Hounyo, Ulrich; Liu, Zhi; Varneskov, Rasmus T. Bootstrapping Laplace transforms of volatility. (English) Zbl 07766866 Quant. Econ. 14, No. 3, 1059-1103 (2023). MSC: 91-XX PDF BibTeX XML Cite \textit{U. Hounyo} et al., Quant. Econ. 14, No. 3, 1059--1103 (2023; Zbl 07766866) Full Text: DOI OA License
Melnikov, Alexander; Pak, Andrey Parameter estimation in optional semimartingale regression models. (English) Zbl 07757623 Statistics 57, No. 5, 1165-1201 (2023). MSC: 62-XX PDF BibTeX XML Cite \textit{A. Melnikov} and \textit{A. Pak}, Statistics 57, No. 5, 1165--1201 (2023; Zbl 07757623) Full Text: DOI
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
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
Criens, David; Pfaffelhuber, Peter; Schmidt, Thorsten The martingale problem method revisited. (English) Zbl 07707111 Electron. J. Probab. 28, Paper No. 19, 46 p. (2023). MSC: 60G07 60F17 60H15 60G17 PDF BibTeX XML Cite \textit{D. Criens} et al., Electron. J. Probab. 28, Paper No. 19, 46 p. (2023; Zbl 07707111) Full Text: DOI arXiv Link
Guo, Xin; Pham, Huyên; Wei, Xiaoli Itô’s formula for flows of measures on semimartingales. (English) Zbl 1509.60124 Stochastic Processes Appl. 159, 350-390 (2023). MSC: 60H30 60K35 93E20 PDF BibTeX XML Cite \textit{X. Guo} et al., Stochastic Processes Appl. 159, 350--390 (2023; Zbl 1509.60124) Full Text: DOI arXiv
Di Tella, Paolo On the propagation of the weak representation property in independently enlarged filtrations: the general case. (English) Zbl 1515.60118 J. Theor. Probab. 35, No. 4, 2194-2216 (2022). MSC: 60G44 60G57 60H05 60H30 PDF BibTeX XML Cite \textit{P. Di Tella}, J. Theor. Probab. 35, No. 4, 2194--2216 (2022; Zbl 1515.60118) Full Text: DOI arXiv
Li, Libo Characterisation of honest times and optional semimartingales of class-\((\Sigma)\). (English) Zbl 1515.60120 J. Theor. Probab. 35, No. 4, 2145-2175 (2022). MSC: 60G44 60G40 60G07 91G40 PDF BibTeX XML Cite \textit{L. Li}, J. Theor. Probab. 35, No. 4, 2145--2175 (2022; Zbl 1515.60120) Full Text: DOI arXiv
Kühn, Christoph; Molitor, Alexander Semimartingale price systems in models with transaction costs beyond efficient friction. (English) Zbl 1498.91422 Finance Stoch. 26, No. 4, 927-982 (2022). MSC: 91G15 60H05 26A42 60G40 PDF BibTeX XML Cite \textit{C. Kühn} and \textit{A. Molitor}, Finance Stoch. 26, No. 4, 927--982 (2022; Zbl 1498.91422) Full Text: DOI arXiv
Bálint, Dániel Ágoston; Schweizer, Martin Making no-arbitrage discounting-invariant: a new FTAP version beyond NFLVR and NUPBR. (English) Zbl 1498.91411 Front. Math. Finance 1, No. 2, 249-286 (2022). MSC: 91G15 60G48 PDF BibTeX XML Cite \textit{D. Á. Bálint} and \textit{M. Schweizer}, Front. Math. Finance 1, No. 2, 249--286 (2022; Zbl 1498.91411) Full Text: DOI
Choulli, Tahir; Yansori, Sina Log-optimal and numéraire portfolios for market models stopped at a random time. (English) Zbl 1494.91133 Finance Stoch. 26, No. 3, 535-585 (2022). MSC: 91G10 60G48 94A17 PDF BibTeX XML Cite \textit{T. Choulli} and \textit{S. Yansori}, Finance Stoch. 26, No. 3, 535--585 (2022; Zbl 1494.91133) Full Text: DOI
Friz, Peter K.; Hager, Paul P.; Tapia, Nikolas Unified signature cumulants and generalized Magnus expansions. (English) Zbl 07541114 Forum Math. Sigma 10, Paper No. e42, 60 p. (2022). MSC: 60L10 60L90 60E10 60G44 60G48 60G51 60J76 PDF BibTeX XML Cite \textit{P. K. Friz} et al., Forum Math. Sigma 10, Paper No. e42, 60 p. (2022; Zbl 07541114) Full Text: DOI arXiv
Eisenberg, Julia; Krühner, Paul On Itô’s formula for semimartingales with jumps and non-\(\mathcal{C}^2\) functions. (English) Zbl 1489.60097 Stat. Probab. Lett. 184, Article ID 109369, 6 p. (2022). MSC: 60H07 PDF BibTeX XML Cite \textit{J. Eisenberg} and \textit{P. Krühner}, Stat. Probab. Lett. 184, Article ID 109369, 6 p. (2022; Zbl 1489.60097) Full Text: DOI
Sababe, Saeed Hashemi; Yazdi, Maryam; Shabani, Mohammad Mehdi Reproducing kernel Hilbert space based on special integrable semimartingales and stochastic integration. (English) Zbl 1492.60151 Korean J. Math. 29, No. 3, 639-647 (2021). MSC: 60H05 60B11 60G44 47D06 PDF BibTeX XML Cite \textit{S. H. Sababe} et al., Korean J. Math. 29, No. 3, 639--647 (2021; Zbl 1492.60151) Full Text: DOI
Fonseca-Mora, Christian A. Stochastic integration with respect to cylindrical semimartingales. (English) Zbl 1491.60075 Electron. J. Probab. 26, Paper No. 147, 48 p. (2021). MSC: 60H05 60B11 60G20 60G48 PDF BibTeX XML Cite \textit{C. A. Fonseca-Mora}, Electron. J. Probab. 26, Paper No. 147, 48 p. (2021; Zbl 1491.60075) Full Text: DOI arXiv
