Fang, Zheng How often does a critical elephant random walk return to origin. (English) Zbl 07960019 Electron. Commun. Probab. 29, Paper No. 64, 12 p. (2024). MSC: 60G50 60G42 60J10 60J55 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Pavlyukevich, Ilya; Pilipenko, Andrey Walsh’s Brownian motion and Donsker scaling limits of perturbed random walks. (English) Zbl 07940624 ALEA, Lat. Am. J. Probab. Math. Stat. 21, No. 2, 1669-1707 (2024). MSC: 60F17 60G42 60G50 60H10 60J10 60J55 60K37 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Campese, Simon; Lengert, Nicolas; Podolskij, Mark Limit theorems for general functionals of Brownian local times. (English) Zbl 1548.60054 Electron. J. Probab. 29, Paper No. 128, 18 p. (2024). MSC: 60F05 60G44 60H05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Louriki, Mohammed Information-based approach: pricing of a credit risky asset in the presence of default time. (English) Zbl 07920277 Probab. Uncertain. Quant. Risk 9, No. 3, 405-430 (2024). MSC: 60G40 60G46 60J25 60J55 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Çetin, Umut; Hok, Julien Speeding up the Euler scheme for killed diffusions. (English) Zbl 1542.91390 Finance Stoch. 28, No. 3, 663-707 (2024). MSC: 91G20 60J60 91G60 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Stahl, Philip; Blauth, Jérôme Martingale defects in the volatility surface and bubble conditions in the underlying. (English) Zbl 1537.91335 Rev. Deriv. Res. 27, No. 1, 85-111 (2024). MSC: 91G20 91B70 60G46 × Cite Format Result Cite Review PDF Full Text: DOI
Bercu, Bernard; Laulin, Lucile How to estimate the memory of the elephant random walk. (English) Zbl 07850697 Commun. Stat., Theory Methods 53, No. 7, 2578-2598 (2024). MSC: 60G50 60G42 62M09 × Cite Format Result Cite Review PDF Full Text: DOI arXiv HAL
Bhaskaran, Rajeev; Sadhasivam, Vijay Ganesh Stochastic model for barrier crossings and fluctuations in local timescale. (English) Zbl 1533.60129 J. Math. Phys. 65, No. 2, Article ID 023302, 15 p. (2024). MSC: 60J55 60H10 60G44 60J25 82C05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Borichev, Alexander; Volberg, Alexander Measure concentration for vector valued functions on Hamming cube. arXiv:2412.10845 Preprint, arXiv:2412.10845 [math.FA] (2024). MSC: 42C10 30L15 46B07 60G46 × Cite Format Result Cite Full Text: arXiv OA License
Prömel, David J.; Scheffels, David On the existence of weak solutions to stochastic Volterra equations. (English) Zbl 07790357 Electron. Commun. Probab. 28, Paper No. 52, 12 p. (2023). Reviewer: Denis R. Bell (Jacksonville) MSC: 60H20 60G44 45D05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Cordero-Erausquin, Dario; Eskenazis, Alexandros Talagrand’s influence inequality revisited. (English) Zbl 1517.42026 Anal. PDE 16, No. 2, 571-612 (2023). MSC: 42C10 30L15 46B07 60G46 28A35 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Criens, David; Pfaffelhuber, Peter; Schmidt, Thorsten The martingale problem method revisited. (English) Zbl 1534.60069 Electron. J. Probab. 28, Paper No. 19, 46 p. (2023). MSC: 60H10 60G44 60B10 60J60 60J25 60H20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Jarrow, Robert; Liu, Yuxuan Asset price bubbles, wealth preserving, dominating, and replicating trading strategies. (English) Zbl 1519.91271 Front. Math. Finance 2, No. 1, 33-55 (2023). MSC: 91G30 60G46 × Cite Format Result Cite Review PDF Full Text: DOI
