Discrete Parameter Martingales

By J. Kingman, J. Neveu. 1975

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Citations in the corpus

On Convergence of Emphatic Temporal-Difference Learning (2015, background): “By (Neveu, 1975, Lemma IV-25, p. 66), every uniformly integrable sequence of random variables which converges almost surely also converges in L1.”
An analysis of a least squares regression method for American option pricing (2002, methodology): “Following classical optimal stopping theory (for which we refer to [10], Chap.”
Optimal Stopping for Dynamic Convex Risk Measures (2009, methodology): “Applying Proposition VI-1-1 of [21] once again, one can find a sequence {Q n }n∈N in Qν such that (3.”
Martingale Representation Theorem for the G-Expectation (2010, background): “By Neveu [12] (Proposition VI-1-1), there exist a sequence {Pj, j ≥ 1} ⊂ P(τ̂ ,P) defined in (3.3)such that Mτ̂ = sup j≥1 E Pj τ̂ [ξ], P− a.s..”
Martingale approach to stochastic differential games of control and stopping. (2008, background): “, Neveu (1975), page 121], to obtain the following.”
Conservative delta hedging (2000, background): “121) of Neveu (1975), but because of the apparent absence of a dominating measure, the properties stated in that result may not apply.”
Wellposedness of second order backward SDEs (2010, unknown): “Neveu [11] to see that ess sup P′∈P H (t1+,P) E ′ t1 [”
Two-player nonZero–sum stopping games in discrete time (2004, background): “Neveu (1975) then proved that this problem has a value, provided (a) supn≥0max{|R{1},n|, |R{2},n|, |R{1,2},n”
Time-Inconsistency of VaR and Time-Consistent Alternatives (2007, unknown): “…time t is VaRαt (X) := ess inf { m ∈ L0(Ft) : P [X + m 0 | Ft] ≤ α } , where “ess inf” denotes the greatest lower bound of a family of random variables with respect to P -almost sure inequality (see e.g. Proposition VI.1.1 in Neveu, 1975) and P [A | Ft] is the conditional expectation E [1A | Ft].”
The smallest g-supermartingale and reflected BSDE with single and double L2 obstacles (2005, background): “We refer to [8,2,18,3,9,1,17,13] for interesting research works in this d The advantage of introducing the above Skorohod condition is that it possesses a very interesting structure that permits us to obtain many useful properties such as uniqueness, continuous dependence th other kind of regulariti”