Kunitomo, Naoto; Kurisu, Daisuke Detecting factors of quadratic variation in the presence of market microstructure noise. (English) Zbl 1477.62297 Jpn. J. Stat. Data Sci. 4, No. 1, 601-641 (2021). MSC: 62P05 62M07 62M10 PDF BibTeX XML Cite \textit{N. Kunitomo} and \textit{D. Kurisu}, Jpn. J. Stat. Data Sci. 4, No. 1, 601--641 (2021; Zbl 1477.62297) Full Text: DOI
Jarni, Imane; Ouknine, Youssef On reflection with two-sided jumps. (English) Zbl 1485.60065 J. Theor. Probab. 34, No. 4, 1811-1830 (2021). Reviewer: Henri Schurz (Carbondale) MSC: 60H20 60H10 60G44 60G17 PDF BibTeX XML Cite \textit{I. Jarni} and \textit{Y. Ouknine}, J. Theor. Probab. 34, No. 4, 1811--1830 (2021; Zbl 1485.60065) Full Text: DOI
Abdelghani, M.; Melnikov, A.; Pak, A. On Krylov’s estimates for optional semimartingales. (English) Zbl 1479.60085 Random Oper. Stoch. Equ. 29, No. 3, 161-171 (2021). MSC: 60G48 60H25 60E15 PDF BibTeX XML Cite \textit{M. Abdelghani} et al., Random Oper. Stoch. Equ. 29, No. 3, 161--171 (2021; Zbl 1479.60085) Full Text: DOI
Heiny, Johannes; Podolskij, Mark On estimation of quadratic variation for multivariate pure jump semimartingales. (English) Zbl 1469.60079 Stochastic Processes Appl. 138, 234-254 (2021). MSC: 60F05 60F17 62M15 62H25 PDF BibTeX XML Cite \textit{J. Heiny} and \textit{M. Podolskij}, Stochastic Processes Appl. 138, 234--254 (2021; Zbl 1469.60079) Full Text: DOI arXiv
Albeverio, Sergio; De Vecchi, Francesco C.; Morando, Paola; Ugolini, Stefania Random transformations and invariance of semimartingales on Lie groups. (English) Zbl 1470.60145 Random Oper. Stoch. Equ. 29, No. 1, 41-65 (2021). MSC: 60H10 22E30 PDF BibTeX XML Cite \textit{S. Albeverio} et al., Random Oper. Stoch. Equ. 29, No. 1, 41--65 (2021; Zbl 1470.60145) Full Text: DOI arXiv
Treviño-Aguilar, Erick A Doob-Meyer decomposition under model ambiguity: the case of compactness. (English) Zbl 1465.60036 ALEA, Lat. Am. J. Probab. Math. Stat. 18, No. 1, 617-634 (2021). MSC: 60G40 60G44 PDF BibTeX XML Cite \textit{E. Treviño-Aguilar}, ALEA, Lat. Am. J. Probab. Math. Stat. 18, No. 1, 617--634 (2021; Zbl 1465.60036) Full Text: Link
Wang, Qi; Figueroa-López, José E.; Kuffner, Todd A. Bayesian inference on volatility in the presence of infinite jump activity and microstructure noise. (English) Zbl 1459.62203 Electron. J. Stat. 15, No. 1, 506-553 (2021). Reviewer: Apostolos Batsidis (Ioannina) MSC: 62P05 62M09 62F15 60G48 PDF BibTeX XML Cite \textit{Q. Wang} et al., Electron. J. Stat. 15, No. 1, 506--553 (2021; Zbl 1459.62203) Full Text: DOI arXiv Euclid
Criens, David On the existence of semimartingales with continuous characteristics. (English) Zbl 1490.60074 Stochastics 92, No. 5, 785-813 (2020). MSC: 60G07 60G48 60H10 PDF BibTeX XML Cite \textit{D. Criens}, Stochastics 92, No. 5, 785--813 (2020; Zbl 1490.60074) Full Text: DOI arXiv
Abdelghani, Mohamed N.; Melnikov, Alexander V. Existence and uniqueness of stochastic equations of optional semimartingales under monotonicity condition. (English) Zbl 1490.60194 Stochastics 92, No. 1, 67-89 (2020). MSC: 60H20 60H10 PDF BibTeX XML Cite \textit{M. N. Abdelghani} and \textit{A. V. Melnikov}, Stochastics 92, No. 1, 67--89 (2020; Zbl 1490.60194) Full Text: DOI
Bálint, Dániel Ágoston; Schweizer, Martin Properly discounted asset prices are semimartingales. (English) Zbl 1461.91323 Math. Financ. Econ. 14, No. 4, 661-674 (2020). MSC: 91G30 60G48 PDF BibTeX XML Cite \textit{D. Á. Bálint} and \textit{M. Schweizer}, Math. Financ. Econ. 14, No. 4, 661--674 (2020; Zbl 1461.91323) Full Text: DOI
Liu, Guomin Exit times for semimartingales under nonlinear expectation. (English) Zbl 1473.60070 Stochastic Processes Appl. 130, No. 12, 7338-7362 (2020). Reviewer: Dominique Lépingle (Orléans) MSC: 60G40 60G44 60G48 60H10 PDF BibTeX XML Cite \textit{G. Liu}, Stochastic Processes Appl. 130, No. 12, 7338--7362 (2020; Zbl 1473.60070) Full Text: DOI arXiv
Dalessandro, Antonio; Peters, Gareth W. Efficient and accurate evaluation methods for concordance measures via functional tensor characterizations of copulas. (English) Zbl 07297550 Methodol. Comput. Appl. Probab. 22, No. 3, 1089-1124 (2020). MSC: 47N30 60B15 46N30 62G32 62H86 PDF BibTeX XML Cite \textit{A. Dalessandro} and \textit{G. W. Peters}, Methodol. Comput. Appl. Probab. 22, No. 3, 1089--1124 (2020; Zbl 07297550) Full Text: DOI
Hilbert, Astrid; Jarni, Imane; Ouknine, Youssef On reflected stochastic differential equations driven by regulated semimartingales. (English) Zbl 1460.60072 Stat. Probab. Lett. 167, Article ID 108912, 7 p. (2020). MSC: 60H20 60G17 PDF BibTeX XML Cite \textit{A. Hilbert} et al., Stat. Probab. Lett. 167, Article ID 108912, 7 p. (2020; Zbl 1460.60072) Full Text: DOI
