2023). MSC: 60G48 60H05 91G10 BibTeX Cite \textit{E. Bayraktar} et al., ``Quantifying dimensional change in stochastic portfolio theory'', Preprint, arXiv:2303.00858 [q-fin.MF] (2023) Full Text: arXiv OA License
Basse-O’Connor, Andreas; Podolskij, Mark Asymptotic theory for quadratic variation of harmonizable fractional stable processes. arXiv:2302.14034 Preprint, arXiv:2302.14034 [math.PR] (2023). MSC: 60F05 60F15 60G22 60G48 60H05 BibTeX Cite \textit{A. Basse-O'Connor} and \textit{M. Podolskij}, ``Asymptotic theory for quadratic variation of harmonizable fractional stable processes'', Preprint, arXiv:2302.14034 [math.PR] (2023) Full Text: arXiv OA License
Hongler, Max-Olivier; Rinaldo, Daniele Skew-Normal Diffusions. arXiv:2301.09225 Preprint, arXiv:2301.09225 [math.PR] (2023). MSC: 60H10 60J60 35Q84 60G46 60G48 60J70 BibTeX Cite \textit{M.-O. Hongler} and \textit{D. Rinaldo}, ``Skew-Normal Diffusions'', Preprint, arXiv:2301.09225 [math.PR] (2023) Full Text: arXiv OA License
Ju, Jie; Chen, Wei; Cui, Jingya; Zhang, Chao Characterizations of \(A_\infty\) Weights in Martingale Spaces. arXiv:2301.05857 Preprint, arXiv:2301.05857 [math.PR] (2023). MSC: 60G46 60G48 60G42 BibTeX Cite \textit{J. Ju} et al., ``Characterizations of $A_\infty$ Weights in Martingale Spaces'', Preprint, arXiv:2301.05857 [math.PR] (2023) Full Text: arXiv OA License
Sigarreta, Saylé C.; Sigarreta, Saylí M.; Cruz-Suárez, Hugo On degree-based topological indices of random polyomino chains. (English) Zbl 1510.92277 Math. Biosci. Eng. 19, No. 9, 8760-8773 (2022). MSC: 92E10 05C92 05C09 60G48 PDFBibTeX XMLCite \textit{S. C. Sigarreta} et al., Math. Biosci. Eng. 19, No. 9, 8760--8773 (2022; Zbl 1510.92277) Full Text: DOI
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
Monoyios, Michael Duality for optimal consumption under no unbounded profit with bounded risk. (English) Zbl 1499.91129 Ann. Appl. Probab. 32, No. 5, 3572-3613 (2022). MSC: 91G15 60G48 PDFBibTeX XMLCite \textit{M. Monoyios}, Ann. Appl. Probab. 32, No. 5, 3572--3613 (2022; Zbl 1499.91129) 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
Bryc, Włodzimierz; Wesołowski, Jacek; Zięba, Agnieszka Flows in near algebras with applications to harnesses. (English) Zbl 1509.16028 Colloq. Math. 170, No. 2, 211-238 (2022). MSC: 16S99 16Y30 60G48 PDFBibTeX XMLCite \textit{W. Bryc} et al., Colloq. Math. 170, No. 2, 211--238 (2022; Zbl 1509.16028) Full Text: DOI arXiv
Farvazova, A. A. Robust utility maximization in terms of supermartingale measures. (English. Russian original) Zbl 1503.60052 Mosc. Univ. Math. Bull. 77, No. 1, 20-26 (2022); translation from Vestn. Mosk. Univ., Ser. I 77, No. 1, 19-24 (2022). MSC: 60G48 91G15 PDFBibTeX XMLCite \textit{A. A. Farvazova}, Mosc. Univ. Math. Bull. 77, No. 1, 20--26 (2022; Zbl 1503.60052); translation from Vestn. Mosk. Univ., Ser. I 77, No. 1, 19--24 (2022) Full Text: DOI
Bálint, Dániel Ágoston; Schweizer, Martin Making no-arbitrage discounting-invariant: a new FTAP version beyond NFLVR and NUPBR. (English) Zbl 1498.91411 Front. Math. Finance 1, No. 2, 249-286 (2022). MSC: 91G15 60G48 PDFBibTeX XMLCite \textit{D. Á. Bálint} and \textit{M. Schweizer}, Front. Math. Finance 1, No. 2, 249--286 (2022; Zbl 1498.91411) Full Text: DOI
