LOCAL UTILITY AND MULTIVARIATE RISK AVERSION ARTHUR CHARPENTIER, ALFRED GALICHON, AND MARC HENRY Abstract. We revisit Machina’s local utility as a tool to analyze attitudes to multivariate risks. Using martingale embed

Source URL: www.istfin.eco.usi.ch

• Smooth functions
• Generalized functions
• Distribution
• Functional analysis
• Stochastic dominance
• Expected value
• Differential geometry
• Pullback
• Pushforward

Microsoft Word - orbs7270.doc

Source URL: www.math.hkbu.edu.hk

• Stochastic processes
• Mathematical finance
• Martingale
• Brownian motion
• Markov chain
• Markov process
• Wiener process
• Stochastic
• Probability
• Stopping time
• Financial modeling
• Markov property

History Dependent Stochastic Processes and Applications to Finance by NEEKO GARDNER Mihai Stoiciu, Advisor

Source URL: sites.williams.edu

• Stochastic processes
• BlackScholes model
• Random walk
• Brownian motion
• BlackScholes equation
• Stochastic
• Normal distribution
• Martingale
• Geometric Brownian motion
• Stochastic differential equation

Distributionally robust inventory control when demand is a martingale Linwei Xin University of Illinois at Urbana-Champaign, , https://sites.google.com/site/linweilawrencexinshomepage2/ David A. Goldber

Source URL: www2.isye.gatech.edu

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

Source URL: www.7ecm.de

• Mathematical analysis
• Analysis
• Stochastic processes
• Measure theory
• Martingale theory
• Transportation theory
• Martingale

Noname manuscript No. (will be inserted by the editor) Sequential Complexities and Uniform Martingale Laws of Large Numbers Alexander Rakhlin ⋅ Karthik Sridharan ⋅

Source URL: dept.stat.lsa.umich.edu

Robust pricing and hedging under trading restrictions and the emergence of local martingale models∗ Alexander M. G. Cox† Zhaoxu Hou‡

Source URL: www.maths.bath.ac.uk

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

Source URL: www.dcs.warwick.ac.uk

79 29,79 Téma měsíce: K2 MARTINGALE postavený na hlavu II. část Pokračování "kočkopsa" je tady. Z úvodní části máme

Source URL: www.betting-shop.eu

Stochastic Differential Equations Lecture notes for courses given at Humboldt University Berlin and University of Heidelberg Markus Reiß

Source URL: math.uni-heidelberg.de

• Statistical randomness
• Stochastic processes
• Stochastic calculus
• Martingale theory
• Stochastic differential equations
• Lvy processes
• Wiener process
• FeynmanKac formula
• Infinitesimal generator
• Semimartingale
• Brownian motion
• Stratonovich integral