Biagini, Francesca; Mazzon, Andrea; Perkkiö, Ari-Pekka Optional projection under equivalent local martingale measures. (English) Zbl 1511.91140 Finance Stoch. 27, No. 2, 435-465 (2023). MSC: 91G15 60G44 60H30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Çetin, Umut; Larsen, Kasper Uniqueness in Cauchy problems for diffusive real-valued strict local martingales. (English) Zbl 1532.60085 Trans. Am. Math. Soc., Ser. B 10, 381-406 (2023). MSC: 60G44 60J60 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Nakajima, Shuta; Nakashima, Makoto Fluctuations of two-dimensional stochastic heat equation and KPZ equation in subcritical regime for general initial conditions. (English) Zbl 1515.60334 Electron. J. Probab. 28, Paper No. 1, 38 p. (2023). MSC: 60K37 60F05 60G44 82D60 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Guo, Ivan; Loeper, Grégoire; Wang, Shiyi Calibration of local-stochastic volatility models by optimal transport. (English) Zbl 1522.91274 Math. Finance 32, No. 1, 46-77 (2022). MSC: 91G20 60G46 35Q91 49L25 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Bogdanskii, Victor; Pavlyukevich, Ilya; Pilipenko, Andrey Limit behaviour of random walks on \(\mathbb{Z}^m\) with two-sided membrane. (English) Zbl 1520.60036 ESAIM, Probab. Stat. 26, 352-377 (2022). MSC: 60J10 60G42 60G50 60H10 60J55 60K37 60J65 60J60 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Haslhofer, Robert; Kopfer, Eva; Naber, Aaron Differential Harnack inequalities on path space. (English) Zbl 1501.60028 Adv. Math. 410, Part A, Article ID 108714, 47 p. (2022). MSC: 60G44 53B20 58J35 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Berger, D.; Kühn, F.; Schilling, R. L. Lévy processes, generalized moments and uniform integrability. (English) Zbl 1520.60027 Probab. Math. Stat. 42, No. 1, 109-131 (2022). Reviewer: Jean-Jil Duchamps (Besançon) MSC: 60G51 60G44 60G40 26A12 26B35 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Criens, David; Ritter, Moritz On a theorem by A.S. Cherny for semilinear stochastic partial differential equations. (English) Zbl 1498.35637 J. Theor. Probab. 35, No. 3, 2052-2067 (2022). MSC: 35R60 35A02 35D30 60G44 60H05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Gilat, David; Meilijson, Isaac; Sacerdote, Laura A note on the maximal expected local time of \(\mathrm{L}_2\)-bounded martingales. (English) Zbl 1507.60054 J. Theor. Probab. 35, No. 3, 1952-1955 (2022). MSC: 60G44 60G40 × Cite Format Result Cite Review PDF Full Text: DOI
Herdegen, Martin; Kreher, Dörte Bubbles in discrete-time models. (English) Zbl 1498.91417 Finance Stoch. 26, No. 4, 899-925 (2022). MSC: 91G15 60G42 45D05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Gapeev, Pavel V.; Al Motairi, Hessah Discounted optimal stopping problems in first-passage time models with random thresholds. (English) Zbl 1517.60046 J. Appl. Probab. 59, No. 3, 714-733 (2022). Reviewer: Krzysztof J. Szajowski (Wrocław) MSC: 60G40 60G44 60J65 60J60 35R35 91G20 × Cite Format Result Cite Review PDF Full Text: DOI Link
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 × Cite Format Result Cite Review PDF Full Text: DOI
Bertoin, Jean Counting the zeros of an elephant random walk. (English) Zbl 1496.60086 Trans. Am. Math. Soc. 375, No. 8, 5539-5560 (2022). Reviewer: Anatoliy Swishchuk (Calgary) MSC: 60J10 60J55 82C41 60G42 60G50 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Chikvinidze, B. The mixed Novikov-Kazamaki type condition for the uniform integrability of the general stochastic exponential. (English) Zbl 1492.60112 Stochastics 94, No. 5, 710-722 (2022). MSC: 60G44 60H05 × Cite Format Result Cite Review PDF Full Text: DOI
Cosco, Clément; Nakajima, Shuta; Nakashima, Makoto Law of large numbers and fluctuations in the sub-critical and \(L^2\) regions for SHE and KPZ equation in dimension \(d \geq 3\). (English) Zbl 1493.60149 Stochastic Processes Appl. 151, 127-173 (2022). MSC: 60K37 60F05 60G44 82D60 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
