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Continuous Exponential Martingales and BMO

In three chapters on Exponential Martingales, BMO-martingales, and Exponential of BMO, this book explains in detail the beautiful;

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Backward Stochastic Differential Equations and BMO martingales

(BSDEs) and Bounded Mean Oscillation (BMO) martingales. In second chapter an interesting connections between theory of BSDEs and BMO martingales;

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Stochastic Integration and Differential Equations

exponential local martingales to be martingales, and a modern treatment of compensators. Chapter 4 treats sigma martingales (important in finance;

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Stochastic Analysis

martingales (particularly, continuous martingales of continuous paths), stochastic integrations with respect to continuous local martingales, and;

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Stochastic Analysis

martingales (particularly, continuous martingales of continuous paths), stochastic integrations with respect to continuous local martingales, and;

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Stochastic Differential Geometry at Saint-Flour

manifolds.-Ancona, A.:Theorie du potential sur les graphs et les varieties.-Emery, M.:Continuous martingales in differentiable manifolds.;

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Continuous Multivariate Distributions

, methodology, inferential procedures, computational and simulational aspects, and applications of continuous multivariate distributions. In-depth;

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Search Theory

On the solution of an optimal search problem with an exponential detection function. Covers one- and two-sided detection problems by;

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London Mathematical Society Lecture Note Series

oscillation (BMO) introduces the subject by concentrating on the connection between the probabilistic and analytic approaches. Short surveys;

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Inequalities In Analysis And Probability (Third Edition)

are presented in two chapters for discrete and time-continuous local martingales with new results for the bound of the norms of a martingale;

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Mathematics of Probability

parameter processes, including Brownian motion, and, finally, with martingales, both discrete and continuous parameter ones. The book is a self;

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Introduction to Stochastic Calculus

. The authors briefly addresses continuous semi-martingales to obtain growth estimates and study solution of a stochastic differential equation;

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Geometry and Martingales in Banach Spaces

Geometry and Martingales in Banach Spaces provides a compact exposition of the results explaining the interrelations existing between the;

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Geometry and Martingales in Banach Spaces

Geometry and Martingales in Banach Spaces provides a compact exposition of the results explaining the interrelations existing between the;

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Risk Neutral Pricing and Financial Mathematics

financial modeling, including probability, discrete and continuous time and space valuation, stochastic processes, equivalent martingales, option;

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Continuous Martingales and Brownian Motion

This is a magnificent book! Its purpose is to describe in considerable detail a variety of technique;...

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Fractional Brownian Motion

, semimartingales and absolutely continuous processes are presented. As auxiliary but interesting results, the bounds from below and from above for the;

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Set-Indexed Martingales

geometry- Set Indexed Martingales will undoubtedly generate great interest and inspire further research and development of the theory and;

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Brownian Motion and Stochastic Calculus

of both a martingale and a Markov process with continuous paths. In this context, the theory of stochastic integration and stochastic calculus;

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Stochastic Calculus for Quantitative Finance

In 1994 and 1998 F. Delbaen and W. Schachermayer published two breakthrough papers where they proved continuous-time versions of the;

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Bellman Function for Extremal Problems in BMO II

In a previous study, the authors built the Bellman function for integral functionals on the $mathrm{BMO}$ space. The present paper provides;

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Time-Like Graphical Models

probabilistic graphical models. In 2011, Burdzy and Pal proposed a continuous version of graphical models indexed by graphs with an embedded time;

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Decoupling

. These include limit theorems, moment and exponential inequalities for martingales and more general dependence structures, biostatistical;

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An Introduction to Stochastic Integration

in probability. Using the modern approach, the stochastic integral is defined for predictable integrands and local martingales; then Itô’s change;

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Random Walk, Brownian Motion, and Martingales

processes, Brownian motion, and martingales. Building from simple examples, the authors focus on developing context and intuition before formalizing;

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Spatially Independent Martingales, Intersections, and Applications

The authors define a class of random measures, spatially independent martingales, which we view as a natural generalization of the;

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Essentials of Stochastic Processes

in probability theory. It covers Markov chains in discrete and continuous time, Poisson processes, renewal processes, martingales, and option pricing;

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