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Martingale theory
Results: 145

#	Item
31	Optimal Stopping under Adverse Nonlinear Expectation and Related Games Marcel Nutz∗ Jianfeng Zhang† Add to Reading List Source URL: www.math.columbia.edu Language: English - Date: 2014-07-21 14:06:45 Martingale theory Hitting time Conditional expectation Ordinal number Martingale Probability space Sobolev space Statistics Stochastic processes Probability theory
32	Stochastic Target Games with Controlled Loss Add to Reading List Source URL: www.math.columbia.edu Language: English - Date: 2013-05-14 17:33:50 Probability theory Game theory Martingale Doob–Meyer decomposition theorem Random variable Dynamic programming Statistics Martingale theory Probability and statistics
33	Nonlinear Lévy Processes and their Characteristics Ariel Neufeld∗ Marcel Nutz† January 11, 2015 Add to Reading List Source URL: www.math.columbia.edu Language: English - Date: 2015-01-11 14:10:20 Semimartingale Connection Adapted process Martingale Local martingale Symbol Hitting time Statistics Stochastic processes Martingale theory
34	Superreplication under Volatility Uncertainty for Measurable Claims ∗ Ariel Neufeld Add to Reading List Source URL: www.math.columbia.edu Language: English - Date: 2013-04-14 17:16:01 Probability theory Martingale theory Stochastic processes Forcing Conditional expectation Borel set Ordinal number Complete Boolean algebra Martingale Statistics Mathematical logic Mathematics
35	The Opportunity Process for Optimal Consumption and Investment with Power Utility Marcel Nutz ETH Zurich, Department of Mathematics, 8092 Zurich, Switzerland First Version: November 24, 2009. Thi Add to Reading List Source URL: www.math.columbia.edu Language: English - Date: 2011-07-12 11:25:17 Equations Consumer theory Mathematical optimization Martingale Semimartingale Dynamic programming Bellman equation No free lunch with vanishing risk Utility Statistics Martingale theory Stochastic processes
36	Arbitrage and Duality in Nondominated Discrete-Time Models Add to Reading List Source URL: www.math.columbia.edu Language: English - Date: 2014-02-09 14:45:40 Probability and statistics Mathematics Stochastic processes Martingale theory Randomness Risk-neutral measure Martingale Superhedging price Borel set Probability theory Statistics Mathematical finance
37	Power Utility Maximization in Constrained Exponential Lévy Models Marcel Nutz ETH Zurich, Department of Mathematics, 8092 Zurich, Switzerland This Version: September 1, 2010. Add to Reading List Source URL: www.math.columbia.edu Language: English - Date: 2011-07-12 11:25:13 Mathematical optimization Martingale theory Game theory Martingale Lévy process Semimartingale Bellman equation Expected utility hypothesis Preference Statistics Utility Stochastic processes
38	Martingale Inequalities and Deterministic Counterparts Mathias Beiglböck∗ Marcel Nutz† Add to Reading List Source URL: www.math.columbia.edu Language: English - Date: 2014-10-18 10:56:01 Stochastic processes Game theory Martingale Convex function Operator theory Hardy space Mathematical analysis Statistics Martingale theory
39	Superhedging and Dynamic Risk Measures under Volatility Uncertainty Marcel Nutz ∗ Add to Reading List Source URL: www.math.columbia.edu Language: English - Date: 2012-06-19 13:31:57 Mathematical finance Financial risk Martingale Local martingale Itō calculus Wiener process Random variable Superhedging price Stopping time Statistics Stochastic processes Martingale theory
40	A Quasi-Sure Approach to the Control of Non-Markovian Stochastic Dierential Equations Marcel Nutz ∗ Add to Reading List Source URL: www.math.columbia.edu Language: English - Date: 2012-06-19 13:30:57 Probability and statistics Probability theory Martingale theory Lipschitz maps Fourier analysis Probability space Ordinal number Conditional expectation Random variable Statistics Stochastic processes Mathematical analysis