Jeanblanc, Monique; Li, Libo Characteristics and constructions of default times. (English) Zbl 1448.91312 SIAM J. Financ. Math. 11, No. 3, 720-749 (2020). Reviewer: George Stoica (Saint John) MSC: 91G40 60G44 PDF BibTeX XML Cite \textit{M. Jeanblanc} and \textit{L. Li}, SIAM J. Financ. Math. 11, No. 3, 720--749 (2020; Zbl 1448.91312) Full Text: DOI HAL
Mania, Michael; Tevzadze, Revaz Change of variable formulas for non-anticipative functionals. (English) Zbl 1461.60058 Infin. Dimens. Anal. Quantum Probab. Relat. Top. 23, No. 1, Article ID 2050006, 21 p. (2020). MSC: 60H30 46G05 PDF BibTeX XML Cite \textit{M. Mania} and \textit{R. Tevzadze}, Infin. Dimens. Anal. Quantum Probab. Relat. Top. 23, No. 1, Article ID 2050006, 21 p. (2020; Zbl 1461.60058) Full Text: DOI arXiv
Albeverio, Sergio; De Vecchi, Francesco C.; Morando, Paola; Ugolini, Stefania Weak symmetries of stochastic differential equations driven by semimartingales with jumps. (English) Zbl 1465.60046 Electron. J. Probab. 25, Paper No. 44, 34 p. (2020). MSC: 60H10 60G48 58D19 PDF BibTeX XML Cite \textit{S. Albeverio} et al., Electron. J. Probab. 25, Paper No. 44, 34 p. (2020; Zbl 1465.60046) Full Text: DOI arXiv Euclid
Fonseca-Mora, Christian A. Semimartingales on duals of nuclear spaces. (English) Zbl 1445.60037 Electron. J. Probab. 25, Paper No. 36, 24 p. (2020). MSC: 60G48 60B11 60G17 60G20 PDF BibTeX XML Cite \textit{C. A. Fonseca-Mora}, Electron. J. Probab. 25, Paper No. 36, 24 p. (2020; Zbl 1445.60037) Full Text: DOI arXiv Euclid
Hounyo, Ulrich; Varneskov, Rasmus T. Inference for local distributions at high sampling frequencies: a bootstrap approach. (English) Zbl 1456.62249 J. Econom. 215, No. 1, 1-34 (2020). MSC: 62P05 62G09 62G10 62G20 62M10 PDF BibTeX XML Cite \textit{U. Hounyo} and \textit{R. T. Varneskov}, J. Econom. 215, No. 1, 1--34 (2020; Zbl 1456.62249) Full Text: DOI Link
Davis, Richard A.; Nielsen, Mikkel Slot; Rohde, Victor Stochastic differential equations with a fractionally filtered delay: a semimartingale model for long-range dependent processes. (English) Zbl 1466.60116 Bernoulli 26, No. 2, 799-827 (2020). MSC: 60H10 34F05 62M10 PDF BibTeX XML Cite \textit{R. A. Davis} et al., Bernoulli 26, No. 2, 799--827 (2020; Zbl 1466.60116) Full Text: DOI arXiv Euclid
di Tella, Paolo On the weak representation property in progressively enlarged filtrations with an application in exponential utility maximization. (English) Zbl 1471.60059 Stochastic Processes Appl. 130, No. 2, 760-784 (2020). MSC: 60G44 60G40 60G57 PDF BibTeX XML Cite \textit{P. di Tella}, Stochastic Processes Appl. 130, No. 2, 760--784 (2020; Zbl 1471.60059) Full Text: DOI arXiv
Abdelghani, Mohamed; Melnikov, Alexander Optional decomposition of optional supermartingales and applications to filtering and finance. (English) Zbl 1496.91081 Stochastics 91, No. 6, 797-816 (2019). MSC: 91G15 60G48 PDF BibTeX XML Cite \textit{M. Abdelghani} and \textit{A. Melnikov}, Stochastics 91, No. 6, 797--816 (2019; Zbl 1496.91081) Full Text: DOI
Łochowski, Rafał Marcin Quadratic variation of a càdlàg semimartingale as a.s. limit of the normalized truncated variations. (English) Zbl 1492.60117 Stochastics 91, No. 4, 629-642 (2019). MSC: 60G48 60H05 PDF BibTeX XML Cite \textit{R. M. Łochowski}, Stochastics 91, No. 4, 629--642 (2019; Zbl 1492.60117) Full Text: DOI arXiv
Khosrawi-Sardroudi, Wahid Polynomial semimartingales and a deep learning approach to local stochastic volatility calibration. (English) Zbl 1423.60002 Freiburg im Breisgau: Univ. Freiburg, Fakultät für Mathematik und Physik (Diss.). viii, 175 p. (2019). MSC: 60-02 60G48 60H30 68T05 91G80 PDF BibTeX XML Cite \textit{W. Khosrawi-Sardroudi}, Polynomial semimartingales and a deep learning approach to local stochastic volatility calibration. Freiburg im Breisgau: Univ. Freiburg, Fakultät für Mathematik und Physik (Diss.) (2019; Zbl 1423.60002) 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 PDF BibTeX XML Cite \textit{A. Aksamit} et al., Stochastic Processes Appl. 129, No. 9, 3080--3115 (2019; Zbl 1479.60083) Full Text: DOI arXiv
Eberlein, Ernst; Kallsen, Jan Mathematical finance. (English) Zbl 1452.91001 Springer Finance. Cham: Springer (ISBN 978-3-030-26105-4/hbk; 978-3-030-26106-1/ebook). xvii, 772 p. (2019). Reviewer: Tak Kuen Siu (Sydney) MSC: 91-01 91G20 91G10 91G30 60G51 60G40 60G44 60H30 91G80 60J70 PDF BibTeX XML Cite \textit{E. Eberlein} and \textit{J. Kallsen}, Mathematical finance. Cham: Springer (2019; Zbl 1452.91001) Full Text: DOI