Jarrow, Robert; Protter, Philip; San Martin, Jaime Asset price bubbles: invariance theorems. (English) Zbl 1498.91469 Front. Math. Finance 1, No. 2, 161-188 (2022). MSC: 91G30 60G48 PDFBibTeX XMLCite \textit{R. Jarrow} et al., Front. Math. Finance 1, No. 2, 161--188 (2022; Zbl 1498.91469) Full Text: DOI
Beimel, Amos; Haitner, Iftach; Makriyannis, Nikolaos; Omri, Eran Tighter bounds on multiparty coin flipping via augmented weak martingales and differentially private sampling. (English) Zbl 1495.94042 SIAM J. Comput. 51, No. 4, 1126-1171 (2022). Reviewer: Jaak Henno (Tallinn) MSC: 94A60 68Q25 60G48 PDFBibTeX XMLCite \textit{A. Beimel} et al., SIAM J. Comput. 51, No. 4, 1126--1171 (2022; Zbl 1495.94042) Full Text: DOI arXiv
Christofides, Tasos C.; Charalambous, Charalambos New maximal inequalities for reverse demimartingales and reverse demisubmartingales. (English) Zbl 1491.60037 J. Stat. Theory Pract. 16, No. 3, Paper No. 39, 15 p. (2022). MSC: 60E15 60G48 PDFBibTeX XMLCite \textit{T. C. Christofides} and \textit{C. Charalambous}, J. Stat. Theory Pract. 16, No. 3, Paper No. 39, 15 p. (2022; Zbl 1491.60037) Full Text: DOI
Chawla, Shuchi; Devanur, Nikhil R.; Karlin, Anna R.; Sivan, Balasubramanian Simple pricing schemes for consumers with evolving values. (English) Zbl 1497.91119 Games Econ. Behav. 134, 344-360 (2022). MSC: 91B24 60G48 PDFBibTeX XMLCite \textit{S. Chawla} et al., Games Econ. Behav. 134, 344--360 (2022; Zbl 1497.91119) Full Text: DOI
Dedecker, Jérôme; Merlevède, Florence; Rio, Emmanuel Rates of convergence in the central limit theorem for martingales in the non stationary setting. (English. French summary) Zbl 1492.60054 Ann. Inst. Henri Poincaré, Probab. Stat. 58, No. 2, 945-966 (2022). MSC: 60F05 60G42 60G48 PDFBibTeX XMLCite \textit{J. Dedecker} et al., Ann. Inst. Henri Poincaré, Probab. Stat. 58, No. 2, 945--966 (2022; Zbl 1492.60054) Full Text: DOI arXiv
Choi, Soon Hyeok; Jarrow, Robert A. Applying the local martingale theory of bubbles to cryptocurrencies. (English) Zbl 1496.91102 Int. J. Theor. Appl. Finance 25, No. 3, Article ID 2250013, 25 p. (2022). MSC: 91G99 60G48 PDFBibTeX XMLCite \textit{S. H. Choi} and \textit{R. A. Jarrow}, Int. J. Theor. Appl. Finance 25, No. 3, Article ID 2250013, 25 p. (2022; Zbl 1496.91102) Full Text: DOI
Choulli, Tahir; Yansori, Sina Log-optimal and numéraire portfolios for market models stopped at a random time. (English) Zbl 1494.91133 Finance Stoch. 26, No. 3, 535-585 (2022). MSC: 91G10 60G48 94A17 PDFBibTeX XMLCite \textit{T. Choulli} and \textit{S. Yansori}, Finance Stoch. 26, No. 3, 535--585 (2022; Zbl 1494.91133) Full Text: DOI
Friz, Peter K.; Hager, Paul P.; Tapia, Nikolas Unified signature cumulants and generalized Magnus expansions. (English) Zbl 1527.60083 Forum Math. Sigma 10, Paper No. e42, 60 p. (2022). MSC: 60L10 60L90 60E10 60G44 60G48 60G51 60J76 PDFBibTeX XMLCite \textit{P. K. Friz} et al., Forum Math. Sigma 10, Paper No. e42, 60 p. (2022; Zbl 1527.60083) Full Text: DOI arXiv
Xu, Mingzhou; Cheng, Kun How small are the increments of \(G\)-Brownian motion. (English) Zbl 1492.60144 Stat. Probab. Lett. 186, Article ID 109464, 9 p. (2022). MSC: 60G65 60G15 60G50 60H10 60G48 PDFBibTeX XMLCite \textit{M. Xu} and \textit{K. Cheng}, Stat. Probab. Lett. 186, Article ID 109464, 9 p. (2022; Zbl 1492.60144) Full Text: DOI
