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Variably Skewed Brownian Motion
6 references·1 citing·29 second hop
Variably Skewed Brownian Motion (2000)Variably Skewed Brownian MotionContinuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Multi-armed bandits in discrete and continuous time (1998)Multi-armed bandits in discre…Weak Limit Theorems for Stochastic Integrals and Stochastic Differential Equations (1991)Weak Limit Theorems for Stoch…Continuous Martingales and Brownian Motion (1991)Continuous Martingales and Br…Continuous Multi-Armed Bandits and Multiparameter Processes (1987)Continuous Multi-Armed Bandit…Weak and strong solutions of stochastic differential equations: Existence and stability (1981)Weak and strong solutions of …Arbitrage in skew Brownian motion models (2011)Arbitrage in skew Brownian mo…On the uniqueness of solutions of stochastic differential equations (1971)Calcul Stochastique et Problèmes de Martingales (1979)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Martingale measures and stochastic calculus (1990)On the Uniqueness in Law and the Pathwise Uniqueness for Stochastic Differential Equations (2002)Mean Field Games of Timing and Models for Bank Runs (2017)A Markov Model for the Term Structure of Credit Risk Spreads (1997)Modeling Term Structures of Defaultable Bonds (1999)Stochastic Integration and Differential Equations (2005)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)Sequential Analysis and Optimal Design (1972)Bandit Processes and Dynamic Allocation Indices (1979)Extensions of the multiarmed bandit problem: The discounted case (1985)American Options, Multi–armed Bandits, and Optimal Consumption Plans: A Unifying View (2003)Approval regulation and endogenous consumer confidence: Theory and analogies to licensing, safety, and financial regulation (2010)Multi-Armed Bandits and the Gittins Index (1980)Bandit Problems, Sequential Allocation of Experiments. (1987)Multi-Armed Bandit Allocation Indices. (1990)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A general version of the fundamental theorem of asset pricing (1994)Arbitrage Theory in Continuous Time (1998)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)
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References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 1991Continuous Martingales and Brownian Motion1,957 cited
  • 1991Weak Limit Theorems for Stochastic Integrals and Stochastic Differential Equations546 cited
  • 1981Weak and strong solutions of stochastic differential equations: Existence and stability102 cited
  • 1987Continuous Multi-Armed Bandits and Multiparameter Processes69 cited
  • 1998Multi-armed bandits in discrete and continuous time46 cited

Cited by

  • 2011Arbitrage in skew Brownian motion models25 cited

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