Chikvinidze, Besik; Mania, Michael; Tevzadze, Revaz Functional equations for the stochastic exponential. (English) Zbl 07772252 Stoch. Dyn. 23, No. 6, Article ID 2350041, 17 p. (2023). MSC: 60G44 60G46 60J65 97I70 PDF BibTeX XML Cite \textit{B. Chikvinidze} et al., Stoch. Dyn. 23, No. 6, Article ID 2350041, 17 p. (2023; Zbl 07772252) Full Text: DOI arXiv
Hess, Markus The stochastic Leibniz formula for Volterra integrals under enlarged filtrations. (English) Zbl 07769910 Stoch. Models 39, No. 4, 823-850 (2023). MSC: 60H05 60H20 60G20 60G44 60H10 60G51 60G57 PDF BibTeX XML Cite \textit{M. Hess}, Stoch. Models 39, No. 4, 823--850 (2023; Zbl 07769910) Full Text: DOI
Breton, Jean-Christophe; El-Khatib, Youssef; Fan, Jun; Privault, Nicolas A \(q\)-binomial extension of the CRR asset pricing model. (English) Zbl 07769908 Stoch. Models 39, No. 4, 772-796 (2023). MSC: 91G20 91G60 60G42 60G50 PDF BibTeX XML Cite \textit{J.-C. Breton} et al., Stoch. Models 39, No. 4, 772--796 (2023; Zbl 07769908) Full Text: DOI arXiv
Owo, Jean-Marc; Aman, Auguste Generalized backward doubly stochastic differential equations driven by Lévy processes with discontinuous and linear growth coefficients. (English) Zbl 07768807 J. Theor. Probab. 36, No. 4, 2311-2338 (2023). MSC: 60G51 60H10 91G20 60H30 PDF BibTeX XML Cite \textit{J.-M. Owo} and \textit{A. Aman}, J. Theor. Probab. 36, No. 4, 2311--2338 (2023; Zbl 07768807) Full Text: DOI arXiv
Konarovskyi, Vitalii; Marx, Victor On conditioning Brownian particles to coalesce. (English) Zbl 07768801 J. Theor. Probab. 36, No. 4, 2126-2164 (2023). MSC: 60J90 60G15 60G44 60K35 60E05 PDF BibTeX XML Cite \textit{V. Konarovskyi} and \textit{V. Marx}, J. Theor. Probab. 36, No. 4, 2126--2164 (2023; Zbl 07768801) Full Text: DOI arXiv OA License
Kordzakhia, N. E.; Novikov, A. A.; Shiryaev, A. N. The Kolmogorov inequality for the maximum of the sum of random variables and its martingale analogues. (English. Russian original) Zbl 07764859 Theory Probab. Appl. 68, No. 3, 457-472 (2023); translation from Teor. Veroyatn. Primen. 68, No. 3, 565-585 (2023). MSC: 60E15 60G44 60J65 60G40 PDF BibTeX XML Cite \textit{N. E. Kordzakhia} et al., Theory Probab. Appl. 68, No. 3, 457--472 (2023; Zbl 07764859); translation from Teor. Veroyatn. Primen. 68, No. 3, 565--585 (2023) Full Text: DOI
Choné, Philippe; Gozlan, Nathael; Kramarz, Francis Weak optimal transport with unnormalized kernels. (English) Zbl 07763742 SIAM J. Math. Anal. 55, No. 6, 6039-6092 (2023). MSC: 49Q22 49N15 60G42 60E15 PDF BibTeX XML Cite \textit{P. Choné} et al., SIAM J. Math. Anal. 55, No. 6, 6039--6092 (2023; Zbl 07763742) Full Text: DOI arXiv
Chen, Jiaming; Laulin, Lucile Analysis of the smoothly amnesia-reinforced multidimensional elephant random walk. (English) Zbl 07761520 J. Stat. Phys. 190, No. 10, Paper No. 158, 42 p. (2023). MSC: 60G50 60F05 60G42 60F15 PDF BibTeX XML Cite \textit{J. Chen} and \textit{L. Laulin}, J. Stat. Phys. 190, No. 10, Paper No. 158, 42 p. (2023; Zbl 07761520) Full Text: DOI arXiv
Dedecker, Jérôme; Fan, Xiequan; Hu, Haijuan; Merlevède, Florence Rates of convergence in the central limit theorem for the elephant random walk with random step sizes. (English) Zbl 07761516 J. Stat. Phys. 190, No. 10, Paper No. 154, 30 p. (2023). MSC: 60F05 60G50 60G42 PDF BibTeX XML Cite \textit{J. Dedecker} et al., J. Stat. Phys. 190, No. 10, Paper No. 154, 30 p. (2023; Zbl 07761516) Full Text: DOI arXiv
Fan, Wenfei; Li, Yanmeng; Wu, Lian Real interpolations for martingale Hardy-Orlicz-Lorentz spaces. (English) Zbl 07761225 Z. Anal. Anwend. 42, No. 1-2, 157-169 (2023). MSC: 60G42 60G46 PDF BibTeX XML Cite \textit{W. Fan} et al., Z. Anal. Anwend. 42, No. 1--2, 157--169 (2023; Zbl 07761225) Full Text: DOI
Domelevo, Komla; Petermichl, Stefanie Bellman functions and continuous time. (English) Zbl 07756043 Koldobsky, Alexander (ed.) et al., Harmonic analysis and convexity. Berlin: De Gruyter. Adv. Anal. Geom. 9, 119-162 (2023). MSC: 60G44 60G46 PDF BibTeX XML Cite \textit{K. Domelevo} and \textit{S. Petermichl}, Adv. Anal. Geom. 9, 119--162 (2023; Zbl 07756043) Full Text: DOI
Liu, Kaituo; Lu, Jianzhong; Peng, Lihua Real interpolation between strong martingale Hardy spaces. (English) Zbl 07755367 Acta Math. Vietnam. 48, No. 3, 423-443 (2023). MSC: 60G42 60G46 PDF BibTeX XML Cite \textit{K. Liu} et al., Acta Math. Vietnam. 48, No. 3, 423--443 (2023; Zbl 07755367) Full Text: DOI