Karatzas, Ioannis; Yan, Minghan Semimartingales on rays, Walsh diffusions, and related problems of control and stopping. (English) Zbl 1478.60165 Stochastic Processes Appl. 129, No. 6, 1921-1963 (2019). MSC: 60H05 60G17 60G40 60H30 60J60 93E20 PDF BibTeX XML Cite \textit{I. Karatzas} and \textit{M. Yan}, Stochastic Processes Appl. 129, No. 6, 1921--1963 (2019; Zbl 1478.60165) Full Text: DOI arXiv
Bansaye, Vincent; Caballero, Maria-Emilia; Méléard, Sylvie Scaling limits of population and evolution processes in random environment. (English) Zbl 1466.60150 Electron. J. Probab. 24, Paper No. 19, 38 p. (2019). MSC: 60J27 60J74 60F15 60F05 60F10 PDF BibTeX XML Cite \textit{V. Bansaye} et al., Electron. J. Probab. 24, Paper No. 19, 38 p. (2019; Zbl 1466.60150) Full Text: DOI Euclid
Di Nunno, Giulia; Fiacco, Andrea; Karlsen, Erik Hove On the approximation of Lévy driven Volterra processes and their integrals. (English) Zbl 1422.60064 J. Math. Anal. Appl. 476, No. 1, 120-148 (2019). MSC: 60G22 60G51 60H05 PDF BibTeX XML Cite \textit{G. Di Nunno} et al., J. Math. Anal. Appl. 476, No. 1, 120--148 (2019; Zbl 1422.60064) Full Text: DOI arXiv
Pelger, Markus Large-dimensional factor modeling based on high-frequency observations. (English) Zbl 1452.62786 J. Econom. 208, No. 1, 23-42 (2019). MSC: 62P05 62H25 62H12 62P20 PDF BibTeX XML Cite \textit{M. Pelger}, J. Econom. 208, No. 1, 23--42 (2019; Zbl 1452.62786) Full Text: DOI
Chevyrev, Ilya; Friz, Peter K. Canonical RDEs and general semimartingales as rough paths. (English) Zbl 1475.60203 Ann. Probab. 47, No. 1, 420-463 (2019). Reviewer: Xuan Loc Nguyen (Hanoi) MSC: 60L20 60H10 PDF BibTeX XML Cite \textit{I. Chevyrev} and \textit{P. K. Friz}, Ann. Probab. 47, No. 1, 420--463 (2019; Zbl 1475.60203) Full Text: DOI arXiv Euclid
Levanony, David On the consistent filtering of convergent semimartingales. (English) Zbl 1404.93031 Stochastic Processes Appl. 129, No. 1, 323-335 (2019). MSC: 93E11 93E12 60G48 PDF BibTeX XML Cite \textit{D. Levanony}, Stochastic Processes Appl. 129, No. 1, 323--335 (2019; Zbl 1404.93031) Full Text: DOI
Lopera-Gómez, Carlos M.; González-Álvarez, Nelfi G. Simultaneous confidence bands for the estimation of expected discounted warranty costs for coherent systems under minimal repair. (English) Zbl 1435.62365 Rev. Colomb. Estad. 41, No. 1, 1-30 (2018). MSC: 62N05 62-08 PDF BibTeX XML Cite \textit{C. M. Lopera-Gómez} and \textit{N. G. González-Álvarez}, Rev. Colomb. Estad. 41, No. 1, 1--30 (2018; Zbl 1435.62365) Full Text: DOI
Marinacci, Massimo; Severino, Federico Weak time-derivatives and no-arbitrage pricing. (English) Zbl 1416.91380 Finance Stoch. 22, No. 4, 1007-1036 (2018). MSC: 91G20 91G30 60G44 PDF BibTeX XML Cite \textit{M. Marinacci} and \textit{F. Severino}, Finance Stoch. 22, No. 4, 1007--1036 (2018; Zbl 1416.91380) Full Text: DOI
Liu, Chong; Prömel, David J. Examples of Itô Càdlàg rough paths. (English) Zbl 1434.60314 Proc. Am. Math. Soc. 146, No. 11, 4937-4950 (2018). Reviewer: Martin Ondreját (Praha) MSC: 60L20 60G17 91G99 PDF BibTeX XML Cite \textit{C. Liu} and \textit{D. J. Prömel}, Proc. Am. Math. Soc. 146, No. 11, 4937--4950 (2018; Zbl 1434.60314) Full Text: DOI arXiv
Abdelghani, Mohamed; Melnikov, Alexander A comparison theorem for stochastic equations of optional semimartingales. (English) Zbl 1394.60041 Stoch. Dyn. 18, No. 4, Article ID 1850029, 21 p. (2018). MSC: 60G44 60H05 60H20 PDF BibTeX XML Cite \textit{M. Abdelghani} and \textit{A. Melnikov}, Stoch. Dyn. 18, No. 4, Article ID 1850029, 21 p. (2018; Zbl 1394.60041) Full Text: DOI
Arnaudon, Marc; Cruzeiro, Ana Bela; Fang, Shizan Generalized stochastic Lagrangian paths for the Navier-Stokes equation. (English) Zbl 1397.49061 Ann. Sc. Norm. Super. Pisa, Cl. Sci. (5) 18, No. 3, 1033-1060 (2018). Reviewer: Jacques Franchi (Strasbourg) MSC: 49Q20 35Q30 58J65 PDF BibTeX XML Cite \textit{M. Arnaudon} et al., Ann. Sc. Norm. Super. Pisa, Cl. Sci. (5) 18, No. 3, 1033--1060 (2018; Zbl 1397.49061) Full Text: DOI arXiv
Karandikar, Rajeeva L.; Rao, B. V. Introduction to stochastic calculus. (English) Zbl 1434.60003 Indian Statistical Institute Series. Singapore: Springer (ISBN 978-981-10-8317-4/hbk; 978-981-10-8318-1/ebook). xiii, 441 p. (2018). Reviewer: Jordan M. Stoyanov (Sofia) MSC: 60-02 60G48 60H05 60H10 60H15 PDF BibTeX XML Cite \textit{R. L. Karandikar} and \textit{B. V. Rao}, Introduction to stochastic calculus. Singapore: Springer (2018; Zbl 1434.60003) Full Text: DOI
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 PDF BibTeX XML Cite \textit{T. Ichiba} et al., Ann. Inst. Henri Poincaré, Probab. Stat. 54, No. 2, 726--756 (2018; Zbl 1391.60090) Full Text: DOI arXiv Euclid