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 × Cite Format Result Cite Review PDF Full Text: DOI
Abdelghani, Mohamed; Melnikov, Alexander; Pak, Andrey On comparison theorem for optional SDEs via local times and applications. (English) Zbl 1496.60059 Stochastics 94, No. 3, 365-385 (2022). MSC: 60H10 60G44 60H20 × Cite Format Result Cite Review PDF Full Text: DOI
Dandapani, Aditi; Protter, Philip Strict local martingales and the Khasminskii test for explosions. (English) Zbl 1494.60046 Stochastic Processes Appl. 150, 716-728 (2022). MSC: 60G44 60H10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
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 × Cite Format Result Cite Review PDF Full Text: DOI Link
Chikvinidze, B. Necessary and sufficient conditions for the uniform integrability of the stochastic exponential. (English) Zbl 1498.60163 J. Theor. Probab. 35, No. 1, 282-294 (2022). MSC: 60G44 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
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 × Cite Format Result Cite Full Text: arXiv OA License
Valjarević, Dragana; Petrović, Ljiljana Statistical causality and purely discontinuous local martingales. (English) Zbl 1496.60039 Stochastics 93, No. 7, 1043-1051 (2021). MSC: 60G44 60G51 62P20 60H07 × Cite Format Result Cite Review PDF Full Text: DOI
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 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Gapeev, Pavel V.; Kort, Peter M.; Lavrutich, Maria N. Discounted optimal stopping problems for maxima of geometric Brownian motions with switching payoffs. (English) Zbl 1497.60059 Adv. Appl. Probab. 53, No. 1, 189-219 (2021). Reviewer: Krzysztof J. Szajowski (Wrocław) MSC: 60G40 60G44 60J65 60J27 35R35 × Cite Format Result Cite Review PDF Full Text: DOI Link
Diaconis, Persi; Hough, Robert Random walk on unipotent matrix groups. (English. French summary) Zbl 1490.60106 Ann. Sci. Éc. Norm. Supér. (4) 54, No. 3, 587-625 (2021). Reviewer: Peter Kern (Düsseldorf) MSC: 60G50 60F05 60B15 20B25 22E25 60J10 60E10 60F25 60G42 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Gushchin, Alexander A.; Zhunussova, Assylliya K. Single jump filtrations: preservation of the local martingale property with respect to the filtration generated by the local martingale. (English) Zbl 1483.60064 Karapetyants, Alexey N. (ed.) et al., Operator theory and harmonic analysis. OTHA 2020, Part II – probability-analytical models, methods and applications. Based on the international conference on modern methods, problems and applications of operator theory and harmonic analysis. Cham: Springer. Springer Proc. Math. Stat. 358, 219-231 (2021). MSC: 60G44 × Cite Format Result Cite Review PDF Full Text: DOI
Eyi Obiang, Fulgence Resolution of the skew Brownian motion equations with stochastic calculus for signed measures. (English) Zbl 1482.60059 Stochastic Anal. Appl. 39, No. 5, 775-803 (2021). MSC: 60G44 60J65 60H10 60J55 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Mekki, Slimane; Nieto, Juan J.; Ouahab, Abdelghani Stochastic version of Henry type Gronwall’s inequality. (English) Zbl 1481.60043 Infin. Dimens. Anal. Quantum Probab. Relat. Top. 24, No. 2, Article ID 2150013, 10 p. (2021). MSC: 60E15 60G44 × Cite Format Result Cite Review PDF Full Text: DOI
Valjarević, D.; Petrović, Lj. Causality between stopped filtrations and some applications. (English) Zbl 1469.60130 J. Contemp. Math. Anal., Armen. Acad. Sci. 56, No. 3, 134-142 (2021) and Izv. Nats. Akad. Nauk Armen., Mat. 56, No. 3, 79-91 (2021). MSC: 60G44 60H07 60H10 62P20 × Cite Format Result Cite Review PDF Full Text: DOI