Wang, Hao; Wang, Ning; Xu, Lin; Hu, Shujie; Yan, Xingyu Household investment-consumption-insurance policies under the age-dependent risk preferences. (English) Zbl 07750955 Int. J. Control 96, No. 10, 2542-2554 (2023). MSC: 91B42 91G05 60G46 PDF BibTeX XML Cite \textit{H. Wang} et al., Int. J. Control 96, No. 10, 2542--2554 (2023; Zbl 07750955) Full Text: DOI
Fontana, Claudio; Pavarana, Simone; Runggaldier, Wolfgang J. A stochastic control perspective on term structure models with roll-over risk. (English) Zbl 07748828 Finance Stoch. 27, No. 4, 903-932 (2023). MSC: 91G30 60G44 93E20 91G10 PDF BibTeX XML Cite \textit{C. Fontana} et al., Finance Stoch. 27, No. 4, 903--932 (2023; Zbl 07748828) Full Text: DOI arXiv OA License
Kabanov, Yuri; Promyslov, Platon Ruin probabilities for a Sparre Andersen model with investments: the case of annuity payments. (English) Zbl 07748827 Finance Stoch. 27, No. 4, 887-902 (2023). MSC: 91G05 60G44 PDF BibTeX XML Cite \textit{Y. Kabanov} and \textit{P. Promyslov}, Finance Stoch. 27, No. 4, 887--902 (2023; Zbl 07748827) Full Text: DOI arXiv
Giraudo, Davide An exponential inequality for orthomartingale difference random fields and some applications. (Une Inégalité exponentielle pour des champs de type accroissements d’orthomartingales et quelques applications.) (English. French summary) Zbl 07747036 Ann. Henri Lebesgue 6, 575-594 (2023). MSC: 60F17 60G48 60G60 PDF BibTeX XML Cite \textit{D. Giraudo}, Ann. Henri Lebesgue 6, 575--594 (2023; Zbl 07747036) Full Text: DOI arXiv
Hallman, Eric; Ipsen, Ilse C. F. Precision-aware deterministic and probabilistic error bounds for floating point summation. (English) Zbl 07746803 Numer. Math. 155, No. 1-2, 83-119 (2023). MSC: 65G99 60G42 60G50 PDF BibTeX XML Cite \textit{E. Hallman} and \textit{I. C. F. Ipsen}, Numer. Math. 155, No. 1--2, 83--119 (2023; Zbl 07746803) Full Text: DOI arXiv
Silas, N.; Tian, H. Interpolation on weak martingale Hardy-type spaces associated with quasi-Banach function lattice. (English) Zbl 07745822 Acta Math. Hung. 170, No. 2, 551-572 (2023). MSC: 60G46 60G42 42B35 PDF BibTeX XML Cite \textit{N. Silas} and \textit{H. Tian}, Acta Math. Hung. 170, No. 2, 551--572 (2023; Zbl 07745822) Full Text: DOI
Platen, Eckhard; Tappe, Stefan Exploiting arbitrage requires short selling. (English) Zbl 07742655 Front. Math. Finance 2, No. 3, 265-282 (2023). MSC: 91G15 60G48 PDF BibTeX XML Cite \textit{E. Platen} and \textit{S. Tappe}, Front. Math. Finance 2, No. 3, 265--282 (2023; Zbl 07742655) Full Text: DOI arXiv
Belomestny, Denis; Schoenmakers, John From optimal martingales to randomized dual optimal stopping. (English) Zbl 07742095 Quant. Finance 23, No. 7-8, 1099-1113 (2023). MSC: 91G60 65C05 60G40 60G46 PDF BibTeX XML Cite \textit{D. Belomestny} and \textit{J. Schoenmakers}, Quant. Finance 23, No. 7--8, 1099--1113 (2023; Zbl 07742095) Full Text: DOI arXiv
Sawano, Yoshihiro Martingale Hardy spaces based on quasi-Banach function lattices. (English) Zbl 07741262 Trans. A. Razmadze Math. Inst. 177, No. 2, 259-273 (2023). MSC: 60G46 42B30 46E30 42B35 PDF BibTeX XML Cite \textit{Y. Sawano}, Trans. A. Razmadze Math. Inst. 177, No. 2, 259--273 (2023; Zbl 07741262) Full Text: Link
Criens, David; Niemann, Lars Robust utility maximization with nonlinear continuous semimartingales. (English) Zbl 07740225 Math. Financ. Econ. 17, No. 3, 499-536 (2023). MSC: 91G10 91B16 93E20 60G44 PDF BibTeX XML Cite \textit{D. Criens} and \textit{L. Niemann}, Math. Financ. Econ. 17, No. 3, 499--536 (2023; Zbl 07740225) Full Text: DOI arXiv
Flesch, János; Predtetchinski, Arkadi; Sudderth, William Superfair stochastic games. (English) Zbl 07739284 Appl. Math. Optim. 88, No. 3, Paper No. 75, 17 p. (2023). MSC: 91A15 91A10 91A05 60J10 60G42 PDF BibTeX XML Cite \textit{J. Flesch} et al., Appl. Math. Optim. 88, No. 3, Paper No. 75, 17 p. (2023; Zbl 07739284) Full Text: DOI
Aidara, Sadibou; Sane, Ibrahima Delay BSDEs driven by fractional Brownian motion. (English) Zbl 07739190 Random Oper. Stoch. Equ. 31, No. 3, 273-284 (2023). MSC: 60H05 60H07 60G22 60G44 PDF BibTeX XML Cite \textit{S. Aidara} and \textit{I. Sane}, Random Oper. Stoch. Equ. 31, No. 3, 273--284 (2023; Zbl 07739190) Full Text: DOI
Dumitrescu, Roxana; Elie, Romuald; Sabbagh, Wissal; Zhou, Chao A new Mertens decomposition of \(\mathscr{Y}^{g , \xi} \)-submartingale systems. Application to BSDEs with weak constraints at stopping times. (English) Zbl 1521.93203 Stochastic Processes Appl. 164, 183-205 (2023). MSC: 93E20 60H30 60G46 47N10 91A15 PDF BibTeX XML Cite \textit{R. Dumitrescu} et al., Stochastic Processes Appl. 164, 183--205 (2023; Zbl 1521.93203) Full Text: DOI arXiv
