Titlebook: Séminaire de Probabilités XXXVII; Jacques Azéma,Michel Émery,Marc Yor Book 2003 Springer-Verlag Berlin Heidelberg 2003 Black-Scholes.Brown

Latency

https://doi.org/10.1007/b94376Black-Scholes; Brownian motion; Gaussian measure; Martingale; diffusion process; local martingale; local t

精致

LASH

temperate

single

责怪

A remark on the superhedging theorem under transaction costs,The hedging theorem of [3] describes the initial endowments necessary for the super-replication of a given contingent claim in a model with transaction costs, assuming the continuity of the price process. We demonstrate that this theorem may fail if the price process is discontinuous.

brassy

Conquest

Pudendal-Nerve

,Deux notions équivalentes d’unicité en loi pour les équations différentielles stochastiques,r all solutions the law of is the same), and a stronger one (all solutions have the same law). These two definitions are shown to be equivalent; more precisely, when the law of is extremal in the set of all laws of solutions, the law of is determined by that of.

Infraction

A Remark on Hypercontractivity and Tail Inequalities for the Largest Eigenvalues of Random Matricestrices at the rate given by the Tracy–Widom distribution. The result is illustrated on the known examples of the Gaussian and Laguerre unitary ensembles. The argument may be applied to describe the generic tail behavior of eigenfunction measures of hypercontractive operators.