The following pages link to (Q3049602):
Displaying 50 items.
- Omega diffusion risk model with surplus-dependent tax and capital injections (Q320287) (← links)
- A trajectorial interpretation of Doob's martingale inequalities (Q363856) (← links)
- Maximizing functionals of the maximum in the Skorokhod embedding problem and an application to variance swaps (Q373844) (← links)
- Lévy processes conditioned on having a large height process (Q376686) (← links)
- A remarkable \(\sigma\)-finite measure unifying supremum penalisations for a stable Lévy process (Q376688) (← links)
- Optimal transportation under controlled stochastic dynamics (Q378799) (← links)
- BSDEs in utility maximization with BMO market price of risk (Q429302) (← links)
- Randomized strategies and prospect theory in a dynamic context (Q508405) (← links)
- Penalisation of a stable Lévy process involving its one-sided supremum (Q629787) (← links)
- A diffusion-type process with a given joint law for the terminal level and supremum at an independent exponential time (Q645596) (← links)
- On Azéma-Yor processes, their optimal properties and the Bachelier-drawdown equation (Q662437) (← links)
- Une extension des théorèmes de Ray et Knight sur les temps locaux Browniens. (An extension of the theorems of Ray and Knight on Brownian local times) (Q756864) (← links)
- A class of remarkable submartingales (Q850029) (← links)
- An explicit solution to the Skorokhod embedding problem for functionals of excursions of Markov processes (Q875905) (← links)
- Price dynamics on a stock market with asymmetric information (Q972128) (← links)
- Doob's inequalities revisited: A maximal \(H^ 1\)-embedding (Q1107901) (← links)
- The distribution of Brownian motion in \(R^ n\) at a natural stopping time (Q1156430) (← links)
- Some inequalities with local times in zero of a Brownian motion (Q1198557) (← links)
- On Doob's maximal inequality for Brownian motion (Q1275937) (← links)
- The joint law of the maximum and terminal value of a martingale (Q1326340) (← links)
- Designing options given the risk: The optimal Skorokhod-embedding problem (Q1593624) (← links)
- Embedding in Brownian motion with drift and the Azéma-Yor construction (Q1613593) (← links)
- From optimal stopping boundaries to Rost's reversed barriers and the Skorokhod embedding (Q1650132) (← links)
- The root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach (Q1729695) (← links)
- Robust bounds for the American put (Q1739057) (← links)
- Optimal stopping and the sufficiency of randomized threshold strategies (Q1748586) (← links)
- The Azéma-Yor embedding in non-singular diffusions. (Q1766021) (← links)
- Martingales with given maxima and terminal distributions (Q1813671) (← links)
- Explicit form and robustness of martingale representations. (Q1872167) (← links)
- Optimal stopping under probability distortion (Q1948688) (← links)
- Embedding of Walsh Brownian motion (Q2021385) (← links)
- Time-changed local martingales under signed measures (Q2031003) (← links)
- General drawdown based dividend control with fixed transaction costs for spectrally negative Lévy risk processes (Q2076351) (← links)
- On a doubly reflected risk process with running maximum dependent reflecting barriers (Q2104057) (← links)
- A construction of the left-curtain coupling (Q2105148) (← links)
- The geometry of multi-marginal Skorokhod embedding (Q2174667) (← links)
- MRL order, log-concavity and an application to peacocks (Q2258825) (← links)
- Two explicit Skorokhod embeddings for simple symmetric random walk (Q2274306) (← links)
- Minimal Root's embeddings for general starting and target distributions (Q2289795) (← links)
- Mean residual life processes and associated submartingales (Q2297315) (← links)
- Gambling in contests modelled with diffusions (Q2343115) (← links)
- On joint distributions of the maximum, minimum and terminal value of a continuous uniformly integrable martingale (Q2347466) (← links)
- Optimal transport and Skorokhod embedding (Q2356918) (← links)
- Integral equations for Rost's reversed barriers: existence and uniqueness results (Q2403714) (← links)
- On taxed spectrally negative Lévy processes with draw-down stopping (Q2404541) (← links)
- Weak decreasing stochastic order (Q2405918) (← links)
- Fake exponential Brownian motion (Q2435766) (← links)
- A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options (Q2443194) (← links)
- Max-plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance (Q2482283) (← links)
- An optimal Skorokhod embedding for diffusions (Q2485750) (← links)