Cai, Cheng; De Angelis, Tiziano A change of variable formula with applications to multi-dimensional optimal stopping problems. (English) Zbl 07738466 Stochastic Processes Appl. 164, 33-61 (2023). MSC: 60H05 60G44 60J60 60J65 60G40 35R35 PDF BibTeX XML Cite \textit{C. Cai} and \textit{T. De Angelis}, Stochastic Processes Appl. 164, 33--61 (2023; Zbl 07738466) Full Text: DOI arXiv
Ghasemi, Mina; Javanian, Mehri; Imany-Nabiyyi, Ramin Note on the exponential recursive \(k\)-ary trees. (English) Zbl 1521.05022 RAIRO, Theor. Inform. Appl. 57, Paper No. 5, 14 p. (2023). MSC: 05C05 05C82 05C90 60C05 60F05 60G42 PDF BibTeX XML Cite \textit{M. Ghasemi} et al., RAIRO, Theor. Inform. Appl. 57, Paper No. 5, 14 p. (2023; Zbl 1521.05022) Full Text: DOI
Forde, Martin; Smith, Benjamin Markovian stochastic volatility with stochastic correlation – joint calibration and consistency of SPX/VIX short-maturity smiles. (English) Zbl 1521.91358 Int. J. Theor. Appl. Finance 26, No. 2-3, Article ID 2350007, 42 p. (2023). MSC: 91G20 60F10 60G46 PDF BibTeX XML Cite \textit{M. Forde} and \textit{B. Smith}, Int. J. Theor. Appl. Finance 26, No. 2--3, Article ID 2350007, 42 p. (2023; Zbl 1521.91358) Full Text: DOI
Light, Bar Improving Hoeffding’s inequality using higher moments information. (English) Zbl 07733986 Stat. Probab. Lett. 201, Article ID 109882, 10 p. (2023). MSC: 60E15 60F10 60G50 60G42 PDF BibTeX XML Cite \textit{B. Light}, Stat. Probab. Lett. 201, Article ID 109882, 10 p. (2023; Zbl 07733986) Full Text: DOI
Cox, Alexander M. G.; Robinson, Benjamin A. SDEs with no strong solution arising from a problem of stochastic control. (English) Zbl 07733585 Electron. J. Probab. 28, Paper No. 104, 24 p. (2023). MSC: 60G44 60H10 93E20 PDF BibTeX XML Cite \textit{A. M. G. Cox} and \textit{B. A. Robinson}, Electron. J. Probab. 28, Paper No. 104, 24 p. (2023; Zbl 07733585) Full Text: DOI arXiv Link
An, Lifen; Cohen, Samuel N.; Ji, Shaolin Reflected backward stochastic difference equations and optimal stopping problems under \(g\)-expectation. (English) Zbl 07733584 Electron. J. Probab. 28, Paper No. 99, 24 p. (2023). MSC: 60G42 60H10 PDF BibTeX XML Cite \textit{L. An} et al., Electron. J. Probab. 28, Paper No. 99, 24 p. (2023; Zbl 07733584) Full Text: DOI arXiv Link
El-Louh, M’hamed; El Allali, Mohammed; Ezzaki, Fatima Convergence theorem of Pettis integrable multivalued pramart. (English) Zbl 07733103 Arab J. Math. Sci. 29, No. 2, 204-227 (2023). MSC: 60G48 28B20 46G10 PDF BibTeX XML Cite \textit{M. El-Louh} et al., Arab J. Math. Sci. 29, No. 2, 204--227 (2023; Zbl 07733103) Full Text: DOI
Jiao, Yong; Wu, Lian; Zhou, Dejian Noncommutative martingale Hardy-Orlicz spaces: dualities and inequalities. (English) Zbl 07732871 Sci. China, Math. 66, No. 9, 2081-2104 (2023). MSC: 46L53 60G42 46L52 PDF BibTeX XML Cite \textit{Y. Jiao} et al., Sci. China, Math. 66, No. 9, 2081--2104 (2023; Zbl 07732871) Full Text: DOI
Du, Yanyan; Ye, Ming; Zhang, Qimin Global martingale solutions to stochastic population-toxicant model with cross-diffusion. (English) Zbl 07727103 Appl. Math. Lett. 145, Article ID 108721, 7 p. (2023). Reviewer: Takashi Suzuki (Osaka) MSC: 92D25 92D40 60G46 35R60 35K55 PDF BibTeX XML Cite \textit{Y. Du} et al., Appl. Math. Lett. 145, Article ID 108721, 7 p. (2023; Zbl 07727103) Full Text: DOI
Landriault, David; Li, Bin; Pedraza, José M. Optimal stopping for exponential Lévy models with weighted discounting. (English) Zbl 1519.91230 SIAM J. Financ. Math. 14, No. 3, 777-811 (2023). MSC: 91G10 60G40 60G51 60G46 PDF BibTeX XML Cite \textit{D. Landriault} et al., SIAM J. Financ. Math. 14, No. 3, 777--811 (2023; Zbl 1519.91230) Full Text: DOI
Mancini, Cecilia Drift burst test statistic in the presence of infinite variation jumps. (English) Zbl 07726180 Stochastic Processes Appl. 163, 535-591 (2023). MSC: 62G20 60G48 60E10 60G52 PDF BibTeX XML Cite \textit{C. Mancini}, Stochastic Processes Appl. 163, 535--591 (2023; Zbl 07726180) Full Text: DOI
Fontana, Claudio; Gnoatto, Alessandro; Szulda, Guillaume CBI-time-changed Lévy processes. (English) Zbl 1517.60050 Stochastic Processes Appl. 163, 323-349 (2023). MSC: 60G51 91G20 91G30 60H20 60J25 60G44 60J80 PDF BibTeX XML Cite \textit{C. Fontana} et al., Stochastic Processes Appl. 163, 323--349 (2023; Zbl 1517.60050) Full Text: DOI arXiv
