Chao, Tsung-Ming; Chou, Ching-Sung Anticipative stochastic intergral equations driven by semimartingales. (English) Zbl 1013.60025 Stochastic Anal. Appl. 20, No. 4, 755-782 (2002). Reviewer: A.Grorud (Marseille) MSC: 60G44 60H20 60H07 PDFBibTeX XMLCite \textit{T.-M. Chao} and \textit{C.-S. Chou}, Stochastic Anal. Appl. 20, No. 4, 755--782 (2002; Zbl 1013.60025) Full Text: DOI
Antonelli, Fabio; Barucci, Emilio; Mancino, Maria Elvira Asset pricing with endogeneous aspirations. (English) Zbl 1013.60040 Decis. Econ. Finance 24, No. 1, 21-39 (2001). Reviewer: A.Grorud (Marseille) MSC: 60H10 91B16 60H07 91G80 PDFBibTeX XMLCite \textit{F. Antonelli} et al., Decis. Econ. Finance 24, No. 1, 21--39 (2001; Zbl 1013.60040) Full Text: DOI
Peskir, G.; Shiryaev, A. N. A note on the call-put parity and a call-put duality. (English. Russian original) Zbl 1003.91028 Theory Probab. Appl. 46, No. 1, 167-170 (2001); translation from Teor. Veroyatn. Primen. 46, No. 1, 181-183 (2001). Reviewer: A.Grorud (Marseille) MSC: 91B28 91B70 PDFBibTeX XMLCite \textit{G. Peskir} and \textit{A. N. Shiryaev}, Theory Probab. Appl. 46, No. 1, 167--170 (2001; Zbl 1003.91028); translation from Teor. Veroyatn. Primen. 46, No. 1, 181--183 (2001) Full Text: DOI
Cruzeiro, Ana-Bela; Malliavin, Paul A class of anticipative tangent processes on the Wiener space. (English. Abridged French version) Zbl 0987.60065 C. R. Acad. Sci., Paris, Sér. I, Math. 333, No. 4, 353-358 (2001). Reviewer: A.Grorud (Marseille) MSC: 60H07 58J65 PDFBibTeX XMLCite \textit{A.-B. Cruzeiro} and \textit{P. Malliavin}, C. R. Acad. Sci., Paris, Sér. I, Math. 333, No. 4, 353--358 (2001; Zbl 0987.60065) Full Text: DOI
Amine, S. Stokes and Itô’s formulae for anticipative processes in two dimensions with non-monotonous time. (English) Zbl 0980.60078 Decreusefond, Laurent (ed.) et al., Stochastic analysis and related topics VII. Proceedings of the 7th Silivri workshop. Boston: Birkhäuser. Prog. Probab. 48, 125-147 (2001). Reviewer: A.Grorud (Marseille) MSC: 60H07 60H05 26B20 PDFBibTeX XMLCite \textit{S. Amine}, Prog. Probab. 48, 125--147 (2001; Zbl 0980.60078)
Jourdain, Benjamin; Martini, Claude American prices embedded in European prices. (English) Zbl 0982.60028 Ann. Inst. Henri Poincaré, Anal. Non Linéaire 18, No. 1, 1-17 (2001). Reviewer: A.Grorud (Marseille) MSC: 60G40 60G46 91B70 91B28 PDFBibTeX XMLCite \textit{B. Jourdain} and \textit{C. Martini}, Ann. Inst. Henri Poincaré, Anal. Non Linéaire 18, No. 1, 1--17 (2001; Zbl 0982.60028) Full Text: DOI Numdam EuDML
Mishura, Yu. S.; Ol’tsik, Ya. A. Choosing an optimal switching moment on the financial market with alternative strategies (semimartingale approach). (English. Russian original) Zbl 1001.91081 Theory Probab. Appl. 45, No. 3, 480-493 (2000); translation from Teor. Veroyatn. Primen. 45, No. 3, 505-520 (2000). Reviewer: A.Grorud (Marseille) MSC: 91B70 91B28 60G40 PDFBibTeX XMLCite \textit{Yu. S. Mishura} and \textit{Ya. A. Ol'tsik}, Theory Probab. Appl. 45, No. 3, 480--493 (2000; Zbl 1001.91081); translation from Teor. Veroyatn. Primen. 45, No. 3, 505--520 (2000) Full Text: DOI