Ganguly, Arnab Large deviation principle for stochastic integrals and stochastic differential equations driven by infinite-dimensional semimartingales. (English) Zbl 1391.60047 Stochastic Processes Appl. 128, No. 7, 2179-2227 (2018). MSC: 60F10 60G51 60H05 60H10 60J25 60J60 PDF BibTeX XML Cite \textit{A. Ganguly}, Stochastic Processes Appl. 128, No. 7, 2179--2227 (2018; Zbl 1391.60047) Full Text: DOI arXiv
Trevino Aguilar, Erick The lower Snell envelope of smooth functions: an optional decomposition. (English) Zbl 1390.60139 Electron. Commun. Probab. 23, Paper No. 12, 10 p. (2018). MSC: 60G17 60G40 91G80 PDF BibTeX XML Cite \textit{E. Trevino Aguilar}, Electron. Commun. Probab. 23, Paper No. 12, 10 p. (2018; Zbl 1390.60139) Full Text: DOI Euclid
Corcuera, José Manuel; Di Nunno, Giulia Kyle-Back’s model with a random horizon. (English) Zbl 1395.91435 Int. J. Theor. Appl. Finance 21, No. 2, Article ID 1850016, 41 p. (2018). MSC: 91G20 60G44 60H30 93E20 PDF BibTeX XML Cite \textit{J. M. Corcuera} and \textit{G. Di Nunno}, Int. J. Theor. Appl. Finance 21, No. 2, Article ID 1850016, 41 p. (2018; Zbl 1395.91435) Full Text: DOI
Schweizer, Martin; Zivoi, Danijel; Šikić, Mario Dynamic mean-variance optimization problems with deterministic information. (English) Zbl 1395.91420 Int. J. Theor. Appl. Finance 21, No. 2, Article ID 1850011, 38 p. (2018). MSC: 91G10 60G42 60H30 PDF BibTeX XML Cite \textit{M. Schweizer} et al., Int. J. Theor. Appl. Finance 21, No. 2, Article ID 1850011, 38 p. (2018; Zbl 1395.91420) Full Text: DOI
Larsen, Kasper; Mostovyi, Oleksii; Žitković, Gordan An expansion in the model space in the context of utility maximization. (English) Zbl 1396.91692 Finance Stoch. 22, No. 2, 297-326 (2018). Reviewer: Nadi Serhan Aydın (Istanbul) MSC: 91G10 93E20 60G44 91G60 PDF BibTeX XML Cite \textit{K. Larsen} et al., Finance Stoch. 22, No. 2, 297--326 (2018; Zbl 1396.91692) Full Text: DOI arXiv
Friz, Peter K.; Zhang, Huilin Differential equations driven by rough paths with jumps. (English) Zbl 1432.60098 J. Differ. Equations 264, No. 10, 6226-6301 (2018). Reviewer: Jing Cui (Wuhu) MSC: 60L20 60H10 60H05 60G17 60L90 PDF BibTeX XML Cite \textit{P. K. Friz} and \textit{H. Zhang}, J. Differ. Equations 264, No. 10, 6226--6301 (2018; Zbl 1432.60098) Full Text: DOI arXiv
Dalessandro, Antonio; Peters, Gareth W. Tensor approximation of generalized correlated diffusions and functional copula operators. (English) Zbl 1390.60265 Methodol. Comput. Appl. Probab. 20, No. 1, 237-271 (2018). MSC: 60J10 60H10 60J28 62H20 PDF BibTeX XML Cite \textit{A. Dalessandro} and \textit{G. W. Peters}, Methodol. Comput. Appl. Probab. 20, No. 1, 237--271 (2018; Zbl 1390.60265) Full Text: DOI arXiv Link
Aksamit, Anna; Choulli, Tahir; Deng, Jun; Jeanblanc, Monique No-arbitrage under a class of honest times. (English) Zbl 1391.91166 Finance Stoch. 22, No. 1, 127-159 (2018). Reviewer: Martynas Manstavičius (Vilnius) MSC: 91G99 91B24 60G40 60G48 60H30 PDF BibTeX XML Cite \textit{A. Aksamit} et al., Finance Stoch. 22, No. 1, 127--159 (2018; Zbl 1391.91166) Full Text: DOI arXiv Link
Bandi, Federico M.; Pirino, Davide; Renò, Roberto Excess idle time. (English) Zbl 1420.91539 Econometrica 85, No. 6, 1793-1846 (2017). MSC: 91G99 60G44 PDF BibTeX XML Cite \textit{F. M. Bandi} et al., Econometrica 85, No. 6, 1793--1846 (2017; Zbl 1420.91539) Full Text: DOI
Karandikar, Rajeeva L. Remarks on the stochastic integral. (English) Zbl 1388.60094 Indian J. Pure Appl. Math. 48, No. 4, 469-493 (2017). MSC: 60H05 PDF BibTeX XML Cite \textit{R. L. Karandikar}, Indian J. Pure Appl. Math. 48, No. 4, 469--493 (2017; Zbl 1388.60094) Full Text: DOI
Falkowski, Adrian; Słomiński, Leszek SDEs with constraints driven by semimartingales and processes with bounded \(p\)-variation. (English) Zbl 1372.60094 Stochastic Processes Appl. 127, No. 11, 3536-3557 (2017). MSC: 60H20 60G22 PDF BibTeX XML Cite \textit{A. Falkowski} and \textit{L. Słomiński}, Stochastic Processes Appl. 127, No. 11, 3536--3557 (2017; Zbl 1372.60094) Full Text: DOI
Podolskij, Mark; Schmidt, Christian; Vetter, Mathias On \(U\)- and \(V\)-statistics for discontinuous Itô semimartingales. (English. French summary) Zbl 1372.60063 Ann. Inst. Henri Poincaré, Probab. Stat. 53, No. 3, 1007-1050 (2017). MSC: 60G48 60F05 60H05 62F12 PDF BibTeX XML Cite \textit{M. Podolskij} et al., Ann. Inst. Henri Poincaré, Probab. Stat. 53, No. 3, 1007--1050 (2017; Zbl 1372.60063) Full Text: DOI arXiv
Chen, Richard Y.; Mykland, Per A. Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data. (English) Zbl 1388.62304 J. Econom. 200, No. 1, 79-103 (2017). MSC: 62P05 62M10 60G48 60F05 PDF BibTeX XML Cite \textit{R. Y. Chen} and \textit{P. A. Mykland}, J. Econom. 200, No. 1, 79--103 (2017; Zbl 1388.62304) Full Text: DOI arXiv
Bhar, Suprio An Itō formula in the space of tempered distributions. (English) Zbl 1370.60095 J. Theor. Probab. 30, No. 2, 510-528 (2017); correction ibid. 30, No. 4, 1786-1787 (2017). Reviewer: Anna Karczewska (Zielona Gora) MSC: 60H05 60G48 60H10 60H15 60G51 PDF BibTeX XML Cite \textit{S. Bhar}, J. Theor. Probab. 30, No. 2, 510--528 (2017; Zbl 1370.60095) Full Text: DOI arXiv
Mancini, Cecilia Truncated realized covariance when prices have infinite variation jumps. (English) Zbl 1367.60046 Stochastic Processes Appl. 127, No. 6, 1998-2035 (2017). MSC: 60G48 60F05 60J65 62H12 62M09 60J75 91B70 PDF BibTeX XML Cite \textit{C. Mancini}, Stochastic Processes Appl. 127, No. 6, 1998--2035 (2017; Zbl 1367.60046) Full Text: DOI Link
Maticiuc, Lucian; Răşcanu, Aurel; Słomiński, Leszek Multivalued monotone stochastic differential equations with jumps. (English) Zbl 1362.60057 Stoch. Dyn. 17, No. 3, Article ID 1750018, 25 p. (2017). MSC: 60H10 60H20 60G48 34F05 34A60 PDF BibTeX XML Cite \textit{L. Maticiuc} et al., Stoch. Dyn. 17, No. 3, Article ID 1750018, 25 p. (2017; Zbl 1362.60057) Full Text: DOI arXiv
Treviño Aguilar, Erick Semimartingale properties of the lower Snell envelope in optimal stopping under model uncertainty. (English) Zbl 1380.60049 Braz. J. Probab. Stat. 31, No. 1, 194-213 (2017). MSC: 60G40 60H10 91G20 PDF BibTeX XML Cite \textit{E. Treviño Aguilar}, Braz. J. Probab. Stat. 31, No. 1, 194--213 (2017; Zbl 1380.60049) Full Text: DOI Euclid
Xing, Hao Stability of the exponential utility maximization problem with respect to preferences. (English) Zbl 1377.91153 Math. Finance 27, No. 1, 38-67 (2017). Reviewer: Tak Kuen Siu (Sydney) MSC: 91G10 60G44 PDF BibTeX XML Cite \textit{H. Xing}, Math. Finance 27, No. 1, 38--67 (2017; Zbl 1377.91153) Full Text: DOI arXiv Link
Choulli, T.; Ma, J. Explicit description of HARA forward utilities and their optimal portfolios. (English. Russian original) Zbl 1358.91090 Theory Probab. Appl. 61, No. 1, 57-93 (2017); translation from Teor. Veroyatn. Primen. 61, No. 1, 69-113 (2016). MSC: 91G10 91G99 91B16 60G44 60H30 PDF BibTeX XML Cite \textit{T. Choulli} and \textit{J. Ma}, Theory Probab. Appl. 61, No. 1, 57--93 (2017; Zbl 1358.91090); translation from Teor. Veroyatn. Primen. 61, No. 1, 69--113 (2016) Full Text: DOI arXiv
Glau, Kathrin; Grbac, Zorana; Papapantoleon, Antonis A unified view of Libor models. (English) Zbl 1367.91182 Kallsen, Jan (ed.) et al., Advanced modeling in mathematical finance. In honour of Ernst Eberlein on the occasion of his 70th birthday, Kiel, Germany, May 22–25, 2015. Cham: Springer (ISBN 978-3-319-45873-1/hbk; 978-3-319-45875-5/ebook). Springer Proceedings in Mathematics & Statistics 189, 423-452 (2016). MSC: 91G30 60G44 60H30 PDF BibTeX XML Cite \textit{K. Glau} et al., Springer Proc. Math. Stat. 189, 423--452 (2016; Zbl 1367.91182) Full Text: DOI arXiv
Abdelghani, M. N.; Melnikov, A. V. Financial markets in the context of the general theory of optional processes. (English) Zbl 1414.91359 Bélair, Jacques (ed.) et al., Mathematical and computational approaches in advancing modern science and engineering. Based on the international conference on applied mathematics, modeling and computational science, AMMCS, jointly held with the annual meeting of the Canadian applied and industrial mathematics, CAIMS, June 7–15, 2015. Cham: Springer. 519-528 (2016). MSC: 91G20 60G44 PDF BibTeX XML Cite \textit{M. N. Abdelghani} and \textit{A. V. Melnikov}, in: Mathematical and computational approaches in advancing modern science and engineering. Based on the international conference on applied mathematics, modeling and computational science, AMMCS, jointly held with the annual meeting of the Canadian applied and industrial mathematics, CAIMS, June 7--15, 2015. Cham: Springer. 519--528 (2016; Zbl 1414.91359) Full Text: DOI
Ruffino, Paulo R.; Morgado, Leandro B.; Melo, Alison M. Decomposition of stochastic flows generated by Stratonovich SDEs with jumps. (English) Zbl 1353.60055 Discrete Contin. Dyn. Syst., Ser. B 21, No. 9, 3209-3218 (2016). MSC: 60H10 60G48 58J65 58D05 PDF BibTeX XML Cite \textit{P. R. Ruffino} et al., Discrete Contin. Dyn. Syst., Ser. B 21, No. 9, 3209--3218 (2016; Zbl 1353.60055) Full Text: DOI arXiv
Li, Jing; Li, Lingfei; Mendoza-Arriaga, Rafael Additive subordination and its applications in finance. (English) Zbl 1372.60110 Finance Stoch. 20, No. 3, 589-634 (2016). Reviewer: Alexander Schnurr (Siegen) MSC: 60J25 60J35 60J60 60J75 91G20 91G80 47D06 47D07 PDF BibTeX XML Cite \textit{J. Li} et al., Finance Stoch. 20, No. 3, 589--634 (2016; Zbl 1372.60110) Full Text: DOI
Koroliuk, Volodymyr S.; Limnios, Nikolaos; Samoilenko, Igor V. Lévy and Poisson approximations of switched stochastic systems by a semimartingale approach. (Approximations de Lévy et de Poisson des systèmes stochastiques modulés, via une approche basée sur les semi-martingales.) (English. Abridged French version) Zbl 1339.60028 C. R., Math., Acad. Sci. Paris 354, No. 7, 723-728 (2016). MSC: 60F17 60F05 60G51 60G55 60J55 60J75 60G48 60G44 PDF BibTeX XML Cite \textit{V. S. Koroliuk} et al., C. R., Math., Acad. Sci. Paris 354, No. 7, 723--728 (2016; Zbl 1339.60028) Full Text: DOI
Choulli, Tahir; Schweizer, Martin Locally \(\Phi\)-integrable \(\sigma\)-martingale densities for general semimartingales. (English) Zbl 1337.60083 Stochastics 88, No. 2, 191-266 (2016). MSC: 60G48 60G44 60G07 91G80 91B02 PDF BibTeX XML Cite \textit{T. Choulli} and \textit{M. Schweizer}, Stochastics 88, No. 2, 191--266 (2016; Zbl 1337.60083) Full Text: DOI
Acciaio, Beatrice; Fontana, Claudio; Kardaras, Constantinos Arbitrage of the first kind and filtration enlargements in semimartingale financial models. (English) Zbl 1337.60081 Stochastic Processes Appl. 126, No. 6, 1761-1784 (2016). MSC: 60G48 60G44 91G10 PDF BibTeX XML Cite \textit{B. Acciaio} et al., Stochastic Processes Appl. 126, No. 6, 1761--1784 (2016; Zbl 1337.60081) Full Text: DOI arXiv
Cai, Jiatu; Fukasawa, Masaaki; Rosenbaum, Mathieu; Tankov, Peter Optimal discretization of hedging strategies with directional views. (English) Zbl 1348.60098 SIAM J. Financ. Math. 7, 34-69 (2016). MSC: 60H30 60H10 49J55 49N10 60F17 91G80 93E20 PDF BibTeX XML Cite \textit{J. Cai} et al., SIAM J. Financ. Math. 7, 34--69 (2016; Zbl 1348.60098) Full Text: DOI arXiv
Cont, Rama; Lu, Yi Weak approximation of martingale representations. (English) Zbl 1336.60109 Stochastic Processes Appl. 126, No. 3, 857-882 (2016). MSC: 60H10 60G44 60F05 60H07 60G48 60H35 PDF BibTeX XML Cite \textit{R. Cont} and \textit{Y. Lu}, Stochastic Processes Appl. 126, No. 3, 857--882 (2016; Zbl 1336.60109) Full Text: DOI arXiv
Basse-O’Connor, Andreas; Rosiński, Jan On infinitely divisible semimartingales. (English) Zbl 1408.60034 Probab. Theory Relat. Fields 164, No. 1-2, 133-163 (2016). MSC: 60G48 60H05 60G51 60G17 PDF BibTeX XML Cite \textit{A. Basse-O'Connor} and \textit{J. Rosiński}, Probab. Theory Relat. Fields 164, No. 1--2, 133--163 (2016; Zbl 1408.60034) Full Text: DOI arXiv
Khedher, Asma; Vanmaele, Michèle Discretisation of FBSDEs driven by càdlàg martingales. (English) Zbl 1333.60155 J. Math. Anal. Appl. 435, No. 1, 508-531 (2016). MSC: 60H35 60H10 60G44 60J75 60G48 65C30 PDF BibTeX XML Cite \textit{A. Khedher} and \textit{M. Vanmaele}, J. Math. Anal. Appl. 435, No. 1, 508--531 (2016; Zbl 1333.60155) Full Text: DOI
Domínguez-Molina, J. Armando; Rocha-Arteaga, Alfonso Stochastic integral and covariation representations for rectangular Lévy process ensembles. (English) Zbl 1498.60170 Mena, Ramsés H. (ed.) et al., XI symposium on probability and stochastic processes. CIMAT, Guanajuato, Mexico, November 18–22, 2013. Cham: Birkhäuser/Springer. Prog. Probab. 69, 119-139 (2015). MSC: 60G51 60H05 60E07 PDF BibTeX XML Cite \textit{J. A. Domínguez-Molina} and \textit{A. Rocha-Arteaga}, Prog. Probab. 69, 119--139 (2015; Zbl 1498.60170) Full Text: DOI
Xiao, Xiaoyong; Yin, Hongwei The speed of convergence of the threshold version of bipower variation for semimartingales. (English) Zbl 1349.60031 Chin. J. Appl. Probab. Stat. 31, No. 4, 337-346 (2015). MSC: 60F05 60G48 PDF BibTeX XML Cite \textit{X. Xiao} and \textit{H. Yin}, Chin. J. Appl. Probab. Stat. 31, No. 4, 337--346 (2015; Zbl 1349.60031) Full Text: DOI
Gerhold, Stefan; Kleinert, Max; Porkert, Piet; Shkolnikov, Mykhaylo Small time central limit theorems for semimartingales with applications. (English) Zbl 1337.60020 Stochastics 87, No. 5, 723-746 (2015). MSC: 60F05 60F17 60G48 60H10 91G20 91G80 PDF BibTeX XML Cite \textit{S. Gerhold} et al., Stochastics 87, No. 5, 723--746 (2015; Zbl 1337.60020) Full Text: DOI arXiv
Pihlsgård, Mats Local martingales with two reflecting barriers. (English) Zbl 1334.60069 J. Appl. Probab. 52, No. 4, 1062-1075 (2015). MSC: 60G48 60G44 60F15 60F05 60G51 60H05 60J65 60G17 PDF BibTeX XML Cite \textit{M. Pihlsgård}, J. Appl. Probab. 52, No. 4, 1062--1075 (2015; Zbl 1334.60069) Full Text: DOI Euclid
Kuwae, K. Stochastic calculus over symmetric Markov processes with time reversal. (English) Zbl 1336.60104 Nagoya Math. J. 220, 91-148 (2015). MSC: 60H05 60J25 60J55 60J45 60J75 31C25 PDF BibTeX XML Cite \textit{K. Kuwae}, Nagoya Math. J. 220, 91--148 (2015; Zbl 1336.60104) Full Text: DOI Euclid
