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Communications on Stochastic Analysis
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Home > Journals > COSA > Vol. 5 (2011) > No. 4

 

Volume 5, Number 4 (2011)

Article

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Density dependent utilities with transaction costs
Eriyoti Chikodza and Julius N Esunge

PDF

Consistent price systems for bounded processes
Florian Maris, Eric Mbakop, and Hasanjan Sayit

PDF

MRM-applicable measures for the power function of the second order
Izumi Kubo, Hui-Hsiung Kuo, and Suat Namli

PDF

The minimal martingale measure for the price process with Poisson shot noise jumps
Jun Yan

PDF

A martingale representation for the maximum of a Lévy process
Bruno Rémillard and Jean-François Renaud

PDF

A connection between the Poissonian Wick product and the discrete convolution
Alberto Lanconelli and Luigi Sportelli

PDF

Changes of measure and representations of the first hitting time of a Bessel process
Gerardo Hernandez-del-Valle

PDF

Intraday empirical analysis of electricity price behaviour
Eckhard Platen and Jason West

PDF

Stochastic analysis of backward tidal dynamics equation
Hong Yin

 
 
 
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ISSN: 2688-6669

 
 
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