Wang, Hongjian; Ramdas, Aaditya Catoni-style confidence sequences for heavy-tailed mean estimation. (English) Zbl 07726169 Stochastic Processes Appl. 163, 168-202 (2023). MSC: 62L12 60G42 PDF BibTeX XML Cite \textit{H. Wang} and \textit{A. Ramdas}, Stochastic Processes Appl. 163, 168--202 (2023; Zbl 07726169) Full Text: DOI arXiv
Badger, Matthew; McCurdy, Sean Subsets of rectifiable curves in Banach spaces. II: Universal estimates for almost flat arcs. (English) Zbl 07724274 Ill. J. Math. 67, No. 2, 275-331 (2023). MSC: 28A75 26A16 46B20 60G46 PDF BibTeX XML Cite \textit{M. Badger} and \textit{S. McCurdy}, Ill. J. Math. 67, No. 2, 275--331 (2023; Zbl 07724274) Full Text: DOI arXiv Link
Belfadli, R.; Chadad, M.; Erraoui, M. On the sum of Gaussian martingale and an independent fractional Brownian motion. (English) Zbl 07723264 Theory Probab. Appl. 68, No. 2, 316-323 (2023) and Teor. Veroyatn. Primen. 68, No. 2, 383-392 (2023). MSC: 60G15 60G42 60G22 PDF BibTeX XML Cite \textit{R. Belfadli} et al., Theory Probab. Appl. 68, No. 2, 316--323 (2023; Zbl 07723264) Full Text: DOI
Chen, Yuyang; Luo, Peng Existence and uniqueness of solutions for multi-dimensional reflected backward stochastic differential equations with diagonally quadratic generators. (English) Zbl 1517.60060 J. Theor. Probab. 36, No. 3, 1698-1719 (2023). MSC: 60H10 60H30 PDF BibTeX XML Cite \textit{Y. Chen} and \textit{P. Luo}, J. Theor. Probab. 36, No. 3, 1698--1719 (2023; Zbl 1517.60060) Full Text: DOI
Wollgast, Dennis; Zorin-Kranich, Pavel Weighted Davis inequalities for martingale square functions. (English) Zbl 07722778 J. Theor. Probab. 36, No. 3, 1520-1533 (2023). MSC: 60L20 60G44 60G46 60H05 PDF BibTeX XML Cite \textit{D. Wollgast} and \textit{P. Zorin-Kranich}, J. Theor. Probab. 36, No. 3, 1520--1533 (2023; Zbl 07722778) Full Text: DOI arXiv
Liu, Kaituo; Lu, Jianzhong; Wu, Jun; Yue, Tian Orlicz-Hardy weak martingale spaces for two-parameter. (English) Zbl 1517.60047 Taiwanese J. Math. 27, No. 3, 553-576 (2023). MSC: 60G46 42B35 46E30 PDF BibTeX XML Cite \textit{K. Liu} et al., Taiwanese J. Math. 27, No. 3, 553--576 (2023; Zbl 1517.60047) Full Text: DOI
Criens, David On the Feller-Dynkin and the martingale property of one-dimensional diffusions. (English) Zbl 07721297 Electron. Commun. Probab. 28, Paper No. 20, 15 p. (2023). Reviewer: Göran Högnäs (Åbo) MSC: 60J60 60G44 60J35 60H10 PDF BibTeX XML Cite \textit{D. Criens}, Electron. Commun. Probab. 28, Paper No. 20, 15 p. (2023; Zbl 07721297) Full Text: DOI arXiv
Galane, Lesiba Ch.; Łochowski, Rafał M.; Mhlanga, Farai J. On SDEs with Lipschitz coefficients, driven by continuous, model-free martingales. (English) Zbl 07721296 Electron. Commun. Probab. 28, Paper No. 14, 12 p. (2023). MSC: 60H20 91G99 PDF BibTeX XML Cite \textit{L. Ch. Galane} et al., Electron. Commun. Probab. 28, Paper No. 14, 12 p. (2023; Zbl 07721296) Full Text: DOI arXiv
Qi, Zongfeng; Zhou, Jinyu; Yan, Jigao Complete moment convergence for maximum of randomly weighted sums of martingale difference sequences. (English) Zbl 1518.60048 Stochastics 95, No. 5, 941-961 (2023). MSC: 60F15 60G46 60G50 62G08 PDF BibTeX XML Cite \textit{Z. Qi} et al., Stochastics 95, No. 5, 941--961 (2023; Zbl 1518.60048) Full Text: DOI
Neufcourt, Léo; Protter, Philip Expansion of a filtration with a stochastic process: the information drift. (English) Zbl 1515.60121 Numer. Algebra Control Optim. 13, No. 3-4, 714-742 (2023). MSC: 60G44 60G48 60G07 91G80 PDF BibTeX XML Cite \textit{L. Neufcourt} and \textit{P. Protter}, Numer. Algebra Control Optim. 13, No. 3--4, 714--742 (2023; Zbl 1515.60121) Full Text: DOI arXiv
El-Louh, M.’hamed; El-Moustafid, Mohamed; Ezzaki, Fatima; Tahri, Khalid Multivalued Bourgin’s theorem and applications. (English) Zbl 07719218 Ann. Funct. Anal. 14, No. 3, Paper No. 64, 16 p. (2023). MSC: 28B20 46A17 60G42 PDF BibTeX XML Cite \textit{M. El-Louh} et al., Ann. Funct. Anal. 14, No. 3, Paper No. 64, 16 p. (2023; Zbl 07719218) Full Text: DOI
Madan, Dilip B.; Schoutens, Wim; Wang, King Option returns. (English) Zbl 1520.91405 Front. Math. Finance 2, No. 2, 244-264 (2023). MSC: 91G20 35R60 45K05 60G46 PDF BibTeX XML Cite \textit{D. B. Madan} et al., Front. Math. Finance 2, No. 2, 244--264 (2023; Zbl 1520.91405) Full Text: DOI
Bayraktar, Erhan; Deng, Shuoqing; Norgilas, Dominykas Supermartingale Brenier’s theorem with full-marginals constraint. (English) Zbl 1520.91438 Front. Math. Finance 2, No. 2, 202-243 (2023). MSC: 91G80 60G48 PDF BibTeX XML Cite \textit{E. Bayraktar} et al., Front. Math. Finance 2, No. 2, 202--243 (2023; Zbl 1520.91438) Full Text: DOI arXiv
