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On the Dynamics of Semimartingales with Two Reflecting Barriers
Dynamics Semimartingales Reflecting Barriers
2015/7/6
We consider a semimartingale X which is reflected at an upper barrier T and a lower barrier S, where S and T are also semimartingales such that T is bounded away from S. First, we present an explicit ...
Small time central limit theorems for semimartingales with applications
Small time central limit theorems semimartingale applications
2012/9/17
We give conditions under which the normalized marginal distri-bution of a semimartingale converges to a Gaussian limit law as time tends to zero. In particular, our result is applicable to solutions o...
Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension
Semimartingale Martingale Stochastic integration Fundamental theorem of asset pricing Stochastic dimension
2011/12/28
The purpose of this paper is two-fold. First is to extend the notions of an n-dimensional semimartin-gale and its stochastic integral to a piecewise semimartingale of stochastic dimension. The propert...
Some Norm Estimates for Semimartingales--- Under Linear and Nonlinear Expectations
Martingale semimartingale quasimartingale G-expectation G-martingale G-semimartingale Doob-Meyer decompostition
2011/9/15
Abstract: In this paper we introduce two types of norms for semimartingales, under both linear and nonlinear expectations. The first norm is motivated by quasimartingales, and characterizes square int...
On stochastic calculus related to financial assets without semimartingales
A-martingale weak k-order Brownian motion no-semimartingale utility maximization insider no-arbitrage viability hedging
2011/3/23
This paper does not suppose a priori that the evolution of the price of a financial asset is a semimartingale. Since possible strategies of investors are self-financing, previous prices are forced to ...
The Bellman Equation for Power Utility Maximization with Semimartingales
The Bellman Equation for Power Semimartingales
2010/11/3
The Bellman Equation for Power Utility Maximization with Semimartingales.
Necessary and sufficient conditions for extended convergence of semimartingales
Necessary and sufficient conditions extended convergence of semimartingales
2009/9/23
The extended convergence (in sense of Aldous [I]) of
processes with filtrations is considered. There are examined the
cases where the well-known conditions, sufficient for the weak
convergence of s...
Indifference price with general semimartingales
Indifference price - utility maximization – non locally bounded semimartingale –random endowment - incomplete market – Orlicz space – convex duality - convex risk measure
2010/11/1
For utility functions u finite valued on R, we prove a duality formula for utility maximization
with random endowment in general semimartingale incomplete markets. The main novelty of the paper is th...
Convergence of the Euler-Maruyama method for stochastic differential equations with respect to semimartingales
Itˆ o’s formula Euler-Maruyama method Lipschitz condition
2010/9/16
In this paper, we study the stochastic differential equations with respect to semimartingales and the property of convergence of the Euler-Maruyama scheme approximations to the exact solutions.