Controlling the Occupation Time of an Exponential Martingale-Reference-Cited by-同舟云学术

Controlling the Occupation Time of an Exponential Martingale

Published:2016-04-30 Issue:2 Volume:76 Page:415-428
ISSN:0095-4616
Container-title:Applied Mathematics & Optimization
language:en
Short-container-title:Appl Math Optim

Author:

Ankirchner Stefan,Blanchet-Scalliet Christophette,Jeanblanc Monique

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,Control and Optimization

Link

http://link.springer.com/article/10.1007/s00245-016-9356-2/fulltext.html

Reference11 articles.

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2. Demengel, G.: Transformations de Laplace: théorie et illustrations par les exemples. Ellipses Éd. Marketing, Paris Cedex (2002)

3. Folland, G.B.: Fourier Analysis and Its Applications. The Wadsworth & Brooks/Cole Mathematics Series. Wadsworth & Brooks/Cole Advanced Books & Software, Pacific Grove (1992)

4. Jeanblanc, M., Yor, M., Chesney, M.: Mathematical Methods for Financial Markets. Springer Finance. Springer-Verlag, London Ltd, London (2009)

5. Karatzas, I., Shreve, S.E.: Brownian Motion and Stochastic Calculus. Volume 113 of Graduate Texts in Mathematics, 2nd edn. Springer, New York (1991)

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