Li, Yunzhang; Tang, Shanjian BMO martingale method for backward stochastic differential equations driven by general càdlàg local martingales. (English) Zbl 1492.60176 Commun. Inf. Syst. 21, No. 4, 561-589 (2021). MSC: 60H10 60G44 × Cite Format Result Cite Review PDF Full Text: DOI
Samia, Sakrani Time-changed local martingales under signed measures. (English) Zbl 1481.60085 J. Theor. Probab. 34, No. 2, 644-659 (2021). MSC: 60G44 60J65 × Cite Format Result Cite Review PDF Full Text: DOI
Zhang, Shuaiqi On path-independent Girsanov transform. (English) Zbl 1474.60120 Appl. Math. Comput. 395, Article ID 125845, 14 p. (2021). MSC: 60G46 60J25 × Cite Format Result Cite Review PDF Full Text: DOI
Gushchin, A. A. The joint law of a max-continuous local submartingale and its maximum. (English. Russian original) Zbl 1469.60128 Theory Probab. Appl. 65, No. 4, 545-557 (2021); translation from Teor. Veroyatn. Primen. 65, No. 4, 693-709 (2020). MSC: 60G44 60G70 × Cite Format Result Cite Review PDF Full Text: DOI
Eskenazis, Alexandros On Pisier’s inequality for UMD targets. (English) Zbl 1480.46017 Can. Math. Bull. 64, No. 2, 282-291 (2021). MSC: 46B07 46B85 42C10 60G46 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Lechner, Richard Direct sums of finite dimensional \(SL_N^\infty\) spaces. (English) Zbl 1478.46014 Houston J. Math. 46, No. 3, 705-745 (2020). MSC: 46B25 46B26 60G46 46B07 × Cite Format Result Cite Review PDF Full Text: arXiv Link
Larsson, Martin; Ruf, Johannes Convergence of local supermartingales. (English. French summary) Zbl 1485.60039 Ann. Inst. Henri Poincaré, Probab. Stat. 56, No. 4, 2774-2791 (2020). Reviewer: Nikolaos Fountoulakis (Birmingham) MSC: 60G07 60G17 60G44 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid Link
Makasu, Cloud A stochastic convolution integral inequality. (English) Zbl 1472.60038 Infin. Dimens. Anal. Quantum Probab. Relat. Top. 23, No. 4, Article ID 2050029, 8 p. (2020). MSC: 60E15 60G44 60H20 44A35 × Cite Format Result Cite Review PDF Full Text: DOI
Jarrow, Robert; Larsson, Martin Informational efficiency with trading constraints: a characterization. (English) Zbl 1461.91301 SIAM J. Financ. Math. 11, No. 4, 959-973 (2020). Reviewer: Pavel Stoynov (Sofia) MSC: 91G15 60G44 × Cite Format Result Cite Review PDF Full Text: DOI
Gapeev, Pavel V. Optimal stopping problems for running minima with positive discounting rates. (English) Zbl 1464.60036 Stat. Probab. Lett. 167, Article ID 108899, 12 p. (2020). Reviewer: Krzysztof J. Szajowski (Wrocław) MSC: 60G40 60G44 60J65 91G20 × Cite Format Result Cite Review PDF Full Text: DOI Link
Kardaras, Constantinos; Ruf, Johannes Filtration shrinkage, the structure of deflators, and failure of market completeness. (English) Zbl 1456.60099 Finance Stoch. 24, No. 4, 871-901 (2020). MSC: 60G44 60H10 91G20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
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 × Cite Format Result Cite Review PDF Full Text: DOI
Gushchin, Alexander A. Single jump filtrations and local martingales. (English) Zbl 1472.60076 Mod. Stoch., Theory Appl. 7, No. 2, 135-156 (2020). MSC: 60G44 60G07 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Yaroslavtsev, Ivan S. Local characteristics and tangency of vector-valued martingales. (English) Zbl 1459.60091 Probab. Surv. 17, 545-676 (2020). MSC: 60G44 60B11 60G51 60H05 46G12 28A50 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
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 × Cite Format Result Cite Review PDF Full Text: DOI