Choulli, Tahir; Alharbi, Ferdoos Representation for martingales living after a random time with applications. (English) Zbl 1520.91385 Front. Math. Finance 2, No. 2, 170-201 (2023). MSC: 91G15 60G48 PDF BibTeX XML Cite \textit{T. Choulli} and \textit{F. Alharbi}, Front. Math. Finance 2, No. 2, 170--201 (2023; Zbl 1520.91385) Full Text: DOI arXiv
Criens, David Propagation of chaos for weakly interacting mild solutions to stochastic partial differential equations. (English) Zbl 07715941 J. Stat. Phys. 190, No. 6, Paper No. 114, 40 p. (2023). Reviewer: Alexandra Rodkina (College Station) MSC: 60H15 60G48 60B10 PDF BibTeX XML Cite \textit{D. Criens}, J. Stat. Phys. 190, No. 6, Paper No. 114, 40 p. (2023; Zbl 07715941) Full Text: DOI arXiv
Bazyari, Abouzar On the ruin probabilities for a general perturbed renewal risk process. (English) Zbl 1520.91307 J. Stat. Plann. Inference 227, 1-17 (2023). MSC: 91G05 60K10 60G46 62G32 PDF BibTeX XML Cite \textit{A. Bazyari}, J. Stat. Plann. Inference 227, 1--17 (2023; Zbl 1520.91307) Full Text: DOI
Angel, Omer; Holmes, Mark; Ramirez, Alejandro Balanced excited random walk in two dimensions. (English) Zbl 07713551 Ann. Probab. 51, No. 4, 1421-1448 (2023). MSC: 60K35 60G42 PDF BibTeX XML Cite \textit{O. Angel} et al., Ann. Probab. 51, No. 4, 1421--1448 (2023; Zbl 07713551) Full Text: DOI arXiv
Mania, Michael; Tevzadze, Revaz Martingale transformations of Brownian motion with application to functional equations. (English) Zbl 07711918 Stochastics 95, No. 3, 377-395 (2023). MSC: 60G44 60J65 97I70 PDF BibTeX XML Cite \textit{M. Mania} and \textit{R. Tevzadze}, Stochastics 95, No. 3, 377--395 (2023; Zbl 07711918) Full Text: DOI arXiv
Berkaoui, Abdelkarem On the optional and orthogonal decompositions of supermartingales and applications. (English) Zbl 07711751 Stat. Probab. Lett. 199, Article ID 109850, 8 p. (2023). Reviewer: Ferenc Weisz (Budapest) MSC: 60G42 91B24 PDF BibTeX XML Cite \textit{A. Berkaoui}, Stat. Probab. Lett. 199, Article ID 109850, 8 p. (2023; Zbl 07711751) Full Text: DOI
Köpfer, Benedikt; Rüschendorf, Ludger Markov projection of semimartingales – application to comparison results. (English) Zbl 07711490 Stochastic Processes Appl. 162, 361-386 (2023). MSC: 60G44 60E15 60J25 PDF BibTeX XML Cite \textit{B. Köpfer} and \textit{L. Rüschendorf}, Stochastic Processes Appl. 162, 361--386 (2023; Zbl 07711490) Full Text: DOI
Divandar, Mahin Sadat; Sadeghi, Ghadir The Itô integral and near-martingales in Riesz spaces. (English) Zbl 07710583 Commun. Stat., Theory Methods 52, No. 14, 5068-5081 (2023). MSC: 46A40 60G44 60G48 PDF BibTeX XML Cite \textit{M. S. Divandar} and \textit{G. Sadeghi}, Commun. Stat., Theory Methods 52, No. 14, 5068--5081 (2023; Zbl 07710583) Full Text: DOI
Namgalauri, Ekaterine; Purtukhia, Omar On the stochastic integral representation of Brownian functionals. (English) Zbl 1514.60052 Georgian Math. J. 30, No. 3, 417-424 (2023). MSC: 60G46 60H05 60H07 PDF BibTeX XML Cite \textit{E. Namgalauri} and \textit{O. Purtukhia}, Georgian Math. J. 30, No. 3, 417--424 (2023; Zbl 1514.60052) Full Text: DOI
Han, Yingying; Zhou, Shaosheng \(H_\infty\) filtering of discrete-time Markovian jump singular systems via bounded real lemma and supermartingale-liked approach. (English) Zbl 1520.93125 Int. J. Syst. Sci., Princ. Appl. Syst. Integr. 54, No. 2, 251-263 (2023). MSC: 93B36 93E11 93C55 93E15 60G46 PDF BibTeX XML Cite \textit{Y. Han} and \textit{S. Zhou}, Int. J. Syst. Sci., Princ. Appl. Syst. Integr. 54, No. 2, 251--263 (2023; Zbl 1520.93125) Full Text: DOI
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 PDF BibTeX XML Cite \textit{D. Cordero-Erausquin} and \textit{A. Eskenazis}, Anal. PDE 16, No. 2, 571--612 (2023; Zbl 1517.42026) Full Text: DOI arXiv
Goginava, Ushangi; Nagy, Károly Two-dimensional martingale transforms and their applications in summability of Walsh-Fourier series. (English) Zbl 1517.42027 J. Geom. Anal. 33, No. 8, Paper No. 245, 19 p. (2023). MSC: 42C10 42B08 60G46 60G42 PDF BibTeX XML Cite \textit{U. Goginava} and \textit{K. Nagy}, J. Geom. Anal. 33, No. 8, Paper No. 245, 19 p. (2023; Zbl 1517.42027) Full Text: DOI
