Add to ORKGIn this paper we present a martingale formula for Markov processes and their integrated process. This formula allows us to derive some new as well as some well-known martingales. We give some examples of their application in stochastic process theory.
This paper offers an overview on the characteristics of martingales. These latter are markovian proc...
We establish a local martingale M associate with (X,Y) where X is a sufficiently nice Markov process...
Integration-by-parts formulas for functions of fundamental jump processes relating to a continuous-t...
This book offers a rigorous and self-contained presentation of stochastic integration and stochastic...
1. Introduction and summary. This paper is concerned with applying the theory of martingales of jump...
In this thesis we study martingales and stochastic integration of processes withvalues in UMD Banach...
Le;vy processes form a wide and rich class of random process, and have many applications ranging fro...
We show that the marginal distribution of a semimartingale can be matched by a Markov process. This ...
This book has two-fold aims. In a first part it gives an introductory, thorough and essentially self...
This thesis deals with martingales and other subjects that are closely connected with this area. It ...
This study provides a detailed discussion of the Martingale theory and its properties. To elaborate ...
It has been 15 years since the first edition of Stochastic Integration and Differential Equations, A...
Exponential processes in the Ito theory of stochastic integration can be viewed in three aspects: mu...
z Stochastic integral representation of martingales has been undergoing a renaissance due to questio...
Abstract. The paper is a contribution to the theory of martingales of processes whose sample paths a...
This paper offers an overview on the characteristics of martingales. These latter are markovian proc...
We establish a local martingale M associate with (X,Y) where X is a sufficiently nice Markov process...
Integration-by-parts formulas for functions of fundamental jump processes relating to a continuous-t...
This book offers a rigorous and self-contained presentation of stochastic integration and stochastic...
1. Introduction and summary. This paper is concerned with applying the theory of martingales of jump...
In this thesis we study martingales and stochastic integration of processes withvalues in UMD Banach...
Le;vy processes form a wide and rich class of random process, and have many applications ranging fro...
We show that the marginal distribution of a semimartingale can be matched by a Markov process. This ...
This book has two-fold aims. In a first part it gives an introductory, thorough and essentially self...
This thesis deals with martingales and other subjects that are closely connected with this area. It ...
This study provides a detailed discussion of the Martingale theory and its properties. To elaborate ...
It has been 15 years since the first edition of Stochastic Integration and Differential Equations, A...
Exponential processes in the Ito theory of stochastic integration can be viewed in three aspects: mu...
z Stochastic integral representation of martingales has been undergoing a renaissance due to questio...
Abstract. The paper is a contribution to the theory of martingales of processes whose sample paths a...
This paper offers an overview on the characteristics of martingales. These latter are markovian proc...
We establish a local martingale M associate with (X,Y) where X is a sufficiently nice Markov process...
Integration-by-parts formulas for functions of fundamental jump processes relating to a continuous-t...