Geodesic

Stochastic calculus, martingales, and their applications

Sommaire

Congratulatory address from the Steklov Institute to Albert Nikolaevich Shiryaev on the occasion of his 80th birthday
p. 7-8
On some functional inequalities for skew Brownian motion
p. 9-20
The stochastic field of aggregate utilities and its saddle conjugate
p. 21-60
New approach to the segmentation problem for time series of arbitrary nature
p. 61-74
Utility maximisation and utility indifference price for exponential semi-martingale models and HARA utilities
p. 75-102
Convergence of probability measures and Markov decision models with incomplete information
p. 103-124
On pathwise counterparts of Doob's maximal inequalities
p. 125-128
On the submartingale/supermartingale property of diffusions in natural scale
p. 129-139
Approximation of the solution of the backward stochastic differential equation. Small noise, large sample and high frequency cases
p. 140-161
Sharp maximal inequalities for stochastic processes
p. 162-181
Multidimensional and abstract probability
p. 182-210
Two-sided disorder problem for a~Brownian motion in a~Bayesian setting
p. 211-233
Lower and upper bounds for prices of Asian-type options
p. 234-241
Critical dimension in the semiparametric Bernstein--von~Mises theorem
p. 242-266
Characterization of density processes of deformed stochastic bases of the first kind
p. 267-278
Nearly optimal sequential tests of composite hypotheses revisited
p. 279-299
On the law of large numbers for martingales
p. 300-309
On the existence of solutions of unbounded optimal stopping problems
p. 310-319