Müller, Paul F. X. Hardy martingales. Stochastic holomorphy, \(L^1\)-embeddings, and isomorphic invariants. (English) Zbl 1511.60002 New Mathematical Monographs 43. Cambridge: Cambridge University Press (ISBN 978-1-108-83867-2/hbk; 978-1-108-97601-5/ebook). xvi, 500 p. (2022). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 60-02 60B99 60G44 60G46 60G48 60H05 PDFBibTeX XMLCite \textit{P. F. X. Müller}, Hardy martingales. Stochastic holomorphy, \(L^1\)-embeddings, and isomorphic invariants. Cambridge: Cambridge University Press (2022; Zbl 1511.60002) Full Text: DOI
Garnier, Rémy; Langhendries, Raphaël Concentration inequalities for non-causal random fields. (English) Zbl 1490.60129 Electron. J. Stat. 16, No. 1, 1681-1725 (2022). MSC: 60G60 60G48 60E15 68Q32 62M45 PDFBibTeX XMLCite \textit{R. Garnier} and \textit{R. Langhendries}, Electron. J. Stat. 16, No. 1, 1681--1725 (2022; Zbl 1490.60129) Full Text: DOI Link
Obiang, Fulgence Eyi; Moutsinga, Octave; Ouknine, Youssef An ideal class to construct solutions for skew Brownian motion equations. (English) Zbl 1502.60037 J. Theor. Probab. 35, No. 2, 894-916 (2022). MSC: 60G07 60G20 60G46 60G48 PDFBibTeX XMLCite \textit{F. E. Obiang} et al., J. Theor. Probab. 35, No. 2, 894--916 (2022; Zbl 1502.60037) Full Text: DOI arXiv
Jackson, Joe; Žitković, Gordan A characterization of solutions of quadratic BSDEs and a new approach to existence. (English) Zbl 1492.60172 Stochastic Processes Appl. 147, 210-225 (2022). MSC: 60H10 60H30 60G48 PDFBibTeX XMLCite \textit{J. Jackson} and \textit{G. Žitković}, Stochastic Processes Appl. 147, 210--225 (2022; Zbl 1492.60172) Full Text: DOI arXiv
Bálint, Dániel Ágoston Characterisation of \(L^0\)-boundedness for a general set of processes with no strictly positive element. (English) Zbl 1492.60115 Stochastic Processes Appl. 147, 51-75 (2022). MSC: 60G48 91B02 PDFBibTeX XMLCite \textit{D. Á. Bálint}, Stochastic Processes Appl. 147, 51--75 (2022; Zbl 1492.60115) Full Text: DOI arXiv
Černý, Aleš; Ruf, Johannes Simplified stochastic calculus via semimartingale representations. (English) Zbl 1490.60103 Electron. J. Probab. 27, Paper No. 3, 32 p. (2022). MSC: 60G48 60H05 60G07 60G44 PDFBibTeX XMLCite \textit{A. Černý} and \textit{J. Ruf}, Electron. J. Probab. 27, Paper No. 3, 32 p. (2022; Zbl 1490.60103) Full Text: DOI arXiv
Bayraktar, Erhan; Kim, Donghan; Tilva, Abhishek Arbitrage theory in a market of stochastic dimension. arXiv:2212.04623 Preprint, arXiv:2212.04623 [q-fin.MF] (2022). MSC: 60G48 91G10 60H05 60H30 BibTeX Cite \textit{E. Bayraktar} et al., ``Arbitrage theory in a market of stochastic dimension'', Preprint, arXiv:2212.04623 [q-fin.MF] (2022) Full Text: arXiv OA License
Criens, David; Urusov, Mikhail Separating Times for One-Dimensional Diffusions. arXiv:2211.06042 Preprint, arXiv:2211.06042 [math.PR] (2022). MSC: 60G30 60G44 60G48 60H30 60J55 60J60 91B70 91G15 BibTeX Cite \textit{D. Criens} and \textit{M. Urusov}, ``Separating Times for One-Dimensional Diffusions'', Preprint, arXiv:2211.06042 [math.PR] (2022) Full Text: arXiv OA License
