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
Nutz, Marcel; Stebegg, Florian; Tan, Xiaowei Multiperiod martingale transport. (English) Zbl 1444.60033 Stochastic Processes Appl. 130, No. 3, 1568-1615 (2020). MSC: 60G42 49N05 PDFBibTeX XMLCite \textit{M. Nutz} et al., Stochastic Processes Appl. 130, No. 3, 1568--1615 (2020; Zbl 1444.60033) Full Text: DOI arXiv
Guo, Xin; Pan, Chen Itô’s calculus under sublinear expectations via regularity of PDEs and rough paths. (English) Zbl 1390.60160 Stochastic Processes Appl. 128, No. 5, 1711-1749 (2018). MSC: 60G44 60H05 35K61 93E20 PDFBibTeX XMLCite \textit{X. Guo} and \textit{C. Pan}, Stochastic Processes Appl. 128, No. 5, 1711--1749 (2018; Zbl 1390.60160) Full Text: DOI
Lepinette, Emmanuel; Tran, Tuan Arbitrage theory for non convex financial market models. (English) Zbl 1377.91150 Stochastic Processes Appl. 127, No. 10, 3331-3353 (2017). MSC: 91G10 60G44 91B24 93E20 PDFBibTeX XMLCite \textit{E. Lepinette} and \textit{T. Tran}, Stochastic Processes Appl. 127, No. 10, 3331--3353 (2017; Zbl 1377.91150) Full Text: DOI HAL
Beiglböck, Mathias; Henry-Labordère, Pierre; Touzi, Nizar Monotone martingale transport plans and Skorokhod embedding. (English) Zbl 1372.60059 Stochastic Processes Appl. 127, No. 9, 3005-3013 (2017). MSC: 60G44 60G42 60G40 49N05 49Q20 PDFBibTeX XMLCite \textit{M. Beiglböck} et al., Stochastic Processes Appl. 127, No. 9, 3005--3013 (2017; Zbl 1372.60059) Full Text: DOI arXiv
Nutz, Marcel Robust superhedging with jumps and diffusion. (English) Zbl 1326.60120 Stochastic Processes Appl. 125, No. 12, 4543-4555 (2015). MSC: 60J75 60J60 60G51 60G44 91B25 91G80 93E20 PDFBibTeX XMLCite \textit{M. Nutz}, Stochastic Processes Appl. 125, No. 12, 4543--4555 (2015; Zbl 1326.60120) Full Text: DOI arXiv
Lacker, Daniel Mean field games via controlled martingale problems: existence of Markovian equilibria. (English) Zbl 1346.60083 Stochastic Processes Appl. 125, No. 7, 2856-2894 (2015). MSC: 60H10 60G44 60J25 49N70 91A23 91A15 PDFBibTeX XMLCite \textit{D. Lacker}, Stochastic Processes Appl. 125, No. 7, 2856--2894 (2015; Zbl 1346.60083) Full Text: DOI arXiv
Neufeld, Ariel; Nutz, Marcel Measurability of semimartingale characteristics with respect to the probability law. (English) Zbl 1305.60031 Stochastic Processes Appl. 124, No. 11, 3819-3845 (2014). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 60G44 60G48 93E20 PDFBibTeX XMLCite \textit{A. Neufeld} and \textit{M. Nutz}, Stochastic Processes Appl. 124, No. 11, 3819--3845 (2014; Zbl 1305.60031) Full Text: DOI arXiv
Grün, Christine A BSDE approach to stochastic differential games with incomplete information. (English) Zbl 1243.93131 Stochastic Processes Appl. 122, No. 4, 1917-1946 (2012). MSC: 93E20 49L20 91A15 90C39 60G44 49N70 PDFBibTeX XMLCite \textit{C. Grün}, Stochastic Processes Appl. 122, No. 4, 1917--1946 (2012; Zbl 1243.93131) Full Text: DOI arXiv
Campi, Luciano; Çetin, Umut; Danilova, Albina Dynamic Markov bridges motivated by models of insider trading. (English) Zbl 1225.60072 Stochastic Processes Appl. 121, No. 3, 534-567 (2011). Reviewer: Sören Christensen (Kiel) MSC: 60G44 93E11 91G80 60H05 60H10 PDFBibTeX XMLCite \textit{L. Campi} et al., Stochastic Processes Appl. 121, No. 3, 534--567 (2011; Zbl 1225.60072) Full Text: DOI arXiv
Hu, Yaozhong; Long, Hongwei Least squares estimator for Ornstein-Uhlenbeck processes driven by \(\alpha \)-stable motions. (English) Zbl 1171.62045 Stochastic Processes Appl. 119, No. 8, 2465-2480 (2009). MSC: 62M05 60G52 62F12 93E24 65C60 PDFBibTeX XMLCite \textit{Y. Hu} and \textit{H. Long}, Stochastic Processes Appl. 119, No. 8, 2465--2480 (2009; Zbl 1171.62045) Full Text: DOI
