A note on chaotic and predictable representations for Itô–Markov additive processes-Reference-Cited by-同舟云学术

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A note on chaotic and predictable representations for Itô–Markov additive processes

Published:2018-02-16 Issue:4 Volume:36 Page:622-638
ISSN:0736-2994
Container-title:Stochastic Analysis and Applications
language:en
Short-container-title:Stochastic Analysis and Applications

Author:

Palmowski Zbigniew¹,Stettner Łukasz²³,Sulima Anna⁴

Affiliation:

1. Faculty of Pure and Applied Mathematics, Wrocław University of Science and Technology, Wyb. Wyspiańskiego Wrocław, Poland

2. Institute of Mathematics Polish Acad. Sci., Sniadeckich Warsaw, Poland

3. Vistula University, Warszawa, Poland

4. Institute of Applied Mathematics, Wrocław University of Economics, Poland

Funder

Narodowe Centrum Nauki

Publisher

Informa UK Limited

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/07362994.2018.1434417

Reference36 articles.

1. Stochastic Finance

2. Backward Stochastic Differential Equations in Finance

3. Malliavin Calculus for Lévy Processes with Applications to Finance

4. On Square Integrable Martingales

5. Lévy Processes and Stochastic Calculus

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. On moments of integrals with respect to Markov additive processes and of Markov modulated generalized Ornstein–Uhlenbeck processes;Stochastic Processes and their Applications;2024-08

2. Optimal Portfolio Selection in an Itô–Markov Additive Market;Risks;2019-03-25

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