León, Jorge A.; Nualart, David Anticipating integral equations. (English) Zbl 0980.60077 Potential Anal. 13, No. 3, 249-268 (2000). Reviewer: A.Grorud (Marseille) MSC: 60H07 60H20 PDFBibTeX XMLCite \textit{J. A. León} and \textit{D. Nualart}, Potential Anal. 13, No. 3, 249--268 (2000; Zbl 0980.60077) Full Text: DOI
Bonaccorsi, Stefano Nonlinear stochastic differential equations in infinite dimensions. (English) Zbl 0959.60046 Stochastic Anal. Appl. 18, No. 3, 333-345 (2000). Reviewer: A.Grorud (Marseille) MSC: 60H15 60H10 60H07 PDFBibTeX XMLCite \textit{S. Bonaccorsi}, Stochastic Anal. Appl. 18, No. 3, 333--345 (2000; Zbl 0959.60046) Full Text: DOI
Elliott, R.; Fischer, P.; Platen, E. Filtering and parameter estimation for a mean reverting interest rate model. (English) Zbl 0980.62083 Can. Appl. Math. Q. 7, No. 4, 381-400 (1999). Reviewer: A.Grorud (Marseille) MSC: 62M20 62P05 65C20 60J27 60J20 91B28 PDFBibTeX XMLCite \textit{R. Elliott} et al., Can. Appl. Math. Q. 7, No. 4, 381--400 (1999; Zbl 0980.62083)
Benaïm, Michel Dynamics of stochastic approximation algorithms. (English) Zbl 0955.62085 Azéma, Jacques (ed.) et al., Séminaire de probabilités XXXIII. Berlin: Springer. Lect. Notes Math. 1709, 1-68 (1999). Reviewer: A.Grorud (Marseille) MSC: 62L20 37L30 PDFBibTeX XMLCite \textit{M. Benaïm}, Lect. Notes Math. 1709, 1--68 (1999; Zbl 0955.62085) Full Text: Numdam
Schoenmakers, John G. M.; Kloeden, Peter E. Robust option replication for a Black-Scholes model extended with nondeterministic trends. (English) Zbl 0948.60047 J. Appl. Math. Stochastic Anal. 12, No. 2, 113-120 (1999). Reviewer: A.Grorud (Marseille) MSC: 60H05 60H10 91G20 PDFBibTeX XMLCite \textit{J. G. M. Schoenmakers} and \textit{P. E. Kloeden}, J. Appl. Math. Stochastic Anal. 12, No. 2, 113--120 (1999; Zbl 0948.60047) Full Text: DOI EuDML
Carmona, René A.; Cerou, Frédéric Transport by incompressible random velocity fields: Simulations and mathematical conjectures. (English) Zbl 0935.60048 Carmona, René A. (ed.) et al., Stochastic partial differential equations: six perspectives. Providence, RI: American Mathematical Society. Math. Surv. Monogr. 64, 153-181 (1999). Reviewer: A.Grorud (Marseille) MSC: 60H15 PDFBibTeX XMLCite \textit{R. A. Carmona} and \textit{F. Cerou}, Math. Surv. Monogr. 64, 153--181 (1999; Zbl 0935.60048)
León, Jorge A.; Nualart, David Stochastic evolution equations with random generators. (English) Zbl 0939.60066 Ann. Probab. 26, No. 1, 149-186 (1998). Reviewer: A.Grorud (Marseille) MSC: 60H15 60H07 60H25 PDFBibTeX XMLCite \textit{J. A. León} and \textit{D. Nualart}, Ann. Probab. 26, No. 1, 149--186 (1998; Zbl 0939.60066) Full Text: DOI
