Stochastics, Volume 85, Issue 5 (2013)

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Stochastics, Volume 85, Issue 5 (2013)

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Original Articles

Article
On the exponential process associated with a CARMA-type process
Muneya Matsui & Narn-Rueih Shieh
Pages: 743-762
Published online: 09 Mar 2012
AbstractforOn the exponential process associated with a CARMA-type process | Full Text | References | PDF (170 KB)
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Article
A Dynkin game with asymmetric information
Jukka Lempa & Pekka Matomäki
Pages: 763-788
Published online: 15 Mar 2012
AbstractforA Dynkin game with asymmetric information | Full Text | References | PDF (368.3 KB)
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Article
Convex comparison inequalities for non-Markovian stochastic integrals
Jean-Christophe Breton, Benjamin Laquerrière & Nicolas Privault
Pages: 789-806
Published online: 15 Mar 2012
AbstractforConvex comparison inequalities for non-Markovian stochastic integrals | Full Text | References | PDF (165.9 KB)
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Article
Three dimensional distribution of Brownian motion extrema
Marcos Escobar, Sebastian Ferrando & Xianzhang Wen
Pages: 807-832
Published online: 20 Mar 2012
AbstractforThree dimensional distribution of Brownian motion extrema | Full Text | References | PDF (316.7 KB)
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Article
Stability of Merton's portfolio optimization problem for Lévy models
Fred Espen Benth & Maren Diane Schmeck
Pages: 833-858
Published online: 25 Apr 2012
AbstractforStability of Merton's portfolio optimization problem for Lévy models | Full Text | References | PDF (202.8 KB)
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Article
Multiple integrals and expansion of solutions of differential equations driven by rough paths and by fractional Brownian motions
Yaozhong Hu
Pages: 859-916
Published online: 10 Apr 2012
AbstractforMultiple integrals and expansion of solutions of differential equations driven by rough paths and by fractional Brownian motions | Full Text | References | PDF (421.5 KB)
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Article
On dependence of volatility on return for stochastic volatility models
Mikhail Martynov & Olga Rozanova
Pages: 917-927
Published online: 30 May 2012
AbstractforOn dependence of volatility on return for stochastic volatility models | Full Text | References | PDF (141.1 KB)
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