Karagulyan, Grigori A. Sharp inequalities involving multiplicative chaos sums. arXiv:2212.05431 Preprint, arXiv:2212.05431 [math.PR] (2022). MSC: 42C05 42C10 42A55 60G42 60G48 BibTeX Cite \textit{G. A. Karagulyan}, ``Sharp inequalities involving multiplicative chaos sums'', Preprint, arXiv:2212.05431 [math.PR] (2022) Full Text: arXiv OA License
Obiang, Fulgence Eyi; Mbenangoya, Paule Joyce; MBA, Magloire Yorick Nguema; Moutsinga, Octave A new class of stochastic processes with great potential for interesting applications. arXiv:2210.01524 Preprint, arXiv:2210.01524 [math.PR] (2022). MSC: 60G07 60G20 60G46 60G48 BibTeX Cite \textit{F. E. Obiang} et al., ``A new class of stochastic processes with great potential for interesting applications'', Preprint, arXiv:2210.01524 [math.PR] (2022) Full Text: arXiv OA License
Obiang, Fulgence Eyi; Mbenangoya, Paule Joyce; Faye, Ibrahima; Moutsinga, Octave Stochastic differential equations driven by relative martingales. arXiv:2210.00809 Preprint, arXiv:2210.00809 [math.PR] (2022). MSC: 60G07 60G20 60G46 60G48 BibTeX Cite \textit{F. E. Obiang} et al., ``Stochastic differential equations driven by relative martingales'', Preprint, arXiv:2210.00809 [math.PR] (2022) Full Text: arXiv OA License
Kuo, Hui-Hsiung; Shrestha, Pujan; Sinha, Sudip; Sundar, Padmanabhan On near-martingales and a class of anticipating linear SDEs. arXiv:2204.01932 Preprint, arXiv:2204.01932 [math.PR] (2022). MSC: 60H10 60F10 60G48 60G40 60H05 60H07 60H20 BibTeX Cite \textit{H.-H. Kuo} et al., ``On near-martingales and a class of anticipating linear SDEs'', Preprint, arXiv:2204.01932 [math.PR] (2022) Full Text: arXiv OA License
Privault, Nicolas Invariance of Poisson point processes by moment identities with statistical applications. (English) Zbl 1499.60157 Ugolini, Stefania (ed.) et al., Geometry and invariance in stochastic dynamics. Selected papers based on the presentations at the the conference on random transformations and invariance in stochastic dynamics, Verona, Italy, March 25–29, 2019. Cham: Springer. Springer Proc. Math. Stat. 378, 247-265 (2021). MSC: 60G57 60G55 60D05 60G40 60G48 60H07 PDFBibTeX XMLCite \textit{N. Privault}, Springer Proc. Math. Stat. 378, 247--265 (2021; Zbl 1499.60157) Full Text: DOI
Ebrahimi-Fard, Kurusch; Patras, Frédéric Quasi-shuffle algebras in non-commutative stochastic calculus. (English) Zbl 1499.60167 Ugolini, Stefania (ed.) et al., Geometry and invariance in stochastic dynamics. Selected papers based on the presentations at the the conference on random transformations and invariance in stochastic dynamics, Verona, Italy, March 25–29, 2019. Cham: Springer. Springer Proc. Math. Stat. 378, 89-112 (2021). MSC: 60H05 60G48 16W99 PDFBibTeX XMLCite \textit{K. Ebrahimi-Fard} and \textit{F. Patras}, Springer Proc. Math. Stat. 378, 89--112 (2021; Zbl 1499.60167) Full Text: DOI arXiv
Song, Jian; Wang, Meng Stochastic maximum principle for systems driven by local martingales with spatial parameters. (English) Zbl 1492.93205 Probab. Uncertain. Quant. Risk 6, No. 3, 213-236 (2021). MSC: 93E20 60H10 60G48 PDFBibTeX XMLCite \textit{J. Song} and \textit{M. Wang}, Probab. Uncertain. Quant. Risk 6, No. 3, 213--236 (2021; Zbl 1492.93205) Full Text: DOI arXiv