Breidt, F. Jay; Davis, Richard A. Extremes of stochastic volatility models. (English) Zbl 0941.60069 Ann. Appl. Probab. 8, No. 3, 664-675 (1998). Reviewer: A.Grorud (Marseille) MSC: 60G70 62M10 PDFBibTeX XMLCite \textit{F. J. Breidt} and \textit{R. A. Davis}, Ann. Appl. Probab. 8, No. 3, 664--675 (1998; Zbl 0941.60069) Full Text: DOI
Samorodnitsky, Gennady Tail behavior of some shot noise processes. (English) Zbl 0937.60037 Adler, Robert J. (ed.) et al., A practical guide to heavy tails. Statistical techniques and applications. Boston: Birkhäuser. 473-486 (1998). Reviewer: A.Grorud (Marseille) MSC: 60G35 60G55 PDFBibTeX XMLCite \textit{G. Samorodnitsky}, in: A practical guide to heavy tails. Statistical techniques and applications. Boston: Birkhäuser. 473--486 (1998; Zbl 0937.60037)
Delgado, Rosario Multiple Ogawa, Stratonovich and Skorohod anticipating integrals. (English) Zbl 0927.60061 Stochastic Anal. Appl. 16, No. 5, 859-872 (1998). Reviewer: A.Grorud (Marseille) MSC: 60H20 60H10 PDFBibTeX XMLCite \textit{R. Delgado}, Stochastic Anal. Appl. 16, No. 5, 859--872 (1998; Zbl 0927.60061) Full Text: DOI
Grandits, Peter; Krawczyk, Leszek Closedness of some spaces of stochastic integrals. (English) Zbl 0914.60017 Azéma, Jacques (ed.) et al., Séminaire de probabilités XXXII. Berlin: Springer. Lect. Notes Math. 1686, 73-85 (1998). Reviewer: A.Grorud (Marseille) MSC: 60H05 91B28 60G46 PDFBibTeX XMLCite \textit{P. Grandits} and \textit{L. Krawczyk}, Lect. Notes Math. 1686, 73--85 (1998; Zbl 0914.60017) Full Text: Numdam EuDML
Alòs, Elisa; Nualart, David An extension of Itô’s formula for anticipating processes. (English) Zbl 0914.60018 J. Theor. Probab. 11, No. 2, 493-514 (1998). Reviewer: A.Grorud (Marseille) MSC: 60H05 60H07 PDFBibTeX XMLCite \textit{E. Alòs} and \textit{D. Nualart}, J. Theor. Probab. 11, No. 2, 493--514 (1998; Zbl 0914.60018) Full Text: DOI
Métivier, Michel Probabilités. Dix leçons d’introduction. (Probability. Ten lectures to introduction.) (French) Zbl 0918.60004 Paris: Ellipses. 160 p. (1998). Reviewer: A.Grorud (Marseille) MSC: 60-01 62-01 60Fxx 60Jxx PDFBibTeX XMLCite \textit{M. Métivier}, Probability. Ten lectures to introduction. Paris: Ellipses (1998; Zbl 0918.60004)
Rovira, Carles; Sanz-Solé, Marta Regularity of the law for a class of anticipating stochastic differential equations. (English) Zbl 0904.60043 Decreusefond, Laurent (ed.) et al., Stochastic analysis and related topics VI. Proceedings of the 6th Oslo-Silivri workshop, Geilo, Norway, July 29–August 6, 1996. Boston, MA: Birkhäuser. Prog. Probab. 42, 357-371 (1998). Reviewer: A.Grorud (Marseille) MSC: 60H10 PDFBibTeX XMLCite \textit{C. Rovira} and \textit{M. Sanz-Solé}, Prog. Probab. 42, 357--371 (1998; Zbl 0904.60043)
