دانلود مقالات ISI درباره 60G44 + ترجمه فارسی

On the Gerber-Shiu function and change of measure

Keywords: 60G44; 60J75; 60F10; Expected discounted penalty function; Change of measure; Laplace transform; Sparre-Andersen risk model; Markov-modulated risk model; Björk-Grandell risk model; Perturbed risk model; Lump sum premia;

دانلود رایگان متن کامل مقاله ISI 9 صفحه سال انتشار : 2010 سفارش ترجمه

Testing for diffusion in a discretely observed semimartingale

Keywords: 60G44; 60G42; Semimaringales; Power variation; Testing the diffusion; Purely discontinuous; Asymptotic normality;

دانلود رایگان متن کامل مقاله ISI 14 صفحه سال انتشار : 2010 سفارش ترجمه

The continuous behavior of the numéraire portfolio under small changes in information structure, probabilistic views and investment constraints

Keywords: 60H99; 60G44; 91B28; 91B70Information; Investment constraints; Log-utility maximization; Mathematical finance; Numéraire portfolio; Semimartingales; Stability; Well-posed problems

دانلود رایگان متن کامل مقاله ISI 17 صفحه سال انتشار : 2010 سفارش ترجمه

Exponentially affine martingales, affine measure changes and exponential moments of affine processes

Keywords: 60G44; 60J25; 60J75Affine processes; Exponential martingale; Uniform integrability; Change of measure; Exponential moments; Generalized Riccati equation

دانلود رایگان متن کامل مقاله ISI 19 صفحه سال انتشار : 2010 سفارش ترجمه

Explicit construction of stochastic exponentials with arbitrary expectation k∈(0,1)

Keywords: 60G44; 60H05;

دانلود رایگان متن کامل مقاله ISI 4 صفحه سال انتشار : 2009 سفارش ترجمه

Symmetric martingales and symmetric smiles

Keywords: 60G44; 91B28Ocone martingales; Symmetric increments; Implied volatility

دانلود رایگان متن کامل مقاله ISI 13 صفحه سال انتشار : 2009 سفارش ترجمه

A canonical setting and separating times for continuous local martingales

Keywords: 60G44; 60G48; 60G30; 60G40; 60J65; 60H10Continuous local martingales; Brownian motion; Dambis–Dubins–Schwarz theorem; Canonical setting; Pure continuous local martingales; Absolute continuity and singularity; Separating times

دانلود رایگان متن کامل مقاله ISI 16 صفحه سال انتشار : 2009 سفارش ترجمه

Comparing the minimal Hellinger martingale measure of order q to the q-optimal martingale measure

Keywords: 60G44; 60G42; 60H05Minimal Hellinger martingale measure; qq-optimal martingale measure; Incomplete market; Utility maximization

دانلود رایگان متن کامل مقاله ISI 18 صفحه سال انتشار : 2009 سفارش ترجمه

Reflection principle and Ocone martingales

Keywords: 60G44; 60G42; 60J65Ocone martingale; Skip free process; Reflection principle; Quadratic variation; Dambis–Dubins–Schwarz Brownian motion

دانلود رایگان متن کامل مقاله ISI 18 صفحه سال انتشار : 2009 سفارش ترجمه

Time consistent dynamic risk processes

Keywords: 91B28; 91B30; 91B70; 60G17; 60G44; 46A20Dynamic risk measures; Time consistency; BMO martingales; Snell envelope

دانلود رایگان متن کامل مقاله ISI 22 صفحه سال انتشار : 2009 سفارش ترجمه

On exponential local martingales associated with strong Markov continuous local martingales

Keywords: 60G44; 60G48; 60G30; 60J25; 60J65; 60H10Continuous local martingales; Continuous strong Markov processes; Stochastic differential equations; Brownian motion; Brownian motion with drift; Integral functionals; 0–1-laws; Continuous exponential local martinga

دانلود رایگان متن کامل مقاله ISI 22 صفحه سال انتشار : 2009 سفارش ترجمه

On the Burkholder–Davis–Gundy inequalities for continuous martingales

Keywords: 60E15; 60G44

دانلود رایگان متن کامل مقاله ISI 6 صفحه سال انتشار : 2008 سفارش ترجمه

On degenerate stochastic equations of Itô type with jumps

Keywords: primary; 60H10; 60J60; 60J65; 60G44;

دانلود رایگان متن کامل مقاله ISI 9 صفحه سال انتشار : 2008 سفارش ترجمه

On Haezendonck risk measures

Keywords: 60G42; 60G44; G11; G12; G13; Premium principles; Orlicz norms; Risk measures; Coherent risk measures; Law invariant risk measures; Conditional Value at Risk; Inf-convolution;

دانلود رایگان متن کامل مقاله ISI 9 صفحه سال انتشار : 2008 سفارش ترجمه

How rich is the class of processes which are infinitely divisible with respect to time?

