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Martingale Representation and All That
16 references·1 citing·28 second hop
Martingale Representation and All That (2006)Martingale Representation and All ThatThe Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Lévy Processes and Stochastic Calculus (2004)Lévy Processes and Stochastic…Stochastic Differential Equations (2003)Stochastic Differential Equat…Lévy Processes in Finance (2003)Lévy Processes in FinanceLévy processes in finance pricing financial derivatives (2003)Lévy processes in finance pri…Lévy processes : theory and applications (2001)Lévy processes : theory and a…Chaotic and predictable representations for Lévy processes (2000)Chaotic and predictable repre…Mathematics of Financial Markets (1999)Mathematics of Financial Mark…The Malliavin Calculus and Related Topics (1995)The Malliavin Calculus and Re…Markov Models & Optimization (1993)Markov Models & OptimizationCalcul Stochastique et Problèmes de Martingales (1979)Calcul Stochastique et Problè…Martingales on Jump Processes. I: Representation Results (1975)Martingales on Jump Processes…Dynamic Programming Conditions for Partially Observable Stochastic Systems (1973)Dynamic Programming Condition…On Square Integrable Martingales (1967)On Square Integrable Martinga…Multiple Wiener Integral (1951)Multiple Wiener IntegralFinite-Horizon Optimal Multiple Switching with Signed Switching Costs (2016)Finite-Horizon Optimal Multip…Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Stochastic Calculus with Respect to Gaussian Processes (2001)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)The Theory of Scale Functions for Spectrally Negative Lévy Processes (2012)Fluctuations of Lévy Processes with Applications (2014)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)The fundamental theorem of asset pricing for unbounded stochastic processes (1998)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Time-changed Lévy processes and option pricing (2003)A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (2005)The application of continuous-time random walks in finance and economics (2005)Pricing early-exercise and discrete barrier options by fourier-cosine series expansions (2009)Convergence of integrated processes of arbitrary Hermite rank (1979)Integration with respect to fractal functions and stochastic calculus. I (1998)Stochastic Calculus for Fractional Brownian Motion I. Theory (2000)A pricing method for options based on average asset values (1990)Do subsidies to commercial R&D reduce market failures? Microeconometric evaluation studies (2000)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Stability and convergence of moments for multiclass queueing networks via fluid limit models (1995)Controlled diffusion models for optimal dividend pay-out (1997)Dynamic modeling and control of supply chain systems: A review (2007)Some remarks on first passage of Lévy processes, the American put and pasting principles (2005)Fractional Diffusion Models of Option Prices in Markets With Jumps (2006)Numerical Challenges in the Use of Polynomial Chaos Representations for Stochastic Processes (2004)Central limit theorems for sequences of multiple stochastic integrals (2005)
this work references cited by second hop

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  • 2016Finite-Horizon Optimal Multiple Switching with Signed Switching Costs24 cited