Keywords: 60G42; 60G48; 46E30; Hardy-Lorentz spaces; Martingale transforms; Interpolation;
مقالات ISI (ترجمه نشده)
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Keywords: 60F05; 60G10; 60G48; Random field; Central limit theorem; Maxwell-Woodroofe condition; Martingale approximation;
Keywords: primary; 60F05; 60F15; 60F17; secondary; 60G48; 60H05; Brownian semi-stationary processes; High frequency data; Limit theorems; Stable convergence; Turbulence;
Volterra-type Ornstein-Uhlenbeck processes in space and time
Keywords: primary; 60G10; 60G17; 60G60; 60H20; secondary; 60G48; 60G51; 60J75; Ambit process; Cà dlà g in space and time; Lévy basis; Long memory; Path properties; Second-order structure; Space-time modeling; Stationary solution; Stochastic Volterra equation; Vo
Stochastic PDEs with heavy-tailed noise
Keywords: primary; 60H15; 60H20; 60G60; secondary; 60G52; 60G48; 60G51; 60G57; Generalized Gaussian densities; Heavy-tailed noise; Itô basis; Lévy basis; Parabolic stochastic PDE; Stable noise; Stochastic heat equation; Stochastic partial differential equation; S
Single jump processes and strict local martingales
Keywords: primary; 60G48; 60G44; secondary; 60H05; Single jump; Strict local martingales; Stochastic integrals;
Moment bounds for dependent sequences in smooth Banach spaces
Keywords: 60E15; 60G48; 37E05Moment inequalities; Smooth Banach spaces; Empirical process; Young towers; Wasserstein distance
The use of BSDEs to characterize the mean–variance hedging problem and the variance optimal martingale measure for defaultable claims
Keywords: 60G48; 60H10; 91G40; 49L20Backward stochastic differential equations; Defaultable claim; Mean–variance; Default processes; Variance optimal martingale measure
Martingale transforms and weak Orlicz–Hardy spaces of predictable martingales
Keywords: 60G42; 60G48; 46E30Martingale transforms; Young functions; Weak Orlicz–Hardy spaces
Some examples of Skorokhod embeddings obtained from the Azéma-Yor algorithm
Keywords: 60G46; 60G48; Azéma martingale; Azéma-Yor algorithm; Hardy-Littlewood function; Skorokhod embedding;
Characterization of the finite variation property for a class of stationary increment infinitely divisible processes
Keywords: 60G48; 60H05; 60G51; 60G17Finite variation; Infinitely divisible processes; Stationary processes; Fractional processes; Zero–one laws
The class of tenable zero-balanced Pólya urns with an initially dominant subset of colors
Keywords: 60C05; 60F05; 05A05; 60G42; 60G48; 60E05; Pólya urn; Random structure; Combinatorial probability; Phase transition; Multivariate central limit theorem;
Deviation probability bounds for fractional martingales and related remarks
Keywords: 60G22; 60G48; 60B12; Fractional martingales; Exponential inequality; Law of large numbers;
Stitching pairs of Lévy processes into harnesses
Keywords: 60G48; 60J99; 60G51Meixner processes; Martingale characterization; Quadratic conditional variances; Harnesses; Natural exponential families of Lévy processes
Representing filtration consistent nonlinear expectations as g-expectations in general probability spaces
Keywords: 60G48; 60H20; 91B06; BSDE; Nonlinear expectation; Doob-Meyer decomposition;
Path and semimartingale properties of chaos processes
Keywords: 60G48; 60G51; 60G17; 60G15; 60G10Semimartingales; pp-variation; Moving averages; Chaos processes; Absolutely continuity
Exponential inequalities for N-demimartingales and negatively associated random variables
Keywords: 60E15; 60G48
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
Lévy driven moving averages and semimartingales
Keywords: 60G48; 60H05; 60G51; 60G17Semimartingales; Moving averages; Lévy processes; Bounded variation; Absolutely continuity; Stable processes; Fractional processes
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
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;
Representation theorems for quadratic FF-consistent nonlinear expectations
Keywords: 60G48; 60H10; 91B30Backward SDEs; gg-expectation; FF-consistent nonlinear expectations; Quadratic nonlinear expectations; BMO; Doob–Meyer decomposition; Representation theorem
The proportional hazards regression model with staggered entries: A strong martingale approach
Keywords: 60G48; 62N01; 62N99Staggered entries; Strong martingales; Proportional hazards regression models
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
Harnesses, Lévy bridges and Monsieur Jourdain
Keywords: 60G48; 60G51; 60G44; 60G10; Harnesses; Lévy processes; Past-future martingales; Enlargement of filtration;
Finite utility on financial markets with asymmetric information and structure properties of the price dynamics
Keywords: primary; 60G48; 60H05; 91B28; secondary; 93E20; 94A17; 60H30; Insider trading; Enlargement of filtration; Free lunch with vanishing risk; (NFLVR); Arbitrage; Finite expected utility; Semimartingale; Stochastic integrator; Information drift;
Minimal entropy preserves the Lévy property: how and why
Keywords: 60G51; 91B28; 60G48; Lévy processes; Martingale measures; Relative entropy; Minimal entropy martingale measure; Mathematical finance; Incomplete markets;
Stochastic calculus and martingales on trees
Keywords: 60G07; 60G48; 58J65; 58E20; 47H20; Semimartingales on trees; Martingales on trees; Martingales with jumps; Coupling of diffusions; Harmonic maps; Energy minimizing maps; Semimartingales sur les arbres; Martingales sur les arbres; Martingales avec sauts; C