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Statistics of Random Processes I: General Theory
Robert Liptser,A. N. Shiryayev +1 more
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The article was published on 1984-02-28 and is currently open access. It has received 816 citations till now. The article focuses on the topics: Random function & Point process.read more
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Stochastic Equations in Infinite Dimensions
Giuseppe Da Prato,Jerzy Zabczyk +1 more
TL;DR: In this paper, the existence and uniqueness of nonlinear equations with additive and multiplicative noise was investigated. But the authors focused on the uniqueness of solutions and not on the properties of solutions.
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Optimal consumption and portfolio policies when asset prices follow a diffusion process
John C. Cox,Chi-fu. Huang +1 more
TL;DR: In this article, a martingale technique is employed to characterize optimal consumption-portfolio policies when there exist nonnegativity constraints on consumption and on final wealth, and a way to compute and verify optimal policies is provided.
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Inference in Hidden Markov Models
TL;DR: This book is a comprehensive treatment of inference for hidden Markov models, including both algorithms and statistical theory, and builds on recent developments to present a self-contained view.
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Quantum Ito's formula and stochastic evolutions
TL;DR: Using only the Boson canonical commutation relations and the Riemann-Lebesgue integral, this article constructed a simple theory of stochastic integrals and differentials with respect to the basic field operator processes.
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Martingale Methods in Financial Modelling
Marek Musiela,Marek Rutkowski +1 more
TL;DR: In this paper, the authors introduce the concept of discrete-time security markets for financial derivatives, and present a model of instantaneous forward rates and alternative market models for cross-currency derivatives.