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Your search keyword '"Semimartingale"' showing total 2 results
Start Over Descriptor "Semimartingale" Topic approximation theory Publisher springer nature
2 results on '"Semimartingale"'

1. Markov Chain Approximation of Pure Jump Processes.

Author

Mimica, Ante, Sandrić, Nikola, and Schilling, René L.

Subjects
*MARKOV processes, *STOCHASTIC convergence, *JUMP processes, *DIRICHLET forms, *SEMIMARTINGALES (Mathematics), *APPROXIMATION theory
Abstract

In this paper we discuss weak convergence of continuous-time Markov chains to a non-symmetric pure jump process. We approach this problem using Dirichlet forms as well as semimartingales. As an application, we discuss how to approximate a given Markov process by Markov chains. [ABSTRACT FROM AUTHOR]

Published
2018
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2. L2-approximating Pricing under Restricted Information.

Author

Mania, M., Tevzadze, R., and Toronjadze, T.

Subjects
*APPROXIMATION theory, *ASSETS (Accounting), *PRICING, *DIFFERENTIAL equations, *MARTINGALES (Mathematics), *STOCHASTIC differential equations, *HEDGING (Finance)
Abstract

We consider the mean-variance hedging problem under partial information in the case where the flow of observable events does not contain the full information on the underlying asset price process. We introduce a certain type martingale equation and characterize the optimal strategy in terms of the solution of this equation. We give relations between this equation and backward stochastic differential equations for the value process of the problem. [ABSTRACT FROM AUTHOR]

Published
2009
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