Horváth Bokor, Rózsa On two-step methods for stochastic differential equations. (English) Zbl 0912.60067 Acta Cybern. 13, No. 2, 197-207 (1997). Reviewer: Axel Grorud (Marseille) MSC: 60H10 65C99 PDFBibTeX XMLCite \textit{R. Horváth Bokor}, Acta Cybern. 13, No. 2, 197--207 (1997; Zbl 0912.60067)
Kohatsu-Higa, A.; León, J. A. Anticipating stochastic differential equations of Stratonovich type. (English) Zbl 0904.60040 Appl. Math. Optimization 36, No. 3, 263-289 (1997). Reviewer: A.Grorud (Marseille) MSC: 60H10 60H05 PDFBibTeX XMLCite \textit{A. Kohatsu-Higa} and \textit{J. A. León}, Appl. Math. Optim. 36, No. 3, 263--289 (1997; Zbl 0904.60040) Full Text: DOI
Hamadene, S.; Lepeltier, J.-P.; Matoussi, A. Double barrier backward SDEs with continuous coefficient. (English) Zbl 0887.60065 El Karoui, Nicole (ed.) et al., Backward stochastic differential equations. Harlow: Longman. Pitman Res. Notes Math. Ser. 364, 161-175 (1997). Reviewer: A.Grorud (Marseille) MSC: 60H10 PDFBibTeX XMLCite \textit{S. Hamadene} et al., Pitman Res. Notes Math. Ser. 364, 161--175 (1997; Zbl 0887.60065)
El Karoui, N.; Huang, S. J. A general result of existence and uniqueness of backward stochastic differential equations. (English) Zbl 0887.60064 El Karoui, Nicole (ed.) et al., Backward stochastic differential equations. Harlow: Longman. Pitman Res. Notes Math. Ser. 364, 27-36 (1997). Reviewer: A.Grorud (Marseille) MSC: 60H10 PDFBibTeX XMLCite \textit{N. El Karoui} and \textit{S. J. Huang}, Pitman Res. Notes Math. Ser. 364, 27--36 (1997; Zbl 0887.60064)
Cvitanić, Jakša; Karatzas, Ioannis Backward stochastic differential equations with reflection and Dynkin games. (English) Zbl 0876.60031 Ann. Probab. 24, No. 4, 2024-2056 (1996). Reviewer: A.Grorud (Marseille) MSC: 60H10 91A60 60G40 PDFBibTeX XMLCite \textit{J. Cvitanić} and \textit{I. Karatzas}, Ann. Probab. 24, No. 4, 2024--2056 (1996; Zbl 0876.60031) Full Text: DOI
Caballero, María Emilia Applications of the criteria for smoothness of the density. (English) Zbl 0919.60063 Gorostiza, L. G. (ed.) et al., 4th symposium on Probability and stochastic processes. Proceedings, Guanajuato, Gto., Mexico, April 1–5, 1996. Hermosillo: Sociedad Matematica Mexicana. Aportaciones Mat., Notas Invest. 12, 49-56 (1996). Reviewer: A.Grorud (Marseille) MSC: 60H10 60H20 PDFBibTeX XMLCite \textit{M. E. Caballero}, Aportaciones Mat., Notas Invest. 12, 49--56 (1996; Zbl 0919.60063)
Grorud, Axel; Pontier, Monique Stochastic calculus of order 2 and anticipative differential equations on a manifold. (Calcul stochastique d’ordre deux et équation différentielle anticipative sur une variété.) (French) Zbl 0849.60057 Jap. J. Math., New Ser. 21, No. 2, 441-470 (1995). Reviewer: A.Grorud (Marseille) MSC: 60H07 58J65 PDFBibTeX XMLCite \textit{A. Grorud} and \textit{M. Pontier}, Jpn. J. Math., New Ser. 21, No. 2, 441--470 (1995; Zbl 0849.60057)