Search results for "semimartingale"

Hits ?▲	Authors	Title	Venue	Year	Link	Author keywords
105	Gordan Zitkovic	Financial equilibria in the semimartingale setting: Complete markets and markets with withdrawal constraints.	Finance Stochastics	2006	DBLP DOI BibTeX RDF	financial equilibrium, complete markets, semimartingales, semimartingale functions, withdrawal constraints
82	Ruth J. Williams	An invariance principle for semimartingale reflecting Brownian motions in an orthant.	Queueing Syst. Theory Appl.	1998	DBLP DOI BibTeX RDF	semimartingale reflecting Brownian motion, invariance principle, Skorokhod problem, oscillation inequality, open multiclass queueing networks, diffusions
51	Hong Chen, Xinyang Shen	Computing the Stationary Distribution of an SRBM in an Orthant with Applications to Queueing Networks.	Queueing Syst. Theory Appl.	2003	DBLP DOI BibTeX RDF	Brownian approximation, semimartingale reflecting Brownian motion, infinite buffer, BNAfm, BNAsm, basic adjoint relationship, performance analysis, finite element method, queueing networks, numerical algorithm, heavy traffic, stationary distribution, finite buffer
51	Ruth J. Williams	Diffusion approximations for open multiclass queueing networks: sufficient conditions involving state space collapse.	Queueing Syst. Theory Appl.	1998	DBLP DOI BibTeX RDF	FIFO Kelly type, head-of-the-line-proportional processor sharing, semimartingale reflecting Brownian motions, completely-S, diffusions, heavy traffic, multiclass queueing networks
31	Jixia Wang, Xiaofang Xiao, Chao Li	Least squares estimations for approximate fractional Vasicek model driven by a semimartingale.	Math. Comput. Simul.	2023	DBLP DOI BibTeX RDF
31	Lijun Bo, Agostino Capponi, Chao Zhou 0010	Power Forward Performance in Semimartingale Markets with Stochastic Integrated Factors.	Math. Oper. Res.	2023	DBLP DOI BibTeX RDF
31	Mohamed N. Abdelghani, Alexander Melnikov	On macrohedging problem in semimartingale markets.	Frontiers Appl. Math. Stat.	2015	DBLP DOI BibTeX RDF
31	Roman V. Ivanov	On predicting the maximum of a semimartingale and the optimal moment to sell a stock.	Autom. Remote. Control.	2015	DBLP DOI BibTeX RDF
31	Amel Bentata, Rama Cont	Forward equations for option prices in semimartingale models.	Finance Stochastics	2015	DBLP DOI BibTeX RDF
31	Marina Santacroce, Barbara Trivellato	Forward Backward Semimartingale Systems for Utility Maximization.	SIAM J. Control. Optim.	2014	DBLP DOI BibTeX RDF
31	Vladimir Cherny, Jan Oblój	Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model.	Finance Stochastics	2013	DBLP DOI BibTeX RDF
31	Nguyen Tien Dung	Semimartingale approximation of fractional Brownian motion and its applications.	Comput. Math. Appl.	2011	DBLP DOI BibTeX RDF
31	Sara Biagini, Ales Cerný	Admissible Strategies in Semimartingale Portfolio Selection.	SIAM J. Control. Optim.	2011	DBLP DOI BibTeX RDF
31	Ernst Eberlein, Antonis Papapantoleon, Albert N. Shiryaev	On the duality principle in option pricing: semimartingale setting.	Finance Stochastics	2008	DBLP DOI BibTeX RDF
31	Ioannis Karatzas, Constantinos Kardaras	The numéraire portfolio in semimartingale financial models.	Finance Stochastics	2007	DBLP DOI BibTeX RDF
31	Jan Bergenthum, Ludger Rüschendorf	Comparison of Option Prices in Semimartingale Models.	Finance Stochastics	2006	DBLP DOI BibTeX RDF	JEL Classification G13
31	Michael Mania, Revaz Tevzadze	A Semimartingale Backward Equation and the Variance-Optimal Martingale Measure under General Information Flow.	SIAM J. Control. Optim.	2003	DBLP DOI BibTeX RDF
31	Michael Mania, Marina Santacroce, Revaz Tevzadze	A semimartingale BSDE related to the minimal entropy martingale measure.	Finance Stochastics	2003	DBLP DOI BibTeX RDF
31	Vo V. Anh, C. N. Nguyen	Semimartingale representation of fractional Riesz-Bessel motion.	Finance Stochastics	2001	DBLP DOI BibTeX RDF
28	Robert Sh. Liptser	Large deviations for a simple closed queueing model.	Queueing Syst. Theory Appl.	1993	DBLP DOI BibTeX RDF	exponential tightness, Fenchel-Legendre transform, semimartingale, large deviations, heavy traffic, service process, Arrival process
23	J. Michael Harrison, John J. Hasenbein	Reflected Brownian motion in the quadrant: tail behavior of the stationary distribution.	Queueing Syst. Theory Appl.	2009	DBLP DOI BibTeX RDF	Mathematics Subject Classification (2000) 60K25, 60J60, 60F10
23	Sumit Bhardwaj, Ruth J. Williams	Diffusion approximation for a heavily loaded multi-user wireless communication system with cooperation.	Queueing Syst. Theory Appl.	2009	DBLP DOI BibTeX RDF	Mathematics Subject Classification (2000) 60J60, 90B22, 60K25, 90B18
23	Birong Zhao, Feiqi Deng	Adaptive Exponential Synchronization of Stochastic Delay Neural Networks with Reaction-Diffusion.	ISNN (1)	2009	DBLP DOI BibTeX RDF	Stochastic neutral networks, Exponential synchronization, Delays
23	Baris Ata, Wuqin Lin	Heavy traffic analysis of maximum pressure policies for stochastic processing networks with multiple bottlenecks.	Queueing Syst. Theory Appl.	2008	DBLP DOI BibTeX RDF	Mathematics Subject Classification (2000) 60G99, 60K25, 90B36
23	Sumit Bhardwaj, Ruth J. Williams, Anthony S. Acampora	On the Performance of a Two-User MIMO Downlink System in Heavy Traffic.	IEEE Trans. Inf. Theory	2007	DBLP DOI BibTeX RDF