摘要:

This paper deals with predictable representation in continuous trading. First of all we give a positive answer to a conjecture of Harrison and Pliska [2]. Then we prove the completeness of a model of mixed type (see[2]). A slight modificationof this example shows that the continuous and purely discontinuous parts of a local martingale depend on the filtration.

ISSN:0090-9491    

DOI:10.1080/17442508408833322

出版商:Gordon and Breach Science Publishers Inc    

年代:1984

数据来源: Taylor

摘要:

For a sequence of stochastic differential equations of the the type: a stabilty theorem is presented under appropritate convergence mode of [d] and m application to stochastic control problems is also briefly discussed.

ISSN:0090-9491    

DOI:10.1080/17442508408833323

出版商:Gordon and Breach Science Publishers Inc    

年代:1984

数据来源: Taylor

摘要:

Let be a real separable, measurable Gaussian process with mean 0 and with . Define. If is continuously differentiable and

ISSN:0090-9491    

DOI:10.1080/17442508408833324

出版商:Gordon and Breach Science Publishers Inc    

年代:1984

数据来源: Taylor

摘要:

A process associated with the empirical distribution of a family of positive i.i.d. random variables is shown to converge to a rate changed Poisson process when the distribution function is differentiable at zero. Furthermore, when the distribution function is differentiable in a neighbourhood of zero an estimate for the rate of convergence is obtained.

ISSN:0090-9491    

DOI:10.1080/17442508408833325

出版商:Gordon and Breach Science Publishers Inc    

年代:1984

数据来源: Taylor

摘要:

We give sufficient conditions for tightness of sequences of measures corresponding to Markov processes with paths in D. The conditions are given in terms of the transition functions of the processes.For diffusion processes sufficient conditions are given in terms of the drift and diffusion coefficients of the processes

ISSN:0090-9491    

DOI:10.1080/17442508408833326

出版商:Gordon and Breach Science Publishers Inc    

年代:1984

数据来源: Taylor

ISSN:0090-9491    

DOI:10.1080/1744258408833321

出版商:Gordon and Breach Science Publishers S. A.    

年代:1984

数据来源: Taylor