Stochastic integration and \(L^ p-\)theory of semimartingales

From MaRDI portal
Publication:1151666

DOI10.1214/aop/1176994509zbMath0458.60057OpenAlexW2008350030MaRDI QIDQ1151666

Klaus Bichteler

Publication date: 1981

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176994509




Related Items (80)

Stochastic string models with continuous semimartingalesIncentives, lockdown, and testing: from Thucydides' analysis to the COVID-19 pandemicOn the use of semimartingales and stochastic integrals to model continuous tradingA superhedging approach to stochastic integrationPathwise solvability of stochastic integral equations with generalized drift and non-smooth dispersion functionsOn pathwise stochastic integrationLévy driven moving averages and semimartingalesPathwise stochastic calculus with local timesOn infinitely divisible semimartingalesRiemann-integration and a new proof of the Bichteler-Dellacherie theoremInterpolation between continuous parameter martingale spaces: The real methodStochastic integration without tearsOn \(L^ p\) stochastic representationsOn Volterra equations driven by semimartingalesRobust pricing-hedging dualities in continuous timeGovernmental incentives for Green bonds investmentUnnamed ItemZero-sum path-dependent stochastic differential games in weak formulationA trajectorial interpretation of Doob's martingale inequalitiesStochastic integratorsOn the convergence of quadratic variation for compound fractional Poisson processesMartingale BMO spaces with continuous timeQuadratic variation of a càdlàg semimartingale as a.s. limit of the normalized truncated variationsRandom \(G\)-expectationsMartingale optimal transport dualityA note on stochastic integratorsFunctional Itô calculus, path-dependence and the computation of GreeksSharp inequality for martingale maximal functions and stochastic integralsIto's formula for continuous (N,d)-processesProbabilistic interpretation for solutions of fully nonlinear stochastic pdesMean–field moral hazard for optimal energy demand response managementSecond-order BSDEs with general reflection and game options under uncertaintyMeasurability of semimartingale characteristics with respect to the probability lawStochastic Processes in the Decades after 1950Dynamic programming approach to principal-agent problemsRough semimartingales and \(p\)-variation estimates for martingale transformsItô-Föllmer calculus in Banach spaces. I: The Itô formulaContinuous-time incentives in hierarchiesFrom Markov processes to semimartingalesA càdlàg rough path foundation for robust financeA Variable Step Size Riemannian Sum for an Itô IntegralSharp maximal inequality for stochastic integralsWeak \(\Phi\)-inequalities for the Haar system and differentially subordinated martingalesPathwise stochastic integration and applications to the theory of continuous tradingSharp maximal inequalities for stochastic integrals in which the integrator is a submartingaleThe Riesz representation theorem and weak\(^\ast\) compactness of semimartingalesSharp maximal inequality for nonnegative martingalesMaximal inequalities for martingales and their differential subordinatesConstructing sublinear expectations on path spaceA direct proof of the Bichteler-Dellacherie theorem and connections to arbitrageSharp maximal inequalities for the moments of martingales and non-negative submartingalesThe descriptive complexity of stochastic integrationForward-convex convergence in probability of sequences of nonnegative random variablesRemarks on the stochastic integralItô's calculus under sublinear expectations via regularity of PDEs and rough pathsApplications of pathwise Burkholder-Davis-Gundy inequalities ⋮ [https://portal.mardi4nfdi.de/wiki/Publication:3317833 Semi-martingales index�es par une partie de ?d et formule de lto. Cas continu] ⋮ Reflected brownian motion in a wedge: Semimartingale propertyMartingale Transforms with Unbounded MultipliersLocal times for a class of multi-parameter processesLogarithmic estimates for nonsymmetric martingale transformsOne modification of the martingale transform and its applications to paraproducts and stochastic integralsRemarks on Föllmer's pathwise Itô calculusStochastic integration and differential equations for typical pathsPathwise stochastic integrals for model free financeAlmost sure optimal hedging strategyPathwise Itô calculus for rough paths and rough PDEs with path dependent coefficientsLocal times and Tanaka-Meyer formulae for càdlàg pathsStochastic differential equations with a fractionally filtered delay: a semimartingale model for long-range dependent processesWeak approximation of second-order BSDEsSecond-order BSDEs with jumps: formulation and uniquenessStochastic integrators with stationary independent incrementsBimeasures and measures induced by planar stochastic integratorsResolution trajectorielle et analyse numerique des equations differentielles stochastiquesStochastic integration for set-indexed processesDecomposability of cylindrical martingales and absolutely summing operatorsStochastic integrals and two filtrationsThe dialectics archetypes/types (universal categorical constructions/concrete models) in the work of Alexander GrothendieckPathwise Taylor expansions for random fields on multiple dimensional pathsStochastic integration on partially ordered sets




This page was built for publication: Stochastic integration and \(L^ p-\)theory of semimartingales