×

Found 156 Documents (Results 1–100)

100
MathJax

Processes that can be embedded in a geometric Brownian motion. (English. Russian original) Zbl 1341.60101

Theory Probab. Appl. 60, No. 2, 246-262 (2016); translation from Teor. Veroyatn. Primen. 60, No. 2, 248-271 (2015).
MSC:  60J65 60G40 60G48
PDF BibTeX XML Cite
Full Text: DOI arXiv

Constructing self-similar martingales via two Skorokhod embeddings. (English) Zbl 1234.60047

Donati-Martin, Catherine (ed.) et al., Séminaire de Probabilités XLIII, Poitiers, France, Juin 2009. Berlin: Springer (ISBN 978-3-642-15216-0/pbk; 978-3-642-15217-7/ebook). Lecture Notes in Mathematics 2006, 451-503 (2011).
PDF BibTeX XML Cite
Full Text: DOI Link

The Skorokhod embedding problem and model-independent bounds for option prices. (English) Zbl 1214.91113

Carmona, Rene A. (ed.) et al., Paris-Princeton lectures on mathematical finance 2010. Berlin: Springer (ISBN 978-3-642-14659-6/pbk; 978-3-642-14660-2/ebook). Lecture Notes in Mathematics 2003, 267-318 (2011).
Reviewer: Jan Kallsen (Kiel)
MSC:  91G20 60G40
PDF BibTeX XML Cite
Full Text: DOI Link

Extending Chacon-Walsh: minimality and generalised starting distributions. (English) Zbl 1165.60019

Donati-Martin, Catherine (ed.) et al., Séminaire de probabilités XLI. Some papers are selected contributions of the seminars in Nancy 2005 and Luminy 2006. Berlin: Springer (ISBN 978-3-540-77912-4/pbk). Lecture Notes in Mathematics 1934, 233-264 (2008).
MSC:  60G40 60G44
PDF BibTeX XML Cite
Full Text: arXiv

On local martingale and its supremum: harmonic functions and beyond. (English) Zbl 1120.60045

Kabanov, Yuri (ed.) et al., From stochastic calculus to mathematical finance. The Shiryaev Festschrift. Allmost all papers based on the presentation at the second Bachelier colloquium on stochastic calculus and probability, Meatbief, France, January 9–15, 2005. Berlin: Springer (ISBN 3-540-30782-6/hbk). 517-533 (2006).
PDF BibTeX XML Cite
Full Text: arXiv

Filter Results by …

Document Type

Reviewing State

all top 5

Author

all top 5

Year of Publication

all top 3

Classification

Software