Merkle, Ana Causal predictability and weak solutions of the stochastic differential equations with driving semimartingales. (English) Zbl 1515.60207 Stat. Probab. Lett. 197, Article ID 109816, 7 p. (2023). MSC: 60H10 60H30 60G44 60G07 PDF BibTeX XML Cite \textit{A. Merkle}, Stat. Probab. Lett. 197, Article ID 109816, 7 p. (2023; Zbl 1515.60207) Full Text: DOI
Papapantoleon, Antonis; Possamaï, Dylan; Saplaouras, Alexandros Stability of backward stochastic differential equations: the general Lipschitz case. (English) Zbl 1520.60050 Electron. J. Probab. 28, Paper No. 51, 56 p. (2023). Reviewer: Alexandra Rodkina (College Station) MSC: 60J76 60H05 60H20 PDF BibTeX XML Cite \textit{A. Papapantoleon} et al., Electron. J. Probab. 28, Paper No. 51, 56 p. (2023; Zbl 1520.60050) Full Text: DOI arXiv Link
Gałązka, Tomasz; Osękowski, Adam Sharp estimates for martingale transforms with unbounded transforming sequences. (English) Zbl 07707100 Electron. J. Probab. 28, Paper No. 66, 20 p. (2023). MSC: 60G42 60G44 PDF BibTeX XML Cite \textit{T. Gałązka} and \textit{A. Osękowski}, Electron. J. Probab. 28, Paper No. 66, 20 p. (2023; Zbl 07707100) Full Text: DOI Link
El Omari, Mohamed Mixtures of higher-order fractional Brownian motions. (English) Zbl 07706310 Commun. Stat., Theory Methods 52, No. 12, 4200-4215 (2023). MSC: 60G18 60G22 60G48 PDF BibTeX XML Cite \textit{M. El Omari}, Commun. Stat., Theory Methods 52, No. 12, 4200--4215 (2023; Zbl 07706310) Full Text: DOI
Rathinasamy, Anandaraman; Mayavel, Pichamuthu The balanced split step theta approximations of stochastic neutral Hopfield neural networks with time delay and Poisson jumps. (English) Zbl 07704198 Appl. Math. Comput. 455, Article ID 128129, 25 p. (2023). MSC: 65L20 60H10 60H30 60H35 65C30 60G42 PDF BibTeX XML Cite \textit{A. Rathinasamy} and \textit{P. Mayavel}, Appl. Math. Comput. 455, Article ID 128129, 25 p. (2023; Zbl 07704198) Full Text: DOI
Frick, Mira; Iijima, Ryota; Ishii, Yuhta Belief convergence under misspecified learning: a martingale approach. (English) Zbl 1519.91191 Rev. Econ. Stud. 90, No. 2, 781-814 (2023). MSC: 91D15 60G46 PDF BibTeX XML Cite \textit{M. Frick} et al., Rev. Econ. Stud. 90, No. 2, 781--814 (2023; Zbl 1519.91191) Full Text: DOI
Yuan, Haili; Hu, Yijun Optimal investment strategies for an insurer with liquid constraint. (English) Zbl 07702502 Commun. Stat., Theory Methods 52, No. 7, 2198-2214 (2023). MSC: 91G10 93E20 60J75 60G46 PDF BibTeX XML Cite \textit{H. Yuan} and \textit{Y. Hu}, Commun. Stat., Theory Methods 52, No. 7, 2198--2214 (2023; Zbl 07702502) Full Text: DOI
Hendy, Ahmed S.; Zaky, Mahmoud A.; Doha, Eid H. On a discrete fractional stochastic Grönwall inequality and its application in the numerical analysis of stochastic FDEs involving a martingale. (English) Zbl 07702451 Int. J. Nonlinear Sci. Numer. Simul. 24, No. 2, 531-537 (2023). MSC: 65C30 60G22 60G42 PDF BibTeX XML Cite \textit{A. S. Hendy} et al., Int. J. Nonlinear Sci. Numer. Simul. 24, No. 2, 531--537 (2023; Zbl 07702451) Full Text: DOI
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 PDF BibTeX XML Cite \textit{R. Jarrow} and \textit{Y. Liu}, Front. Math. Finance 2, No. 1, 33--55 (2023; Zbl 1519.91271) Full Text: DOI
Zhitlukhin, Mikhail Asymptotic minimization of expected time to reach a large wealth level in an asset market game. (English) Zbl 07701606 Stochastics 95, No. 1, 67-78 (2023). MSC: 91B28 91G10 60H30 PDF BibTeX XML Cite \textit{M. Zhitlukhin}, Stochastics 95, No. 1, 67--78 (2023; Zbl 07701606) Full Text: DOI arXiv
Konarovskyi, Vitalii Coalescing-fragmentating Wasserstein dynamics: particle approach. (English) Zbl 07699948 Ann. Inst. Henri Poincaré, Probab. Stat. 59, No. 2, 983-1028 (2023). MSC: 60K35 60B12 60G44 60J60 82B21 PDF BibTeX XML Cite \textit{V. Konarovskyi}, Ann. Inst. Henri Poincaré, Probab. Stat. 59, No. 2, 983--1028 (2023; Zbl 07699948) Full Text: DOI arXiv
Nakagawa, Hidetoshi; Takada, Hideyuki A default contagion model for pricing defaultable bonds from an information based perspective. (English) Zbl 1518.91301 Quant. Finance 23, No. 1, 169-185 (2023). MSC: 91G40 PDF BibTeX XML Cite \textit{H. Nakagawa} and \textit{H. Takada}, Quant. Finance 23, No. 1, 169--185 (2023; Zbl 1518.91301) Full Text: DOI
Cinfrignini, Andrea; Petturiti, Davide; Vantaggi, Barbara Envelopes of equivalent martingale measures and a generalized no-arbitrage principle in a finite setting. (English) Zbl 1518.91276 Ann. Oper. Res. 321, No. 1-2, 103-137 (2023). MSC: 91G20 60G42 PDF BibTeX XML Cite \textit{A. Cinfrignini} et al., Ann. Oper. Res. 321, No. 1--2, 103--137 (2023; Zbl 1518.91276) Full Text: DOI arXiv