Jia, Chen; Zhao, Guohuan Moderate maximal inequalities for the Ornstein-Uhlenbeck process. (English) Zbl 1465.60021 Proc. Am. Math. Soc. 148, No. 8, 3607-3615 (2020). MSC: 60E15 60H10 60J60 60J65 60G44 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Wong, Chi Hong; Yang, Xue; Zhang, Jing Stochastic partial integral-differential equations with divergence terms. (English) Zbl 1445.60049 Electron. J. Probab. 25, Paper No. 50, 22 p. (2020). MSC: 60H15 60G46 35R60 × Cite Format Result Cite Review PDF Full Text: DOI Euclid
Frikha, Noufel; Li, Libo Weak uniqueness and density estimates for SDEs with coefficients depending on some path-functionals. (English. French summary) Zbl 1451.35073 Ann. Inst. Henri Poincaré, Probab. Stat. 56, No. 2, 1002-1040 (2020). Reviewer: Vincenzo Vespri (Firenze) MSC: 35K65 60H10 60G46 60H30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
Dandapani, Aditi; Protter, Philip Strict local martingales via filtration enlargement. (English) Zbl 1462.60053 Int. J. Theor. Appl. Finance 23, No. 1, Article ID 2050001, 28 p. (2020). MSC: 60G44 91B70 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Attouch, Mohammed; Laksaci, Ali; Rafaa, Fatima On the local linear estimate for functional regression: uniform in bandwidth consistency. (English) Zbl 07530852 Commun. Stat., Theory Methods 48, No. 8, 1836-1853 (2019). MSC: 60G42 62F12 62G20 62G05 × Cite Format Result Cite Review PDF 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 1453.60117 Physica D 398, 23-68 (2019). MSC: 60H15 35R60 35R09 60G44 35A01 35A02 × Cite Format Result Cite Review PDF Full Text: DOI
Ding, Kui; Zhu, Quanxin \(H_\infty\) synchronization of uncertain stochastic time-varying delay systems with exogenous disturbance via intermittent control. (English) Zbl 1448.93071 Chaos Solitons Fractals 127, 244-256 (2019). MSC: 93B36 93C41 93E15 93C43 × Cite Format Result Cite Review PDF 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 × Cite Format Result Cite Review PDF 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 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
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 × Cite Format Result Cite Review PDF Full Text: DOI MNR
Dassios, Angelos; Lim, Jia Wei A variation of the Azéma martingale and drawdown options. (English) Zbl 1428.91017 Math. Finance 29, No. 4, 1116-1130 (2019). MSC: 91G20 60G44 × Cite Format Result Cite Review PDF Full Text: DOI Link
Schatz, Michael; Sornette, Didier A nonuniformly integrable martingale bubble with a crash. (English) Zbl 1429.91340 SIAM J. Financ. Math. 10, No. 2, 615-631 (2019). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G45 60G44 60G55 60J76 × Cite Format Result Cite Review PDF Full Text: DOI Link
Aksamit, Anna; Choulli, Tahir; Deng, Jun; Jeanblanc, Monique No-arbitrage under additional information for thin semimartingale models. (English) Zbl 1479.60083 Stochastic Processes Appl. 129, No. 9, 3080-3115 (2019). MSC: 60G44 60H30 91G99 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Eskenazis, Alexandros; Mendel, Manor; Naor, Assaf Nonpositive curvature is not coarsely universal. (English) Zbl 1432.51014 Invent. Math. 217, No. 3, 833-886 (2019). Reviewer: Mikhail Ostrovskii (Flushing) MSC: 51F30 53C23 30L05 46B07 46B85 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Kardaras, Constantinos; Ruf, Johannes Projections of scaled Bessel processs. (English) Zbl 1488.60110 Electron. Commun. Probab. 24, Paper No. 43, 11 p. (2019). MSC: 60G44 60G48 60H10 60J55 60J60 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
