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  • Search: subject:"stochastic integrals"
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Year of publication
Subject
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stochastic integrals 16 Brownian motion 5 Stochastic integrals 4 Semimartingales 3 Stochastic process 3 Stochastischer Prozess 3 minimal martingale measure 3 semimartingales 3 variance-optimal martingale measure 3 Dirichlet spaces 2 Incomplete market 2 Ito's formula 2 Itô-Wentzell formula 2 Kunita-Watanabe projection 2 L2-projection 2 Lyapunov exponent 2 Malliavin calculus 2 Martingal 2 Martingale 2 Multiple stochastic integrals 2 Theorie 2 Theory 2 convergence 2 feedback effect 2 large investor 2 optimization 2 parameter dependent semimartingales 2 polar sets 2 quadratic covariation 2 quadratic hedging 2 uniform approximation of stochastic integrals 2 unit root 2 Arbitrage 1 Asymptotic analysis 1 Autoregressive processes 1 Berry–Esséen bounds 1 Burkholder–Davis–Gundy inequalities 1 Chaos 1 Characteristic functions 1 Computer simulation 1
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Online availability
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Undetermined 16 Free 11
Type of publication
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Article 19 Book / Working Paper 14
Type of publication (narrower categories)
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Working Paper 3 Article in journal 2 Aufsatz in Zeitschrift 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1
Language
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Undetermined 25 English 8
Author
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Schweizer, Martin 3 Bank, Peter 2 Baum, Dietmar 2 Caceres, Carlos 2 Föllmer, Hans 2 Janicki, Aleksander 2 Nielsen, Bent 2 Park, Joon Y. 2 Pham, Huyên 2 Phillips, Peter C.B. 2 Protter, Philip E. 2 Tudor, Ciprian A. 2 Whang, Yoon-Jae 2 (*), Thorsten RheinlÄnder 1 ARAI, TAKUJI 1 Ando, Masayuki 1 Anh, V.V. 1 Ayache, Antoine 1 Azmoodeh, Ehsan 1 Cadre, Benoît 1 Chorro, Christophe 1 Davidson, James 1 Delbaen, Freddy 1 Duncan, T. E. 1 Galtchouk, Leonid 1 Herdegen, Martin 1 Herrmann, Sebastian 1 Horváth, Lajos 1 Ibragimov, Rustam 1 Jarrow, Robert 1 Kusuoka, Seiichiro 1 Langovoy, Mikhail 1 Mishura, Yuliya 1 Monat, Pascale 1 Nguyen, C.N. 1 Pham, HuyËn 1 Protter, Philip 1 Schachermayer, Walter 1 Shao, Qi-Man 1 Stricker, Christophe 1
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Institution
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Cowles Foundation for Research in Economics, Yale University 2 Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 2 Department of Economics, Oxford University 1 Economics Group, Nuffield College, University of Oxford 1 Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska 1 Institute for Economic Research, Division of Economics 1 Maison des Sciences Économiques, Université Paris 1 (Panthéon-Sorbonne) 1 Suntory and Toyota International Centres for Economics and Related Disciplines, LSE 1 University of Bonn, Germany 1
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Published in...
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Finance and Stochastics 4 Statistics & Probability Letters 4 Cowles Foundation Discussion Papers 2 SFB 373 Discussion Paper 2 SFB 373 Discussion Papers 2 Stochastic Processes and their Applications 2 Cahiers de la Maison des Sciences Economiques 1 Computational Statistics 1 Discussion Paper Serie B 1 Economics Papers / Economics Group, Nuffield College, University of Oxford 1 Economics Series Working Papers / Department of Economics, Oxford University 1 HSC Research Reports 1 International Journal of Theoretical and Applied Finance (IJTAF) 1 Journal of Econometrics 1 Journal of Multivariate Analysis 1 Journal of mathematical finance 1 Mathematical Methods of Operations Research 1 Mathematics and Computers in Simulation (MATCOM) 1 Quantitative finance 1 Research paper series / Swiss Finance Institute 1 STICERD - Econometrics Paper Series 1 Statistics & Decisions 1 Swiss Finance Institute Research Paper 1 Working Paper Series / Institute for Economic Research, Division of Economics 1
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Source
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RePEc 27 ECONIS (ZBW) 3 EconStor 2 Other ZBW resources 1
Showing 31 - 33 of 33
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A note on dichotomy theorems for integrals of stable processes
Horváth, Lajos; Shao, Qi-Man - In: Statistics & Probability Letters 19 (1994) 1, pp. 45-49
We find necessary and sufficient conditions for the almost sure finiteness of weighted integrals of stable processes with parameters [alpha] = 1 and [beta] [not equal to] 0.
Persistent link: https://www.econbiz.de/10005313975
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The Multivariate Invariance Principle for Globally Nonstationary Processes, with an Application to I(2) Models
Davidson, James - Suntory and Toyota International Centres for Economics … - 1993
statistics converge to members of a class of stochastic integrals under the broad assumptions yielding the invariance principle …
Persistent link: https://www.econbiz.de/10010720251
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Stochastic integrals in Riemann manifolds
Duncan, T. E. - In: Journal of Multivariate Analysis 6 (1976) 3, pp. 397-413
Stochastic integrals are constructed with values in a compact Riemann manifold from a continuous martingale integrator … martingale property. These stochastic integrals should be useful for the applications of a stochastic calculus in Riemann …
Persistent link: https://www.econbiz.de/10005160482
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