کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1155667 | 958755 | 2013 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Self-dual continuous processes
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Self-dual continuous processes Self-dual continuous processes](/preview/png/1155667.png)
چکیده انگلیسی
The important application of semi-static hedging in financial markets naturally leads to the notion of conditionally quasi self-dual processes which is, for continuous semimartingales, related to conditional symmetry properties of both their ordinary as well as their stochastic logarithms. We provide a structure result for continuous conditionally quasi self-dual processes. Our main result is to give a characterization of continuous Ocone martingales via a strong version of self-duality.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 123, Issue 5, May 2013, Pages 1765-1779
Journal: Stochastic Processes and their Applications - Volume 123, Issue 5, May 2013, Pages 1765-1779
نویسندگان
Thorsten Rheinländer, Michael Schmutz,