Free Access
Issue |
ESAIM: PS
Volume 11, February 2007
Special Issue: "Stochastic analysis and mathematical finance" in honor of Nicole El Karoui's 60th birthday
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Page(s) | 89 - 101 | |
DOI | https://doi.org/10.1051/ps:2007008 | |
Published online | 01 March 2007 |
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- C. Dellacherie and P. Meyer, Probabilités et potentiel. Chapitres XII–XVI: Théorie du potentiel associée à une résolvante, Théorie des processus de Markov, Hermann, Paris (1987). [Google Scholar]
- N. El Karoui, Les aspects probabilistes du contrôle stochastique, in Ninth Saint Flour Probability Summer School-1979 (Saint Flour, 1979), Lect. Notes Math. 876 (1981) 73–238. [Google Scholar]
- N. El Karoui, Max-Plus Decomposition of Supermartingale - Application to Portfolio Insurance, http://www.ima.umn.edu/talks/workshops/4-12-16.2004/el_karoui/IMA2004.pdf (2004). [Google Scholar]
- N. El Karoui and H. Föllmer, A non-linear Riesz representation in probabilistic potential theory, in Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques 41 (2005) 269–283. [Google Scholar]
- N. El Karoui and A. Meziou, Constrained optimization with respect to stochastic dominance: Application to portfolio insurance. Math. Finance 16 (2006) 103–117. [CrossRef] [MathSciNet] [Google Scholar]
- T. Knispel, Eine nichtlineare Riesz-Darstellung bezüglich additiver Funktionale im potentialtheoretischen Kontext. Diploma Thesis, Humboldt University, Berlin (2004). [Google Scholar]
- A.N. Shiryaev, Statistical Sequential Analysis. AMS, Providence, Transl. Math. Monographs 38 (1973). [Google Scholar]
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