Keywords: 60G48; 60G51; 60G44; 60G10; Semi-selfsimilar process; Semi-stable process; IDT process;

دانلود رایگان متن کامل مقاله ISI 11 صفحه سال انتشار : 2008 سفارش ترجمه

Approximation via regularization of the local time of semimartingales and Brownian motion

Keywords: 60G44; 60H05; 60H99; 60J55; 60J60; 60J65Local time; Stochastic integration by regularization; Quadratic variation; Rate of convergence; Stochastic Fubini’s theorem

دانلود رایگان متن کامل مقاله ISI 13 صفحه سال انتشار : 2008 سفارش ترجمه

A note on the central limit theorem for bipower variation of general functions

Keywords: 60F05; 60G44; 60H05Bipower variation; Central limit theorem; Diffusion models; High-frequency data; Semimartingale theory

دانلود رایگان متن کامل مقاله ISI 15 صفحه سال انتشار : 2008 سفارش ترجمه

Penalizations of the Brownian motion with a functional of its local times

Keywords: 60B10; 60J65; 60G17; 60G44; 60J25; 60J55Penalization; Local time; Brownian motion

دانلود رایگان متن کامل مقاله ISI 27 صفحه سال انتشار : 2008 سفارش ترجمه

Conditions on option prices for absence of arbitrage and exact calibration

Keywords: 60G44; 60J10; C60; G12; Options; Arbitrage; Calibration; Default probability;

دانلود رایگان متن کامل مقاله ISI 21 صفحه سال انتشار : 2007 سفارش ترجمه

Risk measures via g-expectations

Keywords: IM10; IM30; IE12; G11; G12; G13; 60G42; 60G44; 60H10; Coherent/convex risk measure; Dynamic risk measure; g-expectation; Insurance premium;

دانلود رایگان متن کامل مقاله ISI 16 صفحه سال انتشار : 2006 سفارش ترجمه

Weak Dirichlet processes with a stochastic control perspective

Keywords: 60G05; 60G44; 60G48; 60H05; 60H10; 60J60; 35K15; 35K55; 35J15; 93E20Stochastic calculus via regularization; Weak Dirichlet processes; Stochastic optimal control; Cauchy problem for parabolic partial differential equations

دانلود رایگان متن کامل مقاله ISI 21 صفحه سال انتشار : 2006 سفارش ترجمه

Local time–space stochastic calculus for Lévy processes

Keywords: 60G44; 60H05; 60J55; 60J65Lévy processes; Stochastic calculus; Local time; Itô formula

دانلود رایگان متن کامل مقاله ISI 22 صفحه سال انتشار : 2006 سفارش ترجمه

Harnesses, Lévy bridges and Monsieur Jourdain

Keywords: 60G48; 60G51; 60G44; 60G10; Harnesses; Lévy processes; Past-future martingales; Enlargement of filtration;

دانلود رایگان متن کامل مقاله ISI 10 صفحه سال انتشار : 2005 سفارش ترجمه

Martingale approximations for continuous-time and discrete-time stationary Markov processes

Keywords: 60F05; 60G44; secondary 60J25; 60J35; Markov process; Central limit theorem; Martingale; Moving average process; Normal operator;

دانلود رایگان متن کامل مقاله ISI 12 صفحه سال انتشار : 2005 سفارش ترجمه

On a martingale associated to generalized Ornstein-Uhlenbeck processes and an application to finance

Keywords: 60G44; 60G40; 60G51; secondary 33C05; 91B70; Generalized Ornstein-Uhlenbeck process; Stable process; First passage time; Martingales; Special functions; Term structure; Path dependent options;

دانلود رایگان متن کامل مقاله ISI 15 صفحه سال انتشار : 2005 سفارش ترجمه

Covering numbers of different points in Dvoretzky covering

Keywords: primary; 28A78; secondary; 60G44; 60G57; Random covering; Hausdorff dimension; Multifractal analysis; Poisson point processes; Random measures; Compound Poisson cascades; Martingales;

دانلود رایگان متن کامل مقاله ISI 43 صفحه سال انتشار : 2005 سفارش ترجمه