Černý, Aleš; Ruf, Johannes Simplified calculus for semimartingales: multiplicative compensators and changes of measure. (English) Zbl 1516.60009 Stochastic Processes Appl. 161, 572-602 (2023). MSC: 60E10 60G07 60G44 60G48 60G51 60H05 60H30 91G10 PDF BibTeX XML Cite \textit{A. Černý} and \textit{J. Ruf}, Stochastic Processes Appl. 161, 572--602 (2023; Zbl 1516.60009) Full Text: DOI arXiv
Yamagishi, Hayate; Yoshida, Nakahiro Order estimate of functionals related to fractional Brownian motion. (English) Zbl 07697551 Stochastic Processes Appl. 161, 490-543 (2023). MSC: 60G22 60F05 60H07 60G44 PDF BibTeX XML Cite \textit{H. Yamagishi} and \textit{N. Yoshida}, Stochastic Processes Appl. 161, 490--543 (2023; Zbl 07697551) Full Text: DOI
Wu, Minyu; Cao, Wenjie; Wu, Fuke Approximate properties of stochastic functional differential equations with singular perturbations. (English) Zbl 1519.34091 Discrete Contin. Dyn. Syst., Ser. B 28, No. 9, 4700-4734 (2023). MSC: 34K50 34K26 34K33 60G44 60H10 34K25 PDF BibTeX XML Cite \textit{M. Wu} et al., Discrete Contin. Dyn. Syst., Ser. B 28, No. 9, 4700--4734 (2023; Zbl 1519.34091) Full Text: DOI
Vidyasagar, M. Convergence of stochastic approximation via martingale and converse Lyapunov methods. (English) Zbl 1518.93148 Math. Control Signals Syst. 35, No. 2, 351-374 (2023). MSC: 93E15 93D20 60G48 PDF BibTeX XML Cite \textit{M. Vidyasagar}, Math. Control Signals Syst. 35, No. 2, 351--374 (2023; Zbl 1518.93148) Full Text: DOI arXiv
Ciosmak, Krzysztof J. Applications of Strassen’s theorem and Choquet theory to optimal transport problems, to uniformly convex functions and to uniformly smooth functions. (English) Zbl 07692890 Nonlinear Anal., Theory Methods Appl., Ser. A, Theory Methods 232, Article ID 113267, 32 p. (2023). Reviewer: Ioan Raşa (Cluj-Napoca) MSC: 46A55 49N15 26B25 60G42 90C46 49N05 47H05 46N30 PDF BibTeX XML Cite \textit{K. J. Ciosmak}, Nonlinear Anal., Theory Methods Appl., Ser. A, Theory Methods 232, Article ID 113267, 32 p. (2023; Zbl 07692890) Full Text: DOI arXiv
Chang, Mengmeng; Miao, Yu On the complete convergence of martingale. (English) Zbl 07692702 Math. Pannonica (N.S.) 29, No. 1, 111-119 (2023). Reviewer: Rasul A. Khan (Solon) MSC: 60F15 60G42 PDF BibTeX XML Cite \textit{M. Chang} and \textit{Y. Miao}, Math. Pannonica (N.S.) 29, No. 1, 111--119 (2023; Zbl 07692702) Full Text: DOI
Lu, Jianzhong; Weisz, Ferenc; Zhou, Dejian Real interpolation of variable martingale Hardy spaces and BMO spaces. (English) Zbl 07692332 Banach J. Math. Anal. 17, No. 3, Paper No. 47, 28 p. (2023). MSC: 46E30 46B70 46M35 42B35 60G42 60G46 PDF BibTeX XML Cite \textit{J. Lu} et al., Banach J. Math. Anal. 17, No. 3, Paper No. 47, 28 p. (2023; Zbl 07692332) Full Text: DOI
Isohätälä, Jukka; Haskell, William B. A dynamic analytic method for risk-aware controlled martingale problems. (English) Zbl 1518.93154 Ann. Appl. Probab. 33, No. 3, 1661-1700 (2023). MSC: 93E20 60G48 90C30 PDF BibTeX XML Cite \textit{J. Isohätälä} and \textit{W. B. Haskell}, Ann. Appl. Probab. 33, No. 3, 1661--1700 (2023; Zbl 1518.93154) Full Text: DOI arXiv
Bayer, Christian; Eigel, Martin; Sallandt, Leon; Trunschke, Philipp Pricing high-dimensional Bermudan options with hierarchical tensor formats. (English) Zbl 1516.91066 SIAM J. Financ. Math. 14, No. 2, 383-406 (2023). MSC: 91G60 65C05 91G20 60G44 PDF BibTeX XML Cite \textit{C. Bayer} et al., SIAM J. Financ. Math. 14, No. 2, 383--406 (2023; Zbl 1516.91066) Full Text: DOI arXiv
Kühn, Franziska; Schilling, René L. Maximal inequalities and some applications. (English) Zbl 1515.60064 Probab. Surv. 20, 382-485 (2023). Reviewer: Fraser Daly (Edinburgh) MSC: 60E15 60G15 60G44 60G51 60G53 60J25 42B25 42A61 PDF BibTeX XML Cite \textit{F. Kühn} and \textit{R. L. Schilling}, Probab. Surv. 20, 382--485 (2023; Zbl 1515.60064) Full Text: DOI arXiv Link
Escaner, Jose Maria L. IV; Laag, Jemar E.; Saddi, Daryl Allen B. Matrix representation of martingale measures with quantized marginals. (English) Zbl 07689938 Int. J. Math. Comput. Sci. 18, No. 3, 475-486 (2023). MSC: 60G42 60E99 PDF BibTeX XML Cite \textit{J. M. L. Escaner IV} et al., Int. J. Math. Comput. Sci. 18, No. 3, 475--486 (2023; Zbl 07689938) Full Text: Link
Treil, Sergei Mixed \(A_2\)-\(A_\infty\) estimates of the non-homogeneous vector square function with matrix weights. (English) Zbl 1514.42019 Proc. Am. Math. Soc. 151, No. 8, 3381-3389 (2023). MSC: 42B20 42B10 60G42 60G46 PDF BibTeX XML Cite \textit{S. Treil}, Proc. Am. Math. Soc. 151, No. 8, 3381--3389 (2023; Zbl 1514.42019) Full Text: DOI arXiv
