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Measurability of semimartingale characteristics with respect to the probability law · Study

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ArticleMeasurability of semimartingale characteristics with respect to the probability law

Ariel Neufeld2014

OA

Articlebronze2014

Measurability of semimartingale characteristics with respect to the probability law

Ariel Neufeld · Marcel Nutz

59 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Probability and Statistical Research Stochastic processes and statistical mechanics

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 59 citations exist upstream.

References

2003Limit Theorems for Stochastic Processes 1986Stochastic Calculus and Applications.2019Nonlinear Expectations and Stochastic Calculus under Uncertainty 1983STOCHASTIC CALCULUS AND APPLICATIONS 1981Les Aspects Probabilistes Du Controle Stochastique 1989Stochastic Optimal Control 2011Wellposedness of second order backward SDEs 1981Stochastic Integration and $L^p$-Theory of Semimartingales

Cited by

2015Stochastic control for a class of nonlinear kernels and applications 2022McKean–Vlasov Optimal Control: Limit Theory and Equivalence Between Different Formulations 2020Mean–field moral hazard for optimal energy demand response management 2015Robust superhedging with jumps and diffusion 2019A semigroup approach to nonlinear Lévy processes 2018The robust pricing–hedging duality for American options in discrete time financial markets 2019Affine processes under parameter uncertainty 2016Tightness and duality of martingale transport on the Skorokhod space

Details

Year2014

Typearticle

Published2014-07-09

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations59

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1016/j.spa.2014.07.006

openalex_workW2007117584

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