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On componentwise and vector stochastic integration

Chatelain, Michel - In: Mathematical finance : an international journal of … 4 (1994) 1, pp. 57-65

Persistent link: https://www.econbiz.de/10001185115

Towards a general theory of bond markets

Björk, Tomas; DiMasi, Giovanni; Kabanov, Jurij M.; … - 1996

Persistent link: https://www.econbiz.de/10000955624

Optional decomposition and Lagrange multipliers

Föllmer, Hans - In: Finance and stochastics 2 (1998) 1, pp. 69-81

Persistent link: https://www.econbiz.de/10001230154

Ruin probabilities for a Sparre Andersen model with investments : the case of annuity payments

Kabanov, Jurij M.; Promyslov, Platon - In: Finance and stochastics 27 (2023) 4, pp. 887-902

Persistent link: https://www.econbiz.de/10014426395

Optional decomposition and lagrange multipliers

Föllmer, Hans; Kabanov, Jurij M. - 1997

Let Q be the set of equivalent martingale measures for a given process S, and let X be a process which is a local supermartingale with respect to any measure in Q. The optional decomposition theorem for X states that there exists a predictable integrand ф such that the difference X−ф•S is...

Persistent link: https://www.econbiz.de/10009658469

In the insurance business risky investments are dangerous : the case of negative risk sums

Kabanov, Jurij M.; Pergamenshchikov, Serguei - In: Finance and stochastics 20 (2016) 2, pp. 355-379

Persistent link: https://www.econbiz.de/10011471125

Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process

Kabanov, Jurij M.; Pergamenshchikov, Serguei - In: Finance and stochastics 24 (2020) 1, pp. 39-69

Persistent link: https://www.econbiz.de/10012253340

On ruin probabilities with investments in a risky asset with a regime-switching price

Kabanov, Jurij M.; Pergamenščikov, Sergej M. - In: Finance and stochastics 26 (2022) 4, pp. 877-897

Persistent link: https://www.econbiz.de/10013440255