## Found 880 Documents (Results 1–100)

100
MathJax

### Stochastic magneto-hydrodynamic equations (MHD): invariant measures in 2D Poincaré domains. (English)Zbl 07545056

MSC:  60H15 76W05 35Q30
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### Conditional $$L^1$$-convergence for the martingale of a critical branching process in random environment. (English. Russian original)Zbl 07517606

Proc. Steklov Inst. Math. 316, No. 1, 184-194 (2022); translation from Tr. Mat. Inst. Steklova 316, 195-206 (2022).
MSC:  60-XX 62-XX
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### Martingale representation and logarithmic-Sobolev inequality for the fractional Ornstein-Uhlenbeck measure. (English)Zbl 07557578

MSC:  60G15 60G18
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### Research on pricing of forward start options in jump diffusion model with stochastic interest rate. (Chinese. English summary)Zbl 07448527

MSC:  91G20 91G30 60J65
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### Minimax martingale method for optimal investment-reinsurance problem in a general insurance company risk model. (Chinese. English summary)Zbl 07448171

MSC:  62P05 91G05 91G10

### Energy measures for diffusions on fractals: a survey. (English)Zbl 1476.28008

Grigor’yan, Alexander (ed.) et al., Analysis and partial differential equations on manifolds, fractals and graphs. Contributions of the conference, Tianjin, China, September 2019. Berlin: De Gruyter. Adv. Anal. Geom. 3, 119-142 (2021).
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### Compactification in optimal control of McKean-Vlasov stochastic differential equations. (English)Zbl 1476.93163

MSC:  93E20 60H10
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### State estimation in partially observed stochastic networks with queueing applications. (English)Zbl 1470.60261

Piunovskiy, Alexey (ed.) et al., Modern trends in controlled stochastic processes: theory and applications, V.III. Selected papers based on the presentations at the traditional Liverpool workshop on controlled stochastic processes, Liverpool, UK, July 2021. Cham: Springer. Emerg. Complex. Comput. 41, 129-147 (2021).
MSC:  60K25 93E11
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### On an aggregate state-price deflator in a multi-period market model. (English)Zbl 1470.91113

MSC:  91B24 60G44
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### On martingale solutions of stochastic partial differential equations with Lévy noise. (English)Zbl 1479.60133

MSC:  60H15 60H10
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### Time-changed local martingales under signed measures. (English)Zbl 1481.60085

MSC:  60G44 60J65
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### Stochastic Fubini theorem for jump noises in Banach spaces. (English)Zbl 1480.60144

MSC:  60H05 60H15
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### Banach geometry of arbitrage free markets. (English)Zbl 1464.91071

MSC:  91G15 91G80 60G44
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### Minimal relative entropy for equivalent martingale measures by low-discrepancy sequence in Lévy process. (English)Zbl 07553645

MSC:  60G51 60G57 62B10
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MSC:  62-XX
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### What is standard Brownian motion? (English)Zbl 1473.60118

Joshua, V. C. (ed.) et al., Applied probability and stochastic processes. Selected papers based on the presentations at the international conference, Kerala, India, January, 7–10 2019. In honour of Prof. Dr. A. Krishnamoorthy. Singapore: Springer. Infosys Sci. Found. Ser., 51-59 (2020).
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### Existence of probability measure valued jump-diffusions in generalized Wasserstein spaces. (English)Zbl 1470.60135

MSC:  60G57 60J60 60J76
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### Fundamental theorem of asset pricing under fixed and proportional transaction costs. (English)Zbl 1461.91325

MSC:  91G30 60G44
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### Mean field games with controlled jump-diffusion dynamics: existence results and an illiquid interbank market model. (English)Zbl 1458.91029

MSC:  91A16 91A80 91G45
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### The identification problem for BSDEs driven by possibly non-quasi-left-continuous random measures. (English)Zbl 1456.60224

MSC:  60J76 60G57 60H30
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### Bochner-Wick integral for $$\mathcal{S}^* (M)$$ space. (Chinese. English summary)Zbl 1463.60077

MSC:  60H05 60H40
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### The Bochner-convolution integral for generalized functional-valued functions of discrete-time normal martingales. (English)Zbl 1460.60073

MSC:  60H40 60G42 46G10
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### No arbitrage in continuous financial markets. (English)Zbl 1443.91272

MSC:  91G15 60G44 60H30
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### Stability of McKean-Vlasov stochastic differential equations and applications. (English)Zbl 1465.60047

MSC:  60H10 60H07 49N90
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### Spine decompositions and limit theorems for a class of critical superprocesses. (English)Zbl 1434.60250

MSC:  60J80 60F05
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### European rainbow option values under the two-asset Merton jump-diffusion model. (English)Zbl 1429.91316

MSC:  91G20 60G44 60J76
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### On representations of the set of supermartingale measures and applications in continuous time. (English)Zbl 07553358

MSC:  60G42 91B24
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### Pricing and hedging equity-indexed annuities via local risk-minimization. (English)Zbl 07530892

MSC:  91B25 91G20
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### Optimal control problems with disorder. (English. Russian original)Zbl 1431.93063

Autom. Remote Control 80, No. 8, 1419-1427 (2019); translation from Avtom. Telemekh. 2019, No. 8, 64-75 (2019).
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### Mean correcting martingale measure for exponential semimartingale market models. (Chinese. English summary)Zbl 1449.60085