Hough, Robert The local limit theorem on nilpotent Lie groups. (English) Zbl 1481.60050 Probab. Theory Relat. Fields 174, No. 3-4, 761-786 (2019). MSC: 60F05 60B15 20B25 22E25 60J10 60E10 60F25 60G42 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Hulley, Hardy; Ruf, Johannes Weak tail conditions for local martingales. (English) Zbl 1461.60024 Ann. Probab. 47, No. 3, 1811-1825 (2019). Reviewer: Dominique Lépingle (Orléans) MSC: 60G44 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
Werner, Dirk Book review of: W. A. Woyczyński, Geometry and martingales in Banach spaces. (English) Zbl 1410.00017 Eur. Math. Soc. Newsl. 111, 52 (2019). MSC: 00A17 46-02 60-02 46B09 46B07 46B22 60B12 60G42 × Cite Format Result Cite Review PDF
Profeta, Christophe; Yano, Kouji; Yano, Yuko Local time penalizations with various clocks for one-dimensional diffusions. (English) Zbl 1481.60056 J. Math. Soc. Japan 71, No. 1, 203-233 (2019). MSC: 60F05 60J60 60G44 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
Herdegen, Martin; Herrmann, Sebastian Strict local martingales and optimal investment in a Black-Scholes model with a bubble. (English) Zbl 1411.91506 Math. Finance 29, No. 1, 285-328 (2019). MSC: 91G10 60G44 91B16 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Hytönen, Tuomas; Merikoski, Jori Vector-valued local approximation spaces. (English) Zbl 1426.46019 J. Fourier Anal. Appl. 25, No. 2, 299-320 (2019). Reviewer: Oscar Blasco (Valencia) MSC: 46E35 41A10 42B25 46B07 60G46 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Lechner, Richard Dimension dependence of factorization problems: biparameter Hardy spaces. (English) Zbl 1420.46010 Proc. Am. Math. Soc. 147, No. 4, 1639-1652 (2019). MSC: 46B07 42B30 46B25 60G46 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Woyczyński, Wojbor A. Geometry and martingales in Banach spaces. (English) Zbl 1403.46003 Boca Raton, FL: CRC Press (ISBN 978-1-138-61637-0/hbk; 978-0-4298-6883-2/ebook). xiii, 315 p. (2019). Reviewer: Dirk Werner (Berlin) MSC: 46-02 60-02 46B09 46B07 46B22 60B12 60G42 × Cite Format Result Cite Review PDF Full Text: Link
Petrović, Ljiljana; Valjarević, Dragana Statistical causality, martingale problems and local uniqueness. (English) Zbl 1498.60165 Stochastics 90, No. 2, 200-213 (2018). MSC: 60G44 60G07 60G40 × Cite Format Result Cite Review PDF Full Text: DOI
Petrović, Ljiljana; Valjarević, Dragana Statistical causality and local uniqueness for solutions of the martingale problem. (English) Zbl 1499.60136 Filomat 32, No. 8, 2851-2860 (2018). MSC: 60G44 60H10 62P20 60H07 × Cite Format Result Cite Review PDF Full Text: DOI
Champagnat, Nicolas; Villemonais, Denis Uniform convergence of conditional distributions for absorbed one-dimensional diffusions. (English) Zbl 1431.60086 Adv. Appl. Probab. 50, No. 1, 178-203 (2018). MSC: 60J60 60J70 37A25 60B10 60F99 60G44 60J76 × Cite Format Result Cite Review PDF Full Text: DOI arXiv HAL
Claisse, Julien; Guo, Gaoyue; Henry-Labordère, Pierre Some results on Skorokhod embedding and robust hedging with local time. (English) Zbl 1402.60046 J. Optim. Theory Appl. 179, No. 2, 569-597 (2018). MSC: 60G40 60G44 91G20 91G80 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Mostovyi, Oleksii Optimal consumption of multiple goods in incomplete markets. (English) Zbl 1417.91472 J. Appl. Probab. 55, No. 3, 810-822 (2018). MSC: 91G10 93E20 60G48 49N15 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Çetin, Umut Diffusion transformations, Black-Scholes equation and optimal stopping. (English) Zbl 1402.60098 Ann. Appl. Probab. 28, No. 5, 3102-3151 (2018). MSC: 60J60 60G40 60J55 91G80 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid Link
