Related papers: On the semimartingale property via bounded logarit…
In this paper we introduce a new type of norms for semimartingales, under both linear and nonlinear expectations. Our norm is defined in the spirit of quasimartingales, and it characterizes square integrable semimartingales. This work is…
In this paper, we extend the results of Elliott and Yang \cite{elliott3} and discuss the control of a stochastic process for which the driving noise is provided by a martingale associated with a semi-Markov Chain. An existence and a…
This paper considers the problem of estimating a periodic function in a continuous time regression model with a general square integrable semimartingale noise. A model selection adaptive procedure is proposed. Sharp non-asymptotic oracle…
We introduce and study the properties of a new family of fractional differential and integral operators which are based directly on an iteration process and therefore satisfy a semigroup property. We also solve some ODEs in this new model…
In frictionless markets, utility maximization problems are typically solved either by stochastic control or by martingale methods. Beginning with the seminal paper of Davis and Norman [Math. Oper. Res. 15 (1990) 676--713], stochastic…
We construct a class of nonnegative martingale processes that oscillate indefinitely with high probability. For these processes, we state a uniform rate of the number of oscillations and show that this rate is asymptotically close to the…
We study the dynamics of the exponential utility indifference value process C(B;\alpha) for a contingent claim B in a semimartingale model with a general continuous filtration. We prove that C(B;\alpha) is (the first component of) the…
In the paper we continue the research of Bors\'{i}k and Dobo\v{s} on functions which allow us to introduce a metric to the product of metric spaces. In this paper we extend their scope on broader class of spaces which usually fail to…
This paper contributes to the study of class $(\Sigma^{r})$ as well as the c\`adl\`ag semi-martingales of class $(\Sigma)$, whose finite variational part is c\`adl\`ag instead of continuous. The two above-mentioned classes of stochastic…
Let $X^1,\ldots, X^d$ be sigma-martingales on $(\Omega,{\cal F}, P)$. We show that every bounded martingale (with respect to the underlying filtration) admits an integral representation w.r.t. $X^1,\ldots, X^d$ if and only if there is no…
We define a new congruence relation on the set of integers, leading to a group similar to the multiplicative group of integers modulo $n$. It makes use of a symmetry almost omnipresent in modular multiplications and halves the number of…
It has been understood that the "local" existence of the Markowitz' optimal portfolio or the solution to the local-risk minimization problem is guaranteed by some specific mathematical structures on the underlying assets price processes…
We develop a non-anticipating calculus of variations for functionals on a space of laws of continuous semi-martingales, which extends the classical one. We extend Hamilton's least action principle and Noether's theorem to this generalized…
This paper establishes necessary and sufficient conditions for a bi-amalgamation to inherit the arithmetical property, with applications on the weak global dimension and transfer of the semihereditary property. The new results compare to…
Under proportional transaction costs, a price process is said to have a consistent price system, if there is a semimartingale with an equivalent martingale measure that evolves within the bid-ask spread. We show that a continuous,…
When the target variable exhibits a semicontinuous behaviour (i.e. a point mass in a single value and a continuous distribution elsewhere) parametric `two-part regression models' have been extensively used and investigated. In this paper, a…
We introduce a new basic model for independent and identical distributed sequence on the canonical space $(\mathbb{R}^\mathbb{N},\mathcal{B}(\mathbb{R}^\mathbb{N}))$ via probability kernels with model uncertainty. Thanks to the well-defined…
Cover's celebrated theorem states that the long run yield of a properly chosen "universal" portfolio is as good as the long run yield of the best retrospectively chosen constant rebalanced portfolio. The "universality" pertains to the fact…
The superiority of stochastic symplectic methods over non-symplectic counterparts has been verified by plenty of numerical experiments, especially in capturing the asymptotic behaviour of the underlying solution process. How can one…
The paper studies problem of continuous time optimal portfolio selection for a incom- plete market diffusion model. It is shown that, under some mild conditions, near optimal strategies for investors with different performance criteria can…