Gümbel, Sandrine; Schmidt, Thorsten Defaultable term structures driven by semimartingales. (English) Zbl 1492.91397 Int. J. Theor. Appl. Finance 24, No. 6-7, Article ID 2150032, 27 p. (2021). Reviewer: Stefan Tappe (Freiburg) MSC: 91G30 91G40 60G48 PDFBibTeX XMLCite \textit{S. Gümbel} and \textit{T. Schmidt}, Int. J. Theor. Appl. Finance 24, No. 6--7, Article ID 2150032, 27 p. (2021; Zbl 1492.91397) Full Text: DOI arXiv
Fonseca-Mora, Christian A. Stochastic integration with respect to cylindrical semimartingales. (English) Zbl 1491.60075 Electron. J. Probab. 26, Paper No. 147, 48 p. (2021). MSC: 60H05 60B11 60G20 60G48 PDFBibTeX XMLCite \textit{C. A. Fonseca-Mora}, Electron. J. Probab. 26, Paper No. 147, 48 p. (2021; Zbl 1491.60075) Full Text: DOI arXiv
Adeosun, Mabel Eruore; Ugbebor, Olabisi Oreofe Realized multi-power variation process for jump detection in the Nigerian all share index. (English) Zbl 1493.62576 Tamkang J. Math. 52, No. 3, 397-412 (2021). MSC: 62P05 60G48 60F17 PDFBibTeX XMLCite \textit{M. E. Adeosun} and \textit{O. O. Ugbebor}, Tamkang J. Math. 52, No. 3, 397--412 (2021; Zbl 1493.62576) Full Text: DOI
Xu, Mingzhou; Cheng, Kun Convergence for sums of i.i.d. random variables under sublinear expectations. (English) Zbl 1504.60052 J. Inequal. Appl. 2021, Paper No. 157, 14 p. (2021). MSC: 60F15 60F05 60G48 60H10 60F17 PDFBibTeX XMLCite \textit{M. Xu} and \textit{K. Cheng}, J. Inequal. Appl. 2021, Paper No. 157, 14 p. (2021; Zbl 1504.60052) Full Text: DOI arXiv
Azouzi, Youssef; Ramdane, Kawtar Burkholder theorem in Riesz spaces. (English) Zbl 1481.60086 Positivity 25, No. 5, 2157-2171 (2021). Reviewer: Ivan Podvigin (Novosibirsk) MSC: 60G48 60B12 46A40 PDFBibTeX XMLCite \textit{Y. Azouzi} and \textit{K. Ramdane}, Positivity 25, No. 5, 2157--2171 (2021; Zbl 1481.60086) Full Text: DOI arXiv
Zorin-Kranich, Pavel \(A_1\) Fefferman-Stein inequality for maximal functions of martingales in uniformly smooth spaces. (English) Zbl 1489.60068 Electron. J. Probab. 26, Paper No. 120, 18 p. (2021). Reviewer: Nikolaos Fountoulakis (Birmingham) MSC: 60G42 60E15 60G46 60G48 PDFBibTeX XMLCite \textit{P. Zorin-Kranich}, Electron. J. Probab. 26, Paper No. 120, 18 p. (2021; Zbl 1489.60068) Full Text: DOI arXiv
Abdelghani, M.; Melnikov, A.; Pak, A. On Krylov’s estimates for optional semimartingales. (English) Zbl 1479.60085 Random Oper. Stoch. Equ. 29, No. 3, 161-171 (2021). MSC: 60G48 60H25 60E15 PDFBibTeX XMLCite \textit{M. Abdelghani} et al., Random Oper. Stoch. Equ. 29, No. 3, 161--171 (2021; Zbl 1479.60085) Full Text: DOI
Gu, Lingqi; Lin, Yiqing; Yang, Junjian Utility maximization problem with transaction costs: optimal dual processes and stability. (English) Zbl 1471.91540 Appl. Math. Optim. 84, No. 2, 1903-1922 (2021). MSC: 91G15 91G80 49N15 60G48 PDFBibTeX XMLCite \textit{L. Gu} et al., Appl. Math. Optim. 84, No. 2, 1903--1922 (2021; Zbl 1471.91540) Full Text: DOI arXiv
Harms, Philipp; Liu, Chong; Neufeld, Ariel Supermartingale deflators in the absence of a numéraire. (English) Zbl 1471.91541 Math. Financ. Econ. 15, No. 4, 885-915 (2021). MSC: 91G15 60G48 PDFBibTeX XMLCite \textit{P. Harms} et al., Math. Financ. Econ. 15, No. 4, 885--915 (2021; Zbl 1471.91541) Full Text: DOI arXiv
