Keywords: 60G07; 60G44; Initial enlargement of filtration; Density hypothesis; Martingale representation property; Hedging; Insider information;
مقالات ISI (ترجمه نشده)
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Keywords: primary; 60F10; secondary; 91B25, 60G44; 60G44; Implied volatility; Option price; Tail probability; Stochastic volatility model; Large deviations; Multiscaling of moments;
A Fefferman-Stein inequality for the martingale square and maximal functions
Keywords: 60G44; 60G42; Martingale; Maximal function; Square function; Best constant;
Weighted inequalities for the martingale square and maximal functions
Keywords: 60G44; 60G42; Martingale; Maximal function; Square function; Best constant;
Keywords: primary; 91B30; secondary; 60K10; 60G44; Optimal dividends; Penalty payments; Barrier strategy; Diffusion process;
Sharp weighted weak-norm estimates for maximal functions
Keywords: primary; 42B25; secondary; 60G44; Maximal; Martingale; Bellman function; Best constants;
Weak decreasing stochastic order
Keywords: 60E15; 60G44; 60J25; WDS order; Kellerer's theorem; Cox-Hobson algorithm; Total positivity;
A new test of independence for bivariate observations
Keywords: 62G10; 62G20; 60G42; 60G44; Independence; Hypothesis test; Power; Quantiles;
Keywords: 91G40; 60G20; 60G44; Multiple defaults; Prediction process; Product space and product measure; Change of probability measure; Density hypothesis; Martingale characterization;
Arbitrage theory for non convex financial market models
Keywords: 60G44; G11-G13; Arbitrage theory; Liquidation value; Transaction costs; European options;
Keywords: 60G44; 60K30; 60J25; Dividends; Capital injections; Tax; Barrier strategy; Hamilton-Jacobi-Bellman equation;
Keywords: 60G44; 91G10Progressive enlargement of filtrations; Initial enlargement of filtrations; Arbitrage of the first kind; Martingale deflator
Keywords: 60G07; 60G44; 60G40; Enlargement of filtrations; Hypothesis(Hâ²); Drift operator; Martingale representation property; Conditional multiplicity; Market viability; Structure condition; Local martingale deflator; No-arbitrage of first kind;
Keywords: 60G05; 60G07; 60G44; Augmentation of filtrations; Strict local martingales; Usual assumptions;
Keywords: 60G44; 91B25; 93E20Superreplication; Optional decomposition; Nondominated model
Keywords: 60G44; 91B25; 91G70Multi-scaling; Stochastic volatility; Heavy Tails
Keywords: 60G07; 60G44; 91G40; 97M30; Progressive enlargement of filtration; Martingale representation property; Honest time; Immersion condition; Change of probability measures; (Hâ²)-hypothesis; Credit risk modeling;
Keywords: 60G07; 60G44; Honest times; Times of maximum; Non-negative local martingales; Running supremum;
Keywords: primary; 60G44; 91B51; 91G99; secondary; 35K15; 35K90; Integral representation; Martingales; Diffusion; Parabolic equations; Analytic semigroups; Real analytic functions; Krylov-Ito formula; Dynamic completeness; Equilibrium;
Keywords: 60G44; 60H05; 60H15; 60H20; 35R60; 35M13Stochastic integration; Degenerate evolution equations; Ito formula
Keywords: 91B25; 60G44; No-arbitrage; Transaction costs; Continuous time bond market;
Keywords: 60F05; 60G44; 62M09; Itô process; Realized volatility; Integrated volatility; Time endogeneity; Market microstructure noise;
Keywords: 60G44; 60G05; Strict local martingales; Examples; Oscillations; Small moments;
Keywords: 60G44; 91G10Utility maximization; Optimal martingale measure; BMO martingales; (Ap)(Ap) condition
A sharp bound on the expected number of upcrossings of an L2-bounded Martingale
Keywords: 60G44; 60G40; Brownian Motion; Upcrossings; Martingale; Optimal stopping;
Itô's calculus under sublinear expectations via regularity of PDEs and rough paths
Keywords: 60G44; 60H05; 35K61; 93E20; Fully nonlinear PDEs; Martingale problem; Nonlinear expectation; Stochastic integral; Itô's formula; Rough path theory;
Nonparametric tests for Cox processes
Keywords: 62C12; 62M07; 60G44; Functional statistic; Cox process; Test statistic; Local alternative; Nonparametric statistics;
Tightness and duality of martingale transport on the Skorokhod space
Keywords: 65B05; 60B10; 60G44; 91G20; S-topology; Dynamic programming principle; Robust superhedging;
Single jump processes and strict local martingales
