The Shiryaev Festschrift: "From Stochastic Calculus to Mathematical Finance": Contents
Contents
Albert SHIRYAEV XV
Publications of A.N.Shiryaev XXI
On Numerical Approximation of Stochastic Burgers’ Equation
Aureli ALABERT, István GYÖNGY 1
Optimal Time to Invest under Tax Exemptions
Vadim I. ARKIN, Alexander D. SLASTNIKOV 17
A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales
Ole E. BARNDORFF–NIELSEN, Svend Erik GRAVERSEN, Jean JACOD, Mark PODOLSKIJ, Neil SHEPHARD 33
Interplay between Distributional and Temporal Dependence. An Empirical Study with High-frequency Asset Returns
Nick H. BINGHAM, Rafael SCHMIDT 69
Asymptotic Methods for Stability Analysis of Markov Dynamical Systems with Fast Variables
Jevgenijs CARKOVS, Jordan STOYANOV 91
Some Particular Problems of Martingale Theory
Alexander CHERNY 109
On the Absolute Continuity and Singularity of Measures on Filtered Spaces: Separating Times
Alexander CHERNY, Mikhail URUSOV 125
Optimal Hedging with Basis Risk
Mark H.A. DAVIS 169
Moderate Deviation Principle for Ergodic Markov Chain. Lipschitz Summands
Bernard DELYON, Anatoly JUDITSKY, Robert LIPTSER 189
Remarks on Risk Neutral and Risk Sensitive Portfolio Optimization
Giovanni B. DI MASI, Łukasz STETTNER 211
On Existence and Uniqueness of Reflected Solutions of Stochastic Equations Driven by Symmetric Stable Processes
Hans-Jürgen ENGELBERT, Vladimir P. KURENOK, Adrian ZALINESCU 227
A Note on Pricing, Duality and Symmetry for Two-Dimensional Lґevy Markets
José FAJARDO, Ernesto MORDECKI 249
Enlargement of Filtration and Additional Information in Pricing Models: Bayesian Approach
Dario GASBARRA, Esko VALKEILA, Lioudmila VOSTRIKOVA 257
A Minimax Result for f-Divergences
Alexander A. GUSHCHIN, Denis A. ZHDANOV 287
Impulse and Absolutely Continuous Ergodic Control of One-Dimensional Itô Diffusions
Andrew JACK, Mihail ZERVOS 295
A Consumption–Investment Problem with Production Possibilities
Yuri KABANOV, Masaaki KIJIMA 315
Multiparameter Generalizations of the Dalang–Morton–Willinger Theorem
Yuri KABANOV, Yuliya MISHURA, Ludmila SAKHNO 333
A Didactic Note on Affine Stochastic Volatility Models
Jan KALLSEN 343
Uniform Optimal Transmission of Gaussian Messages
Pavel K. KATYSHEV 369
A Note on the Brownian Motion
Kiyoshi KAWAZU 385
Continuous Time Volatility Modelling: COGARCH versus Ornstein–Uhlenbeck Models
Claudia KLÜPPELBERG, Alexander LINDNER, Ross MALLER 393
Tail Distributions of Supremum and Quadratic Variation of Local Martingales
Robert LIPTSER, Alexander NOVIKOV 421
Stochastic Differential Equations: A Wiener Chaos Approach
Sergey LOTOTSKY and Boris ROZOVSKII 433
A Martingale Equation of Exponential Type
Michael MANIA, Revaz TEVZADZE 507
On Local Martingale and its Supremum: Harmonic Functions and beyond
Jan OBŁÓJ, Marc YOR 517
On the Fundamental Solution of the Kolmogorov–Shiryaev Equation
Goran PESKIR 535
Explicit Solution to an Irreversible Investment Model with a Stochastic Production Capacity
Huyên PHAM 547
Gittins Type Index Theorem for Randomly Evolving Graphs
Ernst PRESMAN, Isaac SONIN 567
On the Existence of Optimal Portfolios for the Utility Maximization Problem in Discrete Time Financial Market Models
Miklós RÁSONYI, Łukasz STETTNER 589
The Optimal Stopping of a Markov Chain and Recursive Solution of Poisson and Bellman Equations
Isaac M. SONIN 609
On Lower Bounds for Mixing Coefficients of Markov Diffusions
A.Yu. VERETENNIKOV 623