Li, Jia; Liu, Yunxiao Efficient estimation of integrated volatility functionals under general volatility dynamics. (English) Zbl 1473.62387 Econom. Theory 37, No. 4, 664-707 (2021). MSC: 62P20 62R10 62G20 60G48 PDFBibTeX XMLCite \textit{J. Li} and \textit{Y. Liu}, Econom. Theory 37, No. 4, 664--707 (2021; Zbl 1473.62387) Full Text: DOI
Paluszynski, Maciej; Zienkiewicz, Jacek A remark on atomic decompositions of martingale Hardy’s spaces. (English) Zbl 1471.42045 J. Geom. Anal. 31, No. 9, 8866-8878 (2021). MSC: 42B25 42B30 60G48 60G42 PDFBibTeX XMLCite \textit{M. Paluszynski} and \textit{J. Zienkiewicz}, J. Geom. Anal. 31, No. 9, 8866--8878 (2021; Zbl 1471.42045) Full Text: DOI
Christiansen, Marcus C. Time-dynamic evaluations under non-monotone information generated by marked point processes. (English) Zbl 1470.91302 Finance Stoch. 25, No. 3, 563-596 (2021). MSC: 91G40 60G48 91G05 PDFBibTeX XMLCite \textit{M. C. Christiansen}, Finance Stoch. 25, No. 3, 563--596 (2021; Zbl 1470.91302) Full Text: DOI arXiv
Clinet, Simon; Potiron, Yoann Cointegration in high frequency data. (English) Zbl 1472.62134 Electron. J. Stat. 15, No. 1, 1263-1327 (2021). MSC: 62M10 62M07 60G48 62P05 PDFBibTeX XMLCite \textit{S. Clinet} and \textit{Y. Potiron}, Electron. J. Stat. 15, No. 1, 1263--1327 (2021; Zbl 1472.62134) Full Text: DOI arXiv
Karagulyan, Grigori A. Probability inequalities for multiplicative sequences of random variables. (English) Zbl 1469.42027 Proc. Am. Math. Soc. 149, No. 9, 3725-3737 (2021). MSC: 42C05 42C10 42A55 60G42 60G48 PDFBibTeX XMLCite \textit{G. A. Karagulyan}, Proc. Am. Math. Soc. 149, No. 9, 3725--3737 (2021; Zbl 1469.42027) Full Text: DOI arXiv
Inatsugu, Haruhiko; Yoshida, Nakahiro Global jump filters and quasi-likelihood analysis for volatility. (English) Zbl 1469.62351 Ann. Inst. Stat. Math. 73, No. 3, 555-598 (2021). MSC: 62M20 60H10 60G48 PDFBibTeX XMLCite \textit{H. Inatsugu} and \textit{N. Yoshida}, Ann. Inst. Stat. Math. 73, No. 3, 555--598 (2021; Zbl 1469.62351) Full Text: DOI arXiv
Erkurşun-Özcan, Nazife; Gezer, Niyazi Anıl Induced actions of \(\mathfrak{B} \)-Volterra operators on regular bounded martingale spaces. (English) Zbl 1482.47079 Indag. Math., New Ser. 32, No. 4, 861-882 (2021). MSC: 47B60 46B42 60G48 PDFBibTeX XMLCite \textit{N. Erkurşun-Özcan} and \textit{N. A. Gezer}, Indag. Math., New Ser. 32, No. 4, 861--882 (2021; Zbl 1482.47079) Full Text: DOI arXiv
Xia, Qi; Zhang, Chuanzhou The quasi-martingale Hardy spaces with variable exponents. (English) Zbl 1474.42091 Adv. Math., Beijing 50, No. 2, 277-289 (2021). MSC: 42B30 60G48 PDFBibTeX XMLCite \textit{Q. Xia} and \textit{C. Zhang}, Adv. Math., Beijing 50, No. 2, 277--289 (2021; Zbl 1474.42091)
Černý, Aleš; Ruf, Johannes Simplified stochastic calculus with applications in economics and finance. (English) Zbl 1487.60102 Eur. J. Oper. Res. 293, No. 2, 547-560 (2021). MSC: 60H05 60H10 60G44 60G48 60G51 91B02 91G80 PDFBibTeX XMLCite \textit{A. Černý} and \textit{J. Ruf}, Eur. J. Oper. Res. 293, No. 2, 547--560 (2021; Zbl 1487.60102) Full Text: DOI arXiv
