Stochastics, Volume 84, Issue 5-6 (2012)

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Stochastics, Volume 84, Issue 5-6 (2012)

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The Mark H.A. Davis festschrift: stochastics, control and finance

Editorial

Editorial
The Mark H.A. Davis festschrift: stochastics, control and finance
Dirk Becherer, Giulia Di Nunno, Mihail Zervos & Harry Zheng
Pages: 563-568
Published online: 31 Oct 2012
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Original Articles

Article
The GAEP algorithm for the fast computation of the distribution of a function of dependent random variables
Philipp Arbenz, Paul Embrechts & Giovanni Puccetti
Pages: 569-597
Published online: 04 Oct 2011
AbstractforThe GAEP algorithm for the fast computation of the distribution of a function of dependent random variables | Full Text | References | PDF (468.9 KB)
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Article
A simple proof of Kramkov's result on uniform supermartingale decompositions
Saul Jacka
Pages: 599-602
Published online: 03 Oct 2011
AbstractforA simple proof of Kramkov's result on uniform supermartingale decompositions | Full Text | References | PDF (82.5 KB)
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Article
Credit default swaps with and without counterparty and collateral adjustments
Alexander Lipton & David Shelton
Pages: 603-624
Published online: 10 Nov 2011
AbstractforCredit default swaps with and without counterparty and collateral adjustments | Full Text | References | PDF (195.4 KB)
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Article
Asymptotics and duality for the Davis and Norman problem
Stefan Gerhold, Johannes Muhle-Karbe & Walter Schachermayer
Pages: 625-641
Published online: 02 Dec 2011
AbstractforAsymptotics and duality for the Davis and Norman problem | Full Text | References | PDF (175.5 KB)
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Article
A mean-field stochastic maximum principle via Malliavin calculus
Thilo Meyer-Brandis, Bernt Øksendal & Xun Yu Zhou
Pages: 643-666
Published online: 10 Feb 2012
AbstractforA mean-field stochastic maximum principle via Malliavin calculus | Full Text | References | PDF (207.7 KB)
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Article
Stochastic exit time problems arising in process control
J. M.C. Clark & R. B. Vinter
Pages: 667-681
Published online: 15 Mar 2012
AbstractforStochastic exit time problems arising in process control | Full Text | References | PDF (161.4 KB)
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Article
Diverse beliefs
A. A. Brown & L. C.G. Rogers
Pages: 683-703
Published online: 19 Apr 2012
AbstractforDiverse beliefs | Full Text | References | PDF (190.7 KB)
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Article
Boundary conditions for computing densities in hybrid models via PDE methods
Vladimir Lucic
Pages: 705-718
Published online: 03 Feb 2012
AbstractforBoundary conditions for computing densities in hybrid models via PDE methods | Full Text | References | PDF (144.2 KB)
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Article
Rational term structure models with geometric Lévy martingales
Dorje C. Brody, Lane P. Hughston & Ewan Mackie
Pages: 719-740
Published online: 25 Jun 2012
AbstractforRational term structure models with geometric Lévy martingales | Full Text | References | PDF (331.8 KB)
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Article
Forward indifference valuation of American options
Tim Leung, Ronnie Sircar & Thaleia Zariphopoulou
Pages: 741-770
Published online: 19 Jun 2012
AbstractforForward indifference valuation of American options | Full Text | References | PDF (322.6 KB)
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