Th�orie des processus stochastiques g�n�raux applications aux surmartingales

From MaRDI portal
Publication:5646185

DOI10.1007/BF00538905zbMath0236.60033OpenAlexW2885081413MaRDI QIDQ5646185

Jean-Francois Mertens

Publication date: 1972

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00538905




Related Items

Fine properties of the optimal Skorokhod embedding problemOptimal stopping problems with restricted stopping timesStrong supermartingales and limits of nonnegative martingalesDuality theory for portfolio optimisation under transaction costsA unified approach to a priori estimates for supersolutions of BSDEs in general filtrationsUnnamed ItemUnnamed ItemThree Essays on Exponential Hedging with Variable Exit TimesExistence and uniqueness of stochastic equations of optional semimartingales under monotonicity conditionStrong snell envelopes and RBSDEs with regulated trajectories when the barrier is a semimartingaleConsumption-investment problem with subsistence consumption, bankruptcy, and random market coefficientsAn axiomatic approach to the valuation of cash flowsOn linear stochastic equations of optional semimartingales and their applicationsOptimal stopping of continuous time stochastic processes and stochastic differential representations for the value functionsA new Mertens decomposition of \(\mathscr{Y}^{g , \xi} \)-submartingale systems. Application to BSDEs with weak constraints at stopping timesConvex duality for partial hedging of American options: continuous price processesOptimal stopping in predictable settingGeneralized BSDE and reflected BSDE with random time horizonA note on optional Snell envelopes and reflected backward SDEsStrongly supermedian functions and optimal stoppingConvex inequalities in stochastic controlCharacteristics and Constructions of Default TimesStochastic target games with controlled lossUtility maximization problem with transaction costs: optimal dual processes and stabilityUnnamed Item ⋮ [https://portal.mardi4nfdi.de/wiki/Publication:4104688 Dualit� convexe, temps d'arr�t optimal et contr�le stochastique] ⋮ Temps d'arrêt optimal des processus non bornesTemps d'arrÊt optimal, théorie générale des processus et processus de MarkovMonotone stopping rules forstochastic processes in a semimartingale representation with applicationsPointwise convergence in terms of expectationsQuasi-martingales with a linearly ordered index setSupermartingale decomposition with a general index setTwo parameter optimal stopping and bi-Markov processesLeft continuous moderate Markov processesSur la théorie fine du potentielMonotone stopping problems and continuous time processesAmarts: A class of asymptotic martingales. A: Discrete parameterAmarts: A class of asymptotic martingales. II: Continuous parameter ⋮ [https://portal.mardi4nfdi.de/wiki/Publication:4162232 Contr�le de processus alternants et applications] ⋮ Decomposition of supermartingales indexed by a linearly ordered set ⋮ [https://portal.mardi4nfdi.de/wiki/Publication:4165998 Sur un th�or�me de J.M. Bismut] ⋮ On the dual problem of utility maximization in incomplete marketsReflected BSDEs with two optional barriers and monotone coefficient on general filtered spaceOptional supermartingales and the andersen-jessen theoremOptimal stopping of stochastic transport minimizing submartingale costsOptimal Skorokhod Embedding Under Finitely Many Marginal ConstraintsSeveral stability properties of the class of asymptotic martingalesStrong envelopes of stochastic processes and a penalty method ⋮ [https://portal.mardi4nfdi.de/wiki/Publication:3930414 Repr�sentation des fonctionnelles surm�dianes] ⋮ Hyperamarts: Conditions for regularity of continuous parameter processesStochastic process measurability conditionsLocal optimality conditions for optimal stoppingCharacterisation of honest times and optional semimartingales of class-\((\Sigma)\) ⋮ [https://portal.mardi4nfdi.de/wiki/Publication:3949750 Arr�t Optimal sur le Plan] ⋮ A contribution to the theory of asymptotic martingalesThe infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. II: Existence, uniqueness and verification for \(\vartheta \in (0,1)\)



Cites Work