Search Results - subject:"stochastic integrals"

Herdegen, Martin; Herrmann, Sebastian - 2014

Many results in stochastic analysis and mathematical finance involve local martingales. However, specific examples of strict local martingales are rare and analytically often rather unhandy. We study local martingales that follow a given deterministic function up to a random time γ at which...

Persistent link: https://www.econbiz.de/10010338742

Convergence to Stochastic Integrals with Non-linear integrands

Nielsen, Bent; Caceres, Carlos - Economics Group, Nuffield College, University of Oxford - 2007

In this paper we present a general result concerning the convergence to stochastic integrals with non-linear integrands …

Persistent link: https://www.econbiz.de/10005730272

Convergence to Stochastic Integrals with Non-linear Integrands

Nielsen, Bent; Caceres, Carlos - Department of Economics, Oxford University - 2007

In this paper we present a general result concerning the convergence to stochastic integrals with non-linear integrands …

Persistent link: https://www.econbiz.de/10010605152

Convergence en loi de Dirichlet de certaines intégrales stochastiques.

Chorro, Christophe - Maison des Sciences Économiques, Université Paris 1 … - 2005

-Uhlenbeck error structure on the Wiener space [4]. The aim of this paper is to extend this result to some families of stochastic … integrals. …

Persistent link: https://www.econbiz.de/10005220177

Regression Asymptotics Using Martingale Convergence Methods

Ibragimov, Rustam; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2004

stochastic integrals now plays a major role in nonstationary time series and has been central to the development of unit root …

Persistent link: https://www.econbiz.de/10004990794

Hedging and portfolio optimization in illiquid financial markets

Bank, Peter; Baum, Dietmar - 2002

absence of arbitrage for the large investor, and using approximation results for stochastic integrals, we characterize the set …

Persistent link: https://www.econbiz.de/10010310531

Hedging and portfolio optimization in illiquid financial markets

Bank, Peter; Baum, Dietmar - Sonderforschungsbereich 373, Quantifikation und … - 2002

absence of arbitrage for the large investor, and using approximation results for stochastic integrals, we characterize the set …

Persistent link: https://www.econbiz.de/10010956571

On Itô's formula for multidimensional Brownian motion

Föllmer, Hans; Protter, Philip E. - 2001

set. The proof is based on new approximation results for forward and backward stochastic integrals. …

Persistent link: https://www.econbiz.de/10010310384

On Itô's formula for multidimensional Brownian motion

Föllmer, Hans; Protter, Philip E. - Sonderforschungsbereich 373, Quantifikation und … - 2001

set. The proof is based on new approximation results for forward and backward stochastic integrals. …

Persistent link: https://www.econbiz.de/10010983660

Can One See Alpha-stable Variables and Processes?

Janicki, Aleksander; Weron, Aleksander - Hugo Steinhaus Center for Stochastic Methods, … - 1994

discretization methods it is possible to construct approximations of stochastic integrals with stable measures as integrators. As a …

Persistent link: https://www.econbiz.de/10009003616

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