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Martingale theory
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11	Portfolio Optimization under Nonlinear Utility Gregor Heyne1,1 , Michael Kuppera,2 , Ludovic Tangpia,3,∗ March 28, 2016 A BSTRACT This paper studies the utility maximization problem of an agent with non-trivial endowme Add to Reading List Source URL: www.mat.univie.ac.at Language: English - Date: 2016-04-06 09:09:10 Local martingale Martingale theory Connection Differential geometry Symbol Affine connection
12	Universit¨at Wien SS 2016 Fakult¨at f¨ ur Mathematik Christa Cuchiero Ludovic Tangpi Add to Reading List Source URL: www.mat.univie.ac.at Language: English - Date: 2016-05-09 02:56:08 Stochastic processes Martingale theory Martingale Local martingale Brownian motion It diffusion It calculus
13	arXiv:0711.4225v1 [q-fin.GN] 27 NovConsumption processes and positively homogeneous projection properties Tom Fischer∗ Heriot-Watt University, Edinburgh Add to Reading List Source URL: arxiv.org Language: English - Date: 2013-12-22 22:47:46 Martingale theory Stochastic processes Game theory Martingale Paul Lvy
14	Martingale Optimal Transport H. Mete Soner (ETH Zurich) In the classical optimal transport problem, one is given twoprobability measures µ, ν on Rd and a function c on Ω := Rd × Rd and looksfor an extremal map that Add to Reading List Source URL: www.7ecm.de Language: English - Date: 2016-06-10 05:01:16 Mathematical analysis Analysis Stochastic processes Measure theory Martingale theory Transportation theory Martingale
15	Service-Martingales: Theory and Applications to the Delay Analysis of Random Access Protocols Felix Poloczek University of Warwick / TU Berlin Abstract—This paper proposes a martingale extension of Add to Reading List Source URL: www.dcs.warwick.ac.uk Language: English - Date: 2015-06-25 10:19:18
16	Stochastic Differential Equations Lecture notes for courses given at Humboldt University Berlin and University of Heidelberg Markus Reiß Add to Reading List Source URL: math.uni-heidelberg.de Language: English - Date: 2007-02-12 06:05:10 Statistical randomness Stochastic processes Stochastic calculus Martingale theory Stochastic differential equations Lvy processes Wiener process FeynmanKac formula Infinitesimal generator Semimartingale Brownian motion Stratonovich integral
17	Robust Estimation and Control under Commitment Lars Peter Hansen∗ Thomas J. Sargent‡† May 4, 2010 When Shannon had invented his quantity and consulted von Neumann on what Add to Reading List Source URL: www.tomsargent.com Language: English - Date: 2015-04-08 13:03:56 Information theory Stochastic processes Martingale theory Game theory Martingale Entropy Kullback–Leibler divergence Independence Normal distribution Statistics Probability and statistics Statistical theory
18	Feasible analysis, randomness, and base invariance Santiago Figueira Andr´e Nies March 26, 2014 Add to Reading List Source URL: www.glyc.dc.uba.ar Language: English - Date: 2014-03-26 16:19:21 Computability theory Theory of computation Game theory Martingale Martingale theory Normal distribution Symbol Normal number Computable function Mathematics Statistics Theoretical computer science
19	Managing expectations and fiscal policy Anastasios G. Karantounias with Lars Peter Hansen and Thomas J. Sargent∗ October 6, 2009 Add to Reading List Source URL: www.tomsargent.com Language: English - Date: 2015-04-08 13:03:49 Stochastic processes Multiplier Economic model Martingale Autoregressive conditional heteroskedasticity General equilibrium theory Statistics Game theory Macroeconomics
20	A Likelihood Ratio Test for Stationarity of Rating Transitions Rafael Weißbach∗ & Ronja Walter Institut f¨ ur Wirtschafts- und Sozialstatistik Add to Reading List Source URL: www.statistik.tu-dortmund.de Language: English - Date: 2009-01-12 11:08:18 Statistical tests Statistical theory Markov models Likelihood-ratio test Score test Martingale Markov chain Stationary process Maximum likelihood Statistics Stochastic processes Estimation theory