内容

目次

On Numerical Approximation of Stochastic Burgers' Equation.- Optimal Time to Invest under Tax Exemptions.- A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales.- Interplay between Distributional and Temporal Dependence. An Empirical Study with High-frequency Asset Returns.- Asymptotic Methods for Stability Analysis of Markov Dynamical Systems with Fast Variables.- Some Particular Problems of Martingale Theory.- On the Absolute Continuity and Singularity of Measures on Filtered Spaces: Separating Times.- Optimal Hedging with Basis Risk.- Moderate Deviation Principle for Ergodic Markov Chain. Lipschitz Summands.- Remarks on Risk Neutral and Risk Sensitive Portfolio Optimization.- On Existence and Uniqueness of Reflected Solutions of Stochastic Equations Driven by Symmetric Stable Processes.- A Note on Pricing, Duality and Symmetry for Two-Dimensional Lévy Markets.- Enlargement of Filtration and Additional Information in Pricing Models: Bayesian Approach.- A Minimax Result for f-Divergences.- Impulse and Absolutely Continuous Ergodic Control of One-Dimensional Itô Diffusions.- A Consumption–Investment Problem with Production Possibilities.- Multiparameter Generalizations of the Dalang–Morton– Willinger Theorem.- A Didactic Note on Affine Stochastic Volatility Models.- Uniform Optimal Transmission of Gaussian Messages.- A Note on the Brownian Motion.- Continuous Time Volatility Modelling: COGARCH versus Ornstein–Uhlenbeck Models.- Tail Distributions of Supremum and Quadratic Variation of Local Martingales.- Stochastic Differential Equations: A Wiener Chaos Approach.- A Martingale Equation of Exponential Type.- On Local Martingale and its Supremum: Harmonic Functions and beyond.- On the Fundamental Solution of the Kolmogorov–Shiryaev Equation.- Explicit Solution to an Irreversible Investment Model with a Stochastic Production Capacity.- Gittins Type Index Theorem for Randomly Evolving Graphs.- On the Existence of Optimal Portfolios for the Utility Maximization Problem in Discrete Time Financial Market Models.- The Optimal Stopping of a Markov Chain and Recursive Solution of Poisson and Bellman Equations.- On Lower Bounds for Mixing Coefficients of Markov Diffusions.