Antonini, Rita Giuliano; Kruglov, Victor M.; Volodin, Andrei Refined Kolmogorov inequalities for the binomial distribution. (English) Zbl 1515.60069 Rend. Semin. Mat. Univ. Padova 149, 131-150 (2023). Reviewer: Pavel Stoynov (Sofia) MSC: 60F10 60F15 PDF BibTeX XML Cite \textit{R. G. Antonini} et al., Rend. Semin. Mat. Univ. Padova 149, 131--150 (2023; Zbl 1515.60069) Full Text: DOI
Makasu, Cloud A note on the stochastic version of the Gronwall lemma. (English) Zbl 07685972 Stochastic Anal. Appl. 41, No. 3, 626-629 (2023). Reviewer: Fraser Daly (Edinburgh) MSC: 60G44 60E15 PDF BibTeX XML Cite \textit{C. Makasu}, Stochastic Anal. Appl. 41, No. 3, 626--629 (2023; Zbl 07685972) Full Text: DOI
Friz, Peter K.; Zorin-Kranich, Pavel Rough semimartingales and \(p\)-variation estimates for martingale transforms. (English) Zbl 07683762 Ann. Probab. 51, No. 2, 397-441 (2023). MSC: 60L20 60G44 60G46 60H05 PDF BibTeX XML Cite \textit{P. K. Friz} and \textit{P. Zorin-Kranich}, Ann. Probab. 51, No. 2, 397--441 (2023; Zbl 07683762) Full Text: DOI arXiv
Valjarević, Dragana; Dimitrijević, Slađana; Petrović, Ljiljana Statistical causality, optional and predictable projections. (English) Zbl 1509.60101 Lith. Math. J. 63, No. 1, 104-116 (2023). MSC: 60G44 60H07 62P20 PDF BibTeX XML Cite \textit{D. Valjarević} et al., Lith. Math. J. 63, No. 1, 104--116 (2023; Zbl 1509.60101) Full Text: DOI
Weisz, Ferenc New fractional maximal operators in the theory of martingale Hardy and Lebesgue spaces with variable exponents. (English) Zbl 1509.60100 Fract. Calc. Appl. Anal. 26, No. 1, 1-31 (2023). MSC: 60G42 42B25 42B30 46E30 26A33 PDF BibTeX XML Cite \textit{F. Weisz}, Fract. Calc. Appl. Anal. 26, No. 1, 1--31 (2023; Zbl 1509.60100) Full Text: DOI
Aoun, Richard; Mathieu, Pierre; Sert, Cagri Random walks on hyperbolic spaces: second order expansion of the rate function at the drift. (Marches aléatoires sur les espaces hyperboliques: dérivée seconde en la vitesse de fuite de la fonction de taux des grandes déviations.) (English. French summary) Zbl 07680766 J. Éc. Polytech., Math. 10, 549-573 (2023). MSC: 60G50 60G42 60F10 60F05 PDF BibTeX XML Cite \textit{R. Aoun} et al., J. Éc. Polytech., Math. 10, 549--573 (2023; Zbl 07680766) Full Text: DOI arXiv
Jiao, Yong; Zanin, Dmitriy; Zhou, Dejian Noncommutative Burkholder/Rosenthal inequalities with maximal diagonals. (English) Zbl 1518.46045 J. Funct. Anal. 285, No. 2, Article ID 109949, 44 p. (2023). Reviewer: Ali Talebi (Mashhad) MSC: 46L53 60G42 PDF BibTeX XML Cite \textit{Y. Jiao} et al., J. Funct. Anal. 285, No. 2, Article ID 109949, 44 p. (2023; Zbl 1518.46045) Full Text: DOI
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 PDF BibTeX XML Cite \textit{A. M. G. Cox} and \textit{B. A. Robinson}, Stochastic Processes Appl. 159, 149--198 (2023; Zbl 1509.93061) Full Text: DOI arXiv
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 PDF BibTeX XML Cite \textit{F. Biagini} et al., Finance Stoch. 27, No. 2, 435--465 (2023; Zbl 1511.91140) Full Text: DOI arXiv
Kim, Donghan Market-to-book ratio in stochastic portfolio theory. (English) Zbl 1511.91129 Finance Stoch. 27, No. 2, 401-434 (2023). MSC: 91G10 60G44 60H05 PDF BibTeX XML Cite \textit{D. Kim}, Finance Stoch. 27, No. 2, 401--434 (2023; Zbl 1511.91129) Full Text: DOI arXiv
Chen, Xiao; Choi, Jin Hyuk; Larsen, Kasper; Seppi, Duane J. Price impact in Nash equilibria. (English) Zbl 1512.91131 Finance Stoch. 27, No. 2, 305-340 (2023). Reviewer: Pavel Stoynov (Sofia) MSC: 91G15 91G30 60G44 91G60 PDF BibTeX XML Cite \textit{X. Chen} et al., Finance Stoch. 27, No. 2, 305--340 (2023; Zbl 1512.91131) Full Text: DOI
Doldi, Alessandro; Frittelli, Marco Entropy martingale optimal transport and nonlinear pricing-hedging duality. (English) Zbl 1512.91141 Finance Stoch. 27, No. 2, 255-304 (2023). Reviewer: Pavel Stoynov (Sofia) MSC: 91G20 60G46 91G80 49J45 90C46 PDF BibTeX XML Cite \textit{A. Doldi} and \textit{M. Frittelli}, Finance Stoch. 27, No. 2, 255--304 (2023; Zbl 1512.91141) Full Text: DOI arXiv
Fan, W.; Yang, A. Dual spaces and inequalities of new weak martingale Hardy spaces. (English) Zbl 07672142 Acta Math. Hung. 169, No. 1, 134-157 (2023). Reviewer: Ferenc Weisz (Budapest) MSC: 60G42 60G46 46E30 PDF BibTeX XML Cite \textit{W. Fan} and \textit{A. Yang}, Acta Math. Hung. 169, No. 1, 134--157 (2023; Zbl 07672142) Full Text: DOI