Christiansen, Marcus C.; Furrer, Christian Dynamics of state-wise prospective reserves in the presence of non-monotone information. (English) Zbl 1460.91216 Insur. Math. Econ. 97, 81-98 (2021). MSC: 91G05 60G48 60H10 PDFBibTeX XMLCite \textit{M. C. Christiansen} and \textit{C. Furrer}, Insur. Math. Econ. 97, 81--98 (2021; Zbl 1460.91216) Full Text: DOI arXiv
Wang, Qi; Figueroa-López, José E.; Kuffner, Todd A. Bayesian inference on volatility in the presence of infinite jump activity and microstructure noise. (English) Zbl 1459.62203 Electron. J. Stat. 15, No. 1, 506-553 (2021). Reviewer: Apostolos Batsidis (Ioannina) MSC: 62P05 62M09 62F15 60G48 PDFBibTeX XMLCite \textit{Q. Wang} et al., Electron. J. Stat. 15, No. 1, 506--553 (2021; Zbl 1459.62203) Full Text: DOI arXiv Euclid
Cox, Alexander M. G.; Källblad, Sigrid; Larsson, Martin; Svaluto-Ferro, Sara Controlled Measure-Valued Martingales: a Viscosity Solution Approach. arXiv:2109.00064 Preprint, arXiv:2109.00064 [math.PR] (2021). MSC: 93E20 49L25 60G57 58J65 60G48 58C20 46T05 91G20 91A27 BibTeX Cite \textit{A. M. G. Cox} et al., ``Controlled Measure-Valued Martingales: a Viscosity Solution Approach'', Preprint, arXiv:2109.00064 [math.PR] (2021) Full Text: arXiv OA License
Persiau, Floris; De Bock, Jasper; de Cooman, Gert Computable randomness is about more than probabilities. (English) Zbl 1517.68149 Davis, Jesse (ed.) et al., Scalable uncertainty management. 14th international conference, SUM 2020, Bozen-Bolzano, Italy, September 23–25, 2020. Proceedings. Cham: Springer. Lect. Notes Comput. Sci. 12322, 172-186 (2020). MSC: 68Q30 60A99 60G48 PDFBibTeX XMLCite \textit{F. Persiau} et al., Lect. Notes Comput. Sci. 12322, 172--186 (2020; Zbl 1517.68149) Full Text: DOI arXiv
Criens, David On the existence of semimartingales with continuous characteristics. (English) Zbl 1490.60074 Stochastics 92, No. 5, 785-813 (2020). MSC: 60G07 60G48 60H10 PDFBibTeX XMLCite \textit{D. Criens}, Stochastics 92, No. 5, 785--813 (2020; Zbl 1490.60074) Full Text: DOI arXiv
Aït-Sahalia, Yacine; Jacod, Jean From tick data to semimartingales. (English) Zbl 1476.62218 Ann. Appl. Probab. 30, No. 6, 2740-2768 (2020). MSC: 62P05 62F12 62M05 60G48 60H10 60J60 PDFBibTeX XMLCite \textit{Y. Aït-Sahalia} and \textit{J. Jacod}, Ann. Appl. Probab. 30, No. 6, 2740--2768 (2020; Zbl 1476.62218) Full Text: DOI Link
Bálint, Dániel Ágoston; Schweizer, Martin Properly discounted asset prices are semimartingales. (English) Zbl 1461.91323 Math. Financ. Econ. 14, No. 4, 661-674 (2020). MSC: 91G30 60G48 PDFBibTeX XMLCite \textit{D. Á. Bálint} and \textit{M. Schweizer}, Math. Financ. Econ. 14, No. 4, 661--674 (2020; Zbl 1461.91323) Full Text: DOI
Černý, Aleš Semimartingale theory of monotone mean-variance portfolio allocation. (English) Zbl 1508.91496 Math. Finance 30, No. 3, 1168-1178 (2020). MSC: 91G10 60G48 PDFBibTeX XMLCite \textit{A. Černý}, Math. Finance 30, No. 3, 1168--1178 (2020; Zbl 1508.91496) Full Text: DOI arXiv
Liu, Guomin Exit times for semimartingales under nonlinear expectation. (English) Zbl 1473.60070 Stochastic Processes Appl. 130, No. 12, 7338-7362 (2020). Reviewer: Dominique Lépingle (Orléans) MSC: 60G40 60G44 60G48 60H10 PDFBibTeX XMLCite \textit{G. Liu}, Stochastic Processes Appl. 130, No. 12, 7338--7362 (2020; Zbl 1473.60070) Full Text: DOI arXiv