170 citations
Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.
- Technische Universität BerlinDE2 papers
- Aix-Marseille UniversitéFR1 paper
- Atlantic CouncilUS1 paper
- Autonomous University of San Luis PotosíMX1 paper
- Ball State UniversityUS1 paper
- Boğaziçi UniversityTR1 paper
- Boston Consulting Group (United States)1 paper
- Carnegie Mellon UniversityUS1 paper
- Centro Brasileiro de Pesquisas FísicasBR1 paper
- Deutsche Bank (United Kingdom)GB1 paper
- Fermi National Accelerator LaboratoryUS1 paper
- Gran Sasso Science InstituteIT1 paper
Showing 2009 · math.PRShow all
2 papers · 2 filters
math.PR2009★ 4 cited
Strong Taylor approximation of stochastic differential equations and application to the Lévy LIBOR model
Antonis Papapantoleon, Maria Siopacha
In this article we develop a method for the strong approximation of stochastic differential equations (SDEs) driven by Lévy processes or general semimartingales. The main ingredien…
math.PR2009★ 1 cited
On the Martingale Property of Certain Local Martingales
Aleksandar Mijatovic, Mikhail Urusov
The stochastic exponential of a continuous local martingale is itself a continuous local martingale. We give a necessary and sufficient cond…