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Transformation des martingales locales par changement absolument continu de probabilities
4 references·5 citing·25 second hop
Transformation des martingales locales par changement absolument continu de probabilities (1977)Transformation des martingales locales pa…Un Cours sur les Intégrales Stochastiques (2002)Un Cours sur les Intégrales S…Caract�ristiques locales et conditions de continuit� absolue pour les semi-martingales (1976)Caract�ristiques locales et c…Transformation of Local Martingales Under a Change of Law (1974)Transformation of Local Marti…On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures (1960)On Transforming a Certain Cla…Asymptotic option pricing under the CEV diffusion (2010)Asymptotic option pricing und…Grossissement d’une Filtration et Semi-martingales: Theoremes Generaux (2002)Grossissement d’une Filtratio…On the transformation of some classes of martingales by a change of law (1979)On the transformation of some…Grossissement d'une filtration et applications (1979)Grossissement d'une filtratio…Grossissement d’une filtration et semi-martingales: Theoremes generaux (1978)Grossissement d’une filtratio…Notes sur les integrales stochastiques. I Integrales hilbertiennes (1977)Quasimartingales, martingales locales, semimartingales et filtration naturelle (1977)Changes of filtrations and of probability measures (1978)Grossissement d’une filtration et semi-martingales : Formules explicites (1978)An empirical study of the information premium on electricity markets (2012)On Distributions of Certain Wiener Functionals (1949)The Pricing of Options and Corporate Liabilities (1973)The valuation of options for alternative stochastic processes (1976)Homotopy analysis method for option pricing under stochastic volatility (2011)Pricing of vulnerable options under hybrid stochastic and local volatility (2021)Diffusion processes with continuous coefficients, I (1969)Quelques applications de la formule de changement de variables pour les semimartingales (1970)Default Risk and Diversification: Theory and Empirical Implications (2001)Martingale methods in stochastic control (2005)Intégrales stochastiques I (2006)Risk Processes with Non-stationary Hawkes Claims Arrivals (2008)On an Identity for Stochastic Integrals (1973)On a problem of Girsanov (1977)Multiple Wiener Integral (1951)A strong law of large numbers for local martingales (1980)Instantaneous Control of Brownian Motion (1983)Functional Itô calculus and stochastic integral representation of martingales (2013)A short history of stochastic integration and mathematical finance: the early years, 1880–1970 (2004)Optimization Problems in the Theory of Continuous Trading (1989)Asset Prices in an Exchange Economy with Habit Formation (1991)
this work references cited by second hop

References

  • 1960On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures722 cited
  • 2002Un Cours sur les Intégrales Stochastiques421 cited
  • 1974Transformation of Local Martingales Under a Change of Law97 cited
  • 1976Caract�ristiques locales et conditions de continuit� absolue pour les semi-martingales94 cited

Cited by

  • 1979Grossissement d'une filtration et applications31 cited
  • 2010Asymptotic option pricing under the CEV diffusion26 cited
  • 2002Grossissement d’une Filtration et Semi-martingales: Theoremes Generaux25 cited
  • 1979On the transformation of some classes of martingales by a change of law25 cited
  • 1978Grossissement d’une filtration et semi-martingales: Theoremes generaux24 cited

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