MSC:  60G48 60G57 91B26

### Martingale optimal transport in the discrete case via simple linear programming techniques. (English)Zbl 1435.49010

MSC:  49Q20 91G20 60G42
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### An alternative proof of the uniqueness of martingale-coboundary decomposition of strictly stationary processes. (English)Zbl 1463.28023

MSC:  28D05 60G10 60G42
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### On the support of extremal martingale measures with given marginals: the countable case. (English)Zbl 1427.60072

MSC:  60G42 91G70 91G20
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### The robust pricing-hedging duality for American options in discrete time financial markets. (English)Zbl 1432.91116

MSC:  91G20 60G40 60G44
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### Piecewise linear processes with Poisson-modulated exponential switching times. (English)Zbl 1423.60126

MSC:  60J75 60K15 91B26
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### A linear goal programming method to recover risk neutral probabilities from options prices by maximum entropy. (English)Zbl 1426.91280

MSC:  91G20 90C29
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### On the multifractal analysis of the covering number on the Galton-Watson tree. (English)Zbl 1418.60035

MSC:  60G50 11K55
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### Duality for pathwise superhedging in continuous time. (English)Zbl 1429.91314

MSC:  91G20 91B24 60G44
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### Long term behaviour of a reversible system of interacting random walks. (English)Zbl 1415.60115

MSC:  60K35 60G50
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### Lattice birth-and-death processes. (English)Zbl 1415.60112

MSC:  60K35 82C22
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### A Feynman-Kac type formula for a fixed delay CIR model. (English)Zbl 1416.91384

MSC:  91G30 60H10 34K50
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### Probability measure-valued polynomial diffusions. (English)Zbl 1467.60062

MSC:  60J68 60G57
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### Splitting tessellations in spherical spaces. (English)Zbl 1417.52006

MSC:  52A22 60D05 53C65
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### Risk and stochastics. Ragnar Norberg. With an autobiography by Ragnar Norberg. (English)Zbl 1453.91004

Hackensack, NJ: World Scientific (ISBN 978-1-78634-194-5/hbk; 978-1-78634-196-9/ebook). cxxxvii, 180 p. (2019).
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### Complex chooser option pricing for continuous O-U process. (English)Zbl 1424.91122

MSC:  91G20 60J60 60G44
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### Absolute continuity of semimartingales. (English)Zbl 1406.60062

MSC:  60G44 60G48
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### Partial hedging of American contingent claims in a finite discrete time model. (English)Zbl 1419.91621

MSC:  91G20 60G40
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### Variance-optimal martingale measures for diffusion processes with stochastic coefficients. (English)Zbl 1405.60056

MSC:  60G44 91B24 91B70
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### On the integration by parts formula and martingale representation of fractional diffusion measure. (Chinese. English summary)Zbl 1413.60032

MSC:  60G22 60J60

### A characterization of the set of local martingale measures. (English)Zbl 1397.60082

MSC:  60G42 91B24
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### Duality for symmetric Hardy spaces of noncommutative martingales. (English)Zbl 1403.46051

MSC:  46L53 46L52 46L51
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### Random cutouts of the unit cube with I.U.D centers. (English)Zbl 1409.60081

MSC:  60G57 28A80

### A 2-spine decomposition of the critical Galton-Watson tree and a probabilistic proof of Yaglom’s theorem. (English)Zbl 1394.60089

MSC:  60J80 60F05
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### Statistical causality and extremal measures. (English)Zbl 1393.60043

MSC:  60G44 60G40 60H30
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### Convex duality and financial mathematics. (English)Zbl 1416.91003

SpringerBriefs in Mathematics. Cham: Springer (ISBN 978-3-319-92491-5/pbk; 978-3-319-92492-2/ebook). xiii, 152 p. (2018).
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### On the relaxed mean-field stochastic control problem. (English)Zbl 1391.93293

MSC:  93E20 60H30
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### A remark on conditions that a diffusion in the natural scale is a martingale. (English)Zbl 1395.60097

MSC:  60J60 60G44
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### Extremes of local times for simple random walks on symmetric trees. (English)Zbl 1390.60285

MSC:  60J55 60J10 60G70
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### Weighted entropy and optimal portfolios for risk-averse Kelly investments. (English)Zbl 1442.91087

MSC:  91G10 60A10
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### On the multidimensional financial (B,S)-market. (English)Zbl 07563959

MSC:  60G46 91G20
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### The martingale approach for vulnerable binary option pricing under stochastic interest rate. (English)Zbl 1427.91278

MSC:  91G20 60H30 91G50
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### The minimal symmetric $$\kappa$$ entropy martingale measure and valuation problem of incomplete market. (Chinese. English summary)Zbl 1389.91034

MSC:  91B16 60G46
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### Valuation and hedging strategy of currency options under regime-switching jump-diffusion model. (English)Zbl 1416.91369

MSC:  91G20 60G44 60H15 60J75
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### Pricing power options with a generalized jump diffusion. (English)Zbl 1379.62060

MSC:  62P05 60J75 91G20
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### Existence and optimality conditions for relaxed mean-field stochastic control problems. (English)Zbl 1377.93173

MSC:  93E20 49K45 60H10
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### On the convergence of He and Zhu’s new series solution for pricing options with the Heston model. (English)Zbl 1399.91128

MSC:  91G20 60G44 60H30

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