Faking Brownian motion with continuous Markov martingales
Year of publication: |
2024
|
---|---|
Authors: | Beiglböck, Mathias ; Lowther, George ; Pammer, Gudmund ; Schachermayer, Walter |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 1432-1122, ZDB-ID 1467022-7. - Vol. 28.2024, 1, p. 259-284
|
Subject: | Fake Brownian motion | Markov property | Mimicking processes | Wahrscheinlichkeitsrechnung | Probability theory | Theorie | Theory | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain |
-
Optimization of cash management fluctuation through stochastic processes
Dib, Youssef M, (2018)
-
Optimization of cash management fluctuation through stochastic processes
Dib, Youssef M., (2018)
-
Diffusions, Markov processes, and martingales
Rogers, Leonard C. G., (1979)
- More ...
-
From Bachelier to Dupire via optimal transport
Beiglböck, Mathias, (2022)
-
Weak transport for non‐convex costs and model‐independence in a fixed‐income market
Acciaio, Beatrice, (2021)
-
A short proof of the Doob–Meyer theorem
Beiglböck, Mathias, (2012)
- More ...