相关论文: Martingale Property in Terms of Semimartingale Pro…
In this paper we give necessary and sufficient conditions for a cylindrical continuous local martingale to be the stochastic integral with respect to a cylindrical Brownian motion. In particular we consider the class of cylindrical…
We study functional stochastic differential equations with a locally unbounded, functional drift focusing on well-posedness, stability and the strong Feller property. Following the non-functional case, we only consider integrability…
We establish a monotonicity property in the space variable for the solutions of an initial boundary value problem concerned with the parabolic partial differential equation connected with super-Brownian motion.
A financial market model where agents trade using realistic combinations of buy-and-hold strategies is considered. Minimal assumptions are made on the discounted asset-price process - in particular, the semimartingale property is not…
Termination is one of the basic liveness properties, and we study the termination problem for probabilistic programs with real-valued variables. Previous works focused on the qualitative problem that asks whether an input program terminates…
We consider the problem of tracking a target whose dynamics is modeled by a continuous It\=o semi-martingale. The aim is to minimize both deviation from the target and tracking efforts. We establish the existence of asymptotic lower bounds…
In this paper, we study the ruin problem with investment in a general framework where the business part X is a L{\'e}vy process and the return on investment R is a semimartingale. We obtain upper bounds on the finite and infinite time ruin…
We prove that, for locally bounded processes, absence of arbitrage opportunities of the first kind is equivalent to the existence of a dominating local martingale measure. This is related to and motivated by results from the theory of…
For local martingales with nonnegative jumps, we prove a sufficient criterion for the corresponding exponential martingale to be a true martingale. The criterion is in terms of exponential moments of a convex combination of the optional and…
A supermartingale deflator (resp., local martingale deflator) multiplicatively transforms nonnegative wealth processes into supermartingales (resp., local martingales). The supermartingale numeraire (resp., local martingale numeraire) is…
In this paper we study a family of nonlinear (conditional) expectations that can be understood as a semimartingale with uncertain local characteristics. Here, the differential characteristics are prescribed by a time and path-dependent…
We present several models to describe the stochastic evolution of stocks that show some strong resistance at some level and generalize to this situation the evolution based upon geometric Brownian motion. If volatility and drift are related…
We consider the weighted eigenvalue problem for a general non-local pseudo-differential operator, depending on a bounded weight function. For such problem, we prove that strict (decreasing) monotonicity of the eigenvalues with respect to…
Let $\mathbb{Q}$ and $\mathbb{P}$ be equivalent probability measures and let $\psi$ be a $J$-dimensional vector of random variables such that $\frac{d\mathbb{Q}}{d\mathbb{P}}$ and $\psi$ are defined in terms of a weak solution $X$ to a…
Given a c\`adl\`ag process $X$ on a filtered measurable space, we construct a version of its semimartingale characteristics which is measurable with respect to the underlying probability law. More precisely, let $\mathfrak{P}_{sem}$ be the…
Monroe (1978) demonstrates that any local semimartingale can be represented as a time-changed Brownian Motion (BM). A natural question arises: does this representation theorem hold when the BM and the time-change are independent? We prove…
The paper develops no arbitrage results for trajectory based models by imposing general constraints on the trading portfolios. The main condition imposed, in order to avoid arbitrage opportunities, is a local continuity requirement on the…
We introduce the local martingale problem associated to semilinear stochastic evolution equations driven by a cylindrical Wiener process and establish a one-to-one correspondence between solutions of the martingale problem and…
In this work we extend the characterization of semimartingale functions in Cinlar et al. (1980) to the non-Markovian setting. We prove that if a function of a semimartingale remains a semimartingale, then under certain conditions the…
For any discrete-time $P$--local martingale $S$ there exists a probability measure $Q \sim P$ such that $S$ is a $Q$--martingale. A new proof for this result is provided. The core idea relies on an appropriate modification of an argument by…