Keywords: primary; 60G48; 60G44; secondary; 60H05; Single jump; Strict local martingales; Stochastic integrals;
Extended Gerber-Shiu functions in a risk model with interest
Keywords: 91B30; 60J75; 60G44; Discounted penalty function; Interest; Classical risk process; Shot noise process; First passage time;
MRL order, log-concavity and an application to peacocks
Keywords: 60E15; 60G44; 60J25; 32F17; MRL order; Log-concavity; Peacocks; Martingales; Markov processes;
BSDEs of counterparty risk
Keywords: 60H10; 60G44; 91G40; BSDE; Progressive enlargement of filtration; Counterparty risk;
Information, no-arbitrage and completeness for asset price models with a change point
Keywords: 60G40; 60G44; 91B25; 91B70; 91G10; Enlargement of filtration; Martingale representation; Random time; Change point; Regime switching; Arbitrage of the first kind; Free lunch with vanishing risk;
Elements related to the largest complete excursion of a reflected BM stopped at a fixed time. Application to local score
Keywords: 60F17; 60G17; 60G40; 60G44; 60G50; 60G52; 60J55; 60J65; Lindley process; Local score; Donsker invariance theorem; Reflected Brownian motion; Inverse of the local time; Brownian excursions;
Measurability of semimartingale characteristics with respect to the probability law
Keywords: 60G44; 93E20Semimartingale characteristics; Semimartingale property; Doob–Meyer decomposition
On martingales whose exponential processes satisfy Muckenhoupt's condition A1
Keywords: 60G44; 60G46; BMO; Muckenhoupt's class; Martingale; Exponential martingale;
A multistate monotone system signature
Keywords: 60K10; 60G44; System signature; Multistate monotone system signature;
Local time-space calculus for symmetric Lévy processes
Keywords: 60G44; 60H05; 60J55; 60J65Stochastic calculus; Local time-space calculus; Itô formula; Lévy process; Symmetric stable process
Statistical causality and orthogonality of local martingales
Keywords: 60G44; 60H10; 62P20; 60H07Filtration; Causality; Local martingales; Orthogonal martingales
Best constants in the weak type inequalities for a martingale conditional square function
Keywords: 60G42; 60G44; Martingale; Square function; Conditional square function; Weak type inequality;
A note on the domination inequalities and their applications
Keywords: 60E15; 60J60; 60G44; 60G40; Domination inequality; Increasing process; Locally square integrable martingale; Ornstein-Uhlenbeck process; Bessel process;
Expected earnings of invested overflow strategies for M/M/1 queue with constrained workload
Keywords: 60G44; 60K25; Queue; Constrained workload; Busy period; Restricted Laplace transform;
Weak approximation of GG-expectations
Keywords: 60F05; 60G44; 91B25; 91B30GG-expectation; Volatility uncertainty; Weak limit theorem
Central limit theorems for realized volatility under hitting times of an irregular grid
Keywords: 60F05; 60F17; 60G40; 60G44; 62M99Central limit theorem; Hitting times; Irregular grid; Semi-martingales; Stable convergence
A BSDE approach to stochastic differential games with incomplete information
Keywords: 93E05; 91A05; 90C39; 60G44; 49N70; Stochastic differential games; Backward stochastic differential equations; Dynamic programming; Viscosity solutions;
Symmetry analysis of a model of stochastic volatility with time-dependent parameters
Keywords: 35C06; 35K15; 60G44; 91G80Symmetries; Stochastic processes; Nonlinear evolution equations
A characterization of the martingale property of exponentially affine processes
Keywords: 60G44; 60J25; 60J75Exponential martingales; Affine processes; Semimartingale characteristics; Conservative processes
Dynamic Markov bridges motivated by models of insider trading
Keywords: 60G44; 60H05; 60H10; 93E11; Markovian bridges; Martingale problem; Nonlinear filtering; Parabolic PDEs; Equilibrium; Insider trading;
Martingale solutions and Markov selection of stochastic 3D Navier-Stokes equations with jump
Keywords: primary; 60H15; 60J75; secondary; 60G44; 60G55; 3D Navier-Stokes equation; Martingale solutions; Markov selection; Lévy processes;
A note on the connection between the Esscher-Girsanov transform and the Wang transform
Keywords: C02; G10; G12; 1M10; 60G44; 91B06; 91B30; 91G; Choquet integral; Distortion function; Esscher-Girsanov transform; Wang transform;