8 citations · 15 across the 4 of their papers we have counts for
5 papers
On the properites of Poisson random measures associated with a G-Levy process
Krzysztof Paczka
In this paper we study the properties of the Poisson random measure and the Poisson integral associated with a G-Levy process. We prove that a Poisson integral is a G-Levy process…
-martingale representation in the -L'evy setting
Krzysztof Paczka
In this paper we give the decomposition of a martingale under the sublinear expectation associated with a -L'evy process X with finite activity and without drift. We prove that…
Optimal control with delayed information flow of systems driven by -Brownian motion
Francesca Biagini, Thilo Meyer-Brandis, Bernt Øksendal +1
In this paper we study strongly robust optimal control problems under volatility uncertainty. In the -framework we adapt the stochastic maximum principle to find necessary and s…
Itô calculus and jump diffusions for -Lévy processes
Krzysztof Paczka
The paper considers the integration theory for -Lévy processes with finite activity. We introduce the Itô-Lévy integrals, give the Itô formula for them and establish SDE's, BSDE…
Doob's optional sampling and maximal inequality for -martingales
Krzysztof Paczka
The paper considers the martingale theory in the -framework. A form of Doob's optional sampling is established, which allows to prove the exact analogue of the classical maximal…