Saporito, Yuri F. The functional Meyer-Tanaka formula. (English) Zbl 1394.60076 Stoch. Dyn. 18, No. 4, Article ID 1850030, 25 p. (2018). MSC: 60H99 60G17 60H07 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Bayraktar, Erhan; Yu, Xiang On the market viability under proportional transaction costs. (English) Zbl 1411.91479 Math. Finance 28, No. 3, 800-838 (2018). MSC: 91G10 60G44 91B16 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Haslhofer, Robert; Naber, Aaron Ricci curvature and Bochner formulas for martingales. (English) Zbl 1393.60042 Commun. Pure Appl. Math. 71, No. 6, 1074-1108 (2018). Reviewer: Laurian Ioan Piscoran (Baia Mare) MSC: 60G44 53B20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Ichiba, Tomoyuki; Karatzas, Ioannis; Prokaj, Vilmos; Yan, Minghan Stochastic integral equations for Walsh semimartingales. (English. French summary) Zbl 1391.60090 Ann. Inst. Henri Poincaré, Probab. Stat. 54, No. 2, 726-756 (2018). MSC: 60G42 60H10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
Christodoulou, Panagiotis; Detering, Nils; Meyer-Brandis, Thilo Local risk-minimization with multiple assets under illiquidity with applications in energy markets. (English) Zbl 1395.91434 Int. J. Theor. Appl. Finance 21, No. 4, Article ID 1850028, 44 p. (2018). MSC: 91G20 60G44 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Prokaj, Vilmos; Ruf, Johannes Local martingales in discrete time. (English) Zbl 1390.60158 Electron. Commun. Probab. 23, Paper No. 31, 11 p. (2018). MSC: 60G42 60G48 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
Lechner, Richard Factorization in mixed norm Hardy and BMO spaces. (English) Zbl 1405.46009 Stud. Math. 242, No. 3, 231-265 (2018). MSC: 46B03 46B25 60G46 46B07 46B26 42B30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Roch, Alexandre Asymptotic asset pricing and bubbles. (English) Zbl 1404.91115 Math. Financ. Econ. 12, No. 2, 275-304 (2018). MSC: 91B25 91G10 60G44 62P05 62M10 × Cite Format Result Cite Review PDF Full Text: DOI
Jacquier, Antoine; Keller-Ressel, Martin Implied volatility in strict local martingale models. (English) Zbl 1408.91239 SIAM J. Financ. Math. 9, No. 1, 171-189 (2018). MSC: 91G70 91G20 60G48 41A60 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Criens, David Deterministic criteria for the absence and existence of arbitrage in multi-dimensional diffusion markets. (English) Zbl 1395.91531 Int. J. Theor. Appl. Finance 21, No. 1, Article ID 1850002, 41 p. (2018). MSC: 91G99 91B24 60H10 60G44 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Bedini, Matteo Ludovico; Buckdahn, Rainer; Engelbert, Hans-Jürgen On the compensator of the default process in an information-based model. (English) Zbl 1444.60034 Probab. Uncertain. Quant. Risk 2, Paper No. 10, 21 p. (2017). MSC: 60G44 91B24 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Borovykh, Anastasia; Pascucci, Andrea; Oosterlee, Cornelis W. Bermudan option valuation under state-dependent models. (English) Zbl 1417.91492 Londoño, Jaime A. (ed.) et al., Actuarial sciences and quantitative finance. ICASQF2016, Cartagena, Colombia, June 15–18, 2016. Cham: Springer. Springer Proc. Math. Stat. 214, 127-138 (2017). MSC: 91G20 60G51 60G44 × Cite Format Result Cite Review PDF Full Text: DOI Link
Chau, Huy N.; Cosso, Andrea; Fontana, Claudio; Mostovyi, Oleksii Optimal investment with intermediate consumption under no unbounded profit with bounded risk. (English) Zbl 1416.91344 J. Appl. Probab. 54, No. 3, 710-719 (2017). MSC: 91G10 93E20 60G48 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Kella, Offer; Yor, Marc Unifying the Dynkin and Lebesgue-Stieltjes formulae. (English) Zbl 1400.60059 J. Appl. Probab. 54, No. 1, 252-266 (2017). MSC: 60G44 60J25 60G51 60K30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv