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Stability in D of martingales and backward equations under discretization of filtration
5 references·0 citing·21 second hop
Stability in D of martingales and backward equations under discretization of filtration (1998)Stability in D of martingales and backwar…Weak Limit Theorems for Stochastic Integrals and Stochastic Differential Equations (1991)Weak Limit Theorems for Stoch…Convergence en loi des suites d'intégrales stochastiques sur l'espace $$\mathbb{D}$$ 1 de Skorokhod (1989)Convergence en loi des suites…Limit Theorems for Stochastic Processes (1987)Limit Theorems for Stochastic…Loi de semimartingales et critères de compacité (1985)Loi de semimartingales et cri…Tightness criteria for laws of semimartingales (1984)Tightness criteria for laws o…Calcul Stochastique et Problèmes de Martingales (1979)Calcul d'ito sans probabilites (1981)Likelihood inference for a nonstationary fractional autoregressive model (2010)Limit theorems for nearly unstable Hawkes processes (2015)The microstructural foundations of leverage effect and rough volatility (2018)On the Convergence of Ordinary Integrals to Stochastic Integrals (1965)Stochastic Differential Equations and Diffusion Processes (1983)Asymptotic error distributions for the Euler method for stochastic differential equations (1998)Nonlinear Regressions with Integrated Time Series (2001)A simple unit root test against asymmetric STAR nonlinearity with an application to real exchange rates in Nordic countries (2008)Stochastic Integration and Differential Equations : A New Approach (2014)Quasimartingales, martingales locales, semimartingales et filtration naturelle (1977)Incomplete markets: convergence of options values under the minimal martingale measure (1999)Penalization methods for reflecting stochastic differential equations with jumps (2003)Reflected BSDEs on filtered probability spaces (2015)Weak convergence of stochastic integrals and differential equations II: Infinite dimensional case (1996)Backward SDEs with constrained jumps and quasi-variational inequalities (2010)Weak and strong solutions of general stochastic models (2014)Arbitrage Theory in Continuous Time (1998)Affine processes and applications in finance (2003)Variance Risk Premiums (2008)
this work references cited by second hop

References

  • 1987Limit Theorems for Stochastic Processes1,319 cited
  • 1991Weak Limit Theorems for Stochastic Integrals and Stochastic Differential Equations546 cited
  • 1989Convergence en loi des suites d'intégrales stochastiques sur l'espace $$\mathbb{D}$$ 1 de Skorokhod192 cited
  • 1984Tightness criteria for laws of semimartingales177 cited
  • 1985Loi de semimartingales et critères de compacité41 cited

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