Ebrahimi-Fard, Kurusch; Malham, Simon J. A.; Patras, Frédéric; Wiese, Anke Flows and stochastic Taylor series in Itô calculus. (English) Zbl 1416.60058 J. Phys. A, Math. Theor. 48, No. 49, Article ID 495202, 17 p. (2015). MSC: 60H05 60H10 PDF BibTeX XML Cite \textit{K. Ebrahimi-Fard} et al., J. Phys. A, Math. Theor. 48, No. 49, Article ID 495202, 17 p. (2015; Zbl 1416.60058) Full Text: DOI arXiv
Yor, Marc A Gaussian martingale which is the sum of two independent Gaussian non-semimartingales. (English) Zbl 1329.60099 Electron. Commun. Probab. 20, Paper No. 70, 5 p. (2015). MSC: 60G15 60G44 60G48 PDF BibTeX XML Cite \textit{M. Yor}, Electron. Commun. Probab. 20, Paper No. 70, 5 p. (2015; Zbl 1329.60099) Full Text: DOI
Choulli, Tahir; Deng, Jun; Ma, Junfeng How non-arbitrage, viability and numéraire portfolio are related. (English) Zbl 1358.91091 Finance Stoch. 19, No. 4, 719-741 (2015). MSC: 91G10 91G99 91B16 60G44 60H30 PDF BibTeX XML Cite \textit{T. Choulli} et al., Finance Stoch. 19, No. 4, 719--741 (2015; Zbl 1358.91091) Full Text: DOI arXiv
Kühn, Christoph; Ulbricht, Björn Modeling capital gains taxes for trading strategies of infinite variation. (English) Zbl 1338.91129 Stochastic Anal. Appl. 33, No. 5, 792-822 (2015). MSC: 91G10 91B60 60G48 60J55 PDF BibTeX XML Cite \textit{C. Kühn} and \textit{B. Ulbricht}, Stochastic Anal. Appl. 33, No. 5, 792--822 (2015; Zbl 1338.91129) Full Text: DOI arXiv
Osekowski, Adam A weak-type inequality for submartingales and Itô processes. (English) Zbl 1325.60065 Bull. Pol. Acad. Sci., Math. 63, No. 1, 73-88 (2015). MSC: 60G48 60H05 60G44 60G42 PDF BibTeX XML Cite \textit{A. Osekowski}, Bull. Pol. Acad. Sci., Math. 63, No. 1, 73--88 (2015; Zbl 1325.60065) Full Text: DOI
Gushchin, Alexander A. Stochastic calculus for quantitative finance. (English) Zbl 1331.60001 Amsterdam: Elsevier; London: ISTE Press (ISBN 978-1-78548-034-8/hbk). xxi, 185 p. (2015). Reviewer: Jordan M. Stoyanov (Newcastle upon Tyne) MSC: 60-01 91G80 60H05 60G44 60H30 PDF BibTeX XML Cite \textit{A. A. Gushchin}, Stochastic calculus for quantitative finance. Amsterdam: Elsevier; London: ISTE Press (2015; Zbl 1331.60001)
Christensen, Sören; Irle, Albrecht Convergence of switching diffusions. (English) Zbl 1327.93349 Stochastic Processes Appl. 125, No. 9, 3623-3635 (2015). MSC: 93E03 60H20 60H30 PDF BibTeX XML Cite \textit{S. Christensen} and \textit{A. Irle}, Stochastic Processes Appl. 125, No. 9, 3623--3635 (2015; Zbl 1327.93349) Full Text: DOI arXiv
Karatzas, Ioannis; Kardaras, Constantinos Optional decomposition for continuous semimartingales under arbitrary filtrations. (English) Zbl 1327.60102 Electron. Commun. Probab. 20, Paper No. 59, 10 p. (2015). MSC: 60G48 60H05 60H30 91B25 PDF BibTeX XML Cite \textit{I. Karatzas} and \textit{C. Kardaras}, Electron. Commun. Probab. 20, Paper No. 59, 10 p. (2015; Zbl 1327.60102) Full Text: DOI arXiv
Morgado, Leandro Batista; Ruffino, Paulo R. C. Extension of time for decomposition of stochastic flows in spaces with complementary foliations. (English) Zbl 1332.60086 Electron. Commun. Probab. 20, Paper No. 38, 9 p. (2015). MSC: 60H10 58J65 58D05 60D05 57R30 PDF BibTeX XML Cite \textit{L. B. Morgado} and \textit{P. R. C. Ruffino}, Electron. Commun. Probab. 20, Paper No. 38, 9 p. (2015; Zbl 1332.60086) Full Text: DOI arXiv
Bibinger, Markus; Vetter, Mathias Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps. (English) Zbl 1440.62364 Ann. Inst. Stat. Math. 67, No. 4, 707-743 (2015). MSC: 62P05 62M05 60G44 60F05 PDF BibTeX XML Cite \textit{M. Bibinger} and \textit{M. Vetter}, Ann. Inst. Stat. Math. 67, No. 4, 707--743 (2015; Zbl 1440.62364) Full Text: DOI arXiv
Cohen, Samuel N.; Elliott, Robert J. Stochastic calculus and applications. 2nd revised and expanded edition. (English) Zbl 1338.60001 Probability and Its Applications. New York, NY: Birkhäuser/Springer (ISBN 978-1-4939-2866-8/hbk; 978-1-4939-2867-5/ebook). xxiii, 666 p. (2015). Reviewer: Jordan M. Stoyanov (Ljubljana) MSC: 60-01 60H05 60H10 60G07 60G42 60G44 60G40 60G48 60G57 93E11 93E20 PDF BibTeX XML Cite \textit{S. N. Cohen} and \textit{R. J. Elliott}, Stochastic calculus and applications. 2nd revised and expanded edition. New York, NY: Birkhäuser/Springer (2015; Zbl 1338.60001) Full Text: DOI Backlinks: MO
Wang, Hanchao The Euler scheme for a stochastic differential equation driven by pure jump semimartingales. (English) Zbl 1322.65019 J. Appl. Probab. 52, No. 1, 149-166 (2015). MSC: 65C30 60H35 60H10 60G48 60J75 60F17 PDF BibTeX XML Cite \textit{H. Wang}, J. Appl. Probab. 52, No. 1, 149--166 (2015; Zbl 1322.65019) Full Text: DOI Euclid