Mania, M. A general problem of an optimal equivalent change of measure and contingent claim pricing in an incomplete market. (English) Zbl 1046.60041 Stochastic Processes Appl. 90, No. 1, 19-42 (2000). Reviewer: Alexis Derviz (Praha) MSC: 60G44 60H10 91B28 90C15 PDFBibTeX XMLCite \textit{M. Mania}, Stochastic Processes Appl. 90, No. 1, 19--42 (2000; Zbl 1046.60041) Full Text: DOI
Goll, Thomas; Kallsen, Jan Optimal portfolios for logarithmic utility. (English) Zbl 1048.91064 Stochastic Processes Appl. 89, No. 1, 31-48 (2000). Reviewer: Alexis Derviz (Praha) MSC: 91G10 93E20 60G44 60H30 60G48 PDFBibTeX XMLCite \textit{T. Goll} and \textit{J. Kallsen}, Stochastic Processes Appl. 89, No. 1, 31--48 (2000; Zbl 1048.91064) Full Text: DOI
Touzi, Nizar Direct characterization of the value of super-replication under stochastic volatility and portfolio constraints. (English) Zbl 1048.91072 Stochastic Processes Appl. 88, No. 2, 305-328 (2000). Reviewer: Alexis Derviz (Praha) MSC: 91B28 93E20 60H30 60G44 35K55 PDFBibTeX XMLCite \textit{N. Touzi}, Stochastic Processes Appl. 88, No. 2, 305--328 (2000; Zbl 1048.91072) Full Text: DOI
Feng, Jin Martingale problems for large deviations of Markov processes. (English) Zbl 0962.60008 Stochastic Processes Appl. 81, No. 2, 165-216 (1999). MSC: 60F10 60G44 60J25 PDFBibTeX XMLCite \textit{J. Feng}, Stochastic Processes Appl. 81, No. 2, 165--216 (1999; Zbl 0962.60008) Full Text: DOI
Ceci, Claudia; Gerardi, Anna Partially observed control of a Markov jump process with counting observations: Equivalence with the separated problems. (English) Zbl 0934.60077 Stochastic Processes Appl. 78, No. 2, 245-260 (1998). MSC: 60J75 93E11 93E20 60G55 60G35 60G44 PDFBibTeX XMLCite \textit{C. Ceci} and \textit{A. Gerardi}, Stochastic Processes Appl. 78, No. 2, 245--260 (1998; Zbl 0934.60077) Full Text: DOI
Loges, Wilfried Girsanov’s theorem in Hilbert space and an application to the statistics of Hilbert space-valued stochastic differential equations. (English) Zbl 0553.93059 Stochastic Processes Appl. 17, 243-263 (1984). Reviewer: R.Curtain MSC: 93E10 60H15 62F12 46C99 62A01 93C05 93C25 PDFBibTeX XMLCite \textit{W. Loges}, Stochastic Processes Appl. 17, 243--263 (1984; Zbl 0553.93059) Full Text: DOI
Striebel, Charlotte Martingale conditions for the optimal control of continuous time stochastic systems. (English) Zbl 0549.60037 Stochastic Processes Appl. 18, 329-347 (1984). Reviewer: K.Wickwire MSC: 60G40 93E20 60G44 PDFBibTeX XMLCite \textit{C. Striebel}, Stochastic Processes Appl. 18, 329--347 (1984; Zbl 0549.60037) Full Text: DOI
Aase, Knut Kristian Optimum portfolio diversification in a general continuous-time model. (English) Zbl 0541.60057 Stochastic Processes Appl. 18, 81-98 (1984). MSC: 60H10 93E20 60G44 PDFBibTeX XMLCite \textit{K. K. Aase}, Stochastic Processes Appl. 18, 81--98 (1984; Zbl 0541.60057) Full Text: DOI
Karr, Alan F. Estimation and reconstruction for zero-one Markov processes. (English) Zbl 0526.62078 Stochastic Processes Appl. 16, 219-255 (1984). MSC: 62M05 62M20 93E10 62E20 60G25 60J27 93E11 PDFBibTeX XMLCite \textit{A. F. Karr}, Stochastic Processes Appl. 16, 219--255 (1984; Zbl 0526.62078) Full Text: DOI
Karr, Alan F. A partially observed Poisson process. (English) Zbl 0482.60050 Stochastic Processes Appl. 12, 249-269 (1982). MSC: 60G55 60G57 60G35 60K05 60K15 93E10 93E11 PDFBibTeX XMLCite \textit{A. F. Karr}, Stochastic Processes Appl. 12, 249--269 (1982; Zbl 0482.60050) Full Text: DOI
Glazebrook, K. D. Decomposable jump decision processes. (English) Zbl 0408.49033 Stochastic Processes Appl. 9, 19-33 (1979). MSC: 49L20 90C39 93E20 60J75 49K45 PDFBibTeX XMLCite \textit{K. D. Glazebrook}, Stochastic Processes Appl. 9, 19--33 (1979; Zbl 0408.49033) Full Text: DOI