The Shiryaev Festschrift: "From Stochastic Calculus to Mathematical Finance"
Contents
Albert SHIRYAEVXV
Publications of A.N.ShiryaevXXI
On Numerical Approximation of Stochastic Burgers’ Equation Aureli ALABERT, István GYÖNGY1
Optimal Time to Invest under Tax Exemptions Vadim I. ARKIN, Alexander D. SLASTNIKOV17
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 SHEPHARD33
Interplay between Distributional and Temporal Dependence. An Empirical Study with High-frequency Asset Returns Nick H. BINGHAM, Rafael SCHMIDT69
Asymptotic Methods for Stability Analysis of Markov Dynamical Systems with Fast Variables Jevgenijs CARKOVS, Jordan STOYANOV91
Some Particular Problems of Martingale Theory Alexander CHERNY109
On the Absolute Continuity and Singularity of Measures
on Filtered Spaces: Separating Times Alexander CHERNY, Mikhail URUSOV125
Optimal Hedging with Basis Risk Mark H.A. DAVIS169
Moderate Deviation Principle for Ergodic Markov Chain.
Lipschitz Summands Bernard DELYON, Anatoly JUDITSKY, Robert LIPTSER189
Remarks on Risk Neutral and Risk Sensitive Portfolio
Optimization Giovanni B. DI MASI, Łukasz STETTNER211
On Existence and Uniqueness of Reflected Solutions of Stochastic Equations Driven by Symmetric Stable Processes Hans-Jürgen ENGELBERT, Vladimir P. KURENOK, Adrian ZALINESCU227
A Note on Pricing, Duality and Symmetry
for Two-Dimensional L´evy Markets José FAJARDO, Ernesto MORDECKI249
Enlargement of Filtration and Additional Information
in Pricing Models: Bayesian Approach Dario GASBARRA, Esko VALKEILA, Lioudmila VOSTRIKOVA257
A Minimax Result forf-Divergences Alexander A. GUSHCHIN, Denis A. ZHDANOV287
Impulse and Absolutely Continuous Ergodic Control
of One-Dimensional Itô Diffusions Andrew JACK, Mihail ZERVOS295
A Consumption–Investment Problem with Production
Possibilities Yuri KABANOV, Masaaki KIJIMA315
Multiparameter Generalizations of the Dalang–Morton–Willinger Theorem Yuri KABANOV, Yuliya MISHURA, Ludmila SAKHNO333
A Didactic Note on Affine Stochastic Volatility Models Jan KALLSEN343
Uniform Optimal Transmission of Gaussian Messages Pavel K. KATYSHEV369
A Note on the Brownian Motion Kiyoshi KAWAZU385
Continuous Time Volatility Modelling: COGARCH versus
Ornstein–Uhlenbeck Models Claudia KLÜPPELBERG, Alexander LINDNER, Ross MALLER393
Tail Distributions of Supremum and Quadratic Variation
of Local Martingales Robert LIPTSER, Alexander NOVIKOV421
Stochastic Differential Equations: A Wiener Chaos Approach Sergey LOTOTSKY and Boris ROZOVSKII433
A Martingale Equation of Exponential Type Michael MANIA, Revaz TEVZADZE507
On Local Martingale and its Supremum: Harmonic Functions and beyond Jan OBŁÓJ, Marc YOR517
On the Fundamental Solution of the Kolmogorov–Shiryaev Equation Goran PESKIR535
Explicit Solution to an Irreversible Investment Model
with a Stochastic Production Capacity Huyên PHAM547
Gittins Type Index Theorem for Randomly Evolving Graphs Ernst PRESMAN, Isaac SONIN567
On the Existence of Optimal Portfolios for the Utility
Maximization Problem in Discrete Time Financial Market
Models Miklós RÁSONYI, Łukasz STETTNER589
The Optimal Stopping of a Markov Chain and Recursive
Solution of Poisson and Bellman Equations Isaac M. SONIN609
On Lower Bounds for Mixing Coefficients of Markov
Diffusions A.Yu. VERETENNIKOV623