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B
Some Papers and Books on Specific Subjects
We give here a list of references quoted in our book on some important
subjects. We do not give any detail, the reader can refer to the author index
and find the page number where the author appear to have some information.
Of course, this list is far from being exhaustive, and we apologize for important
papers or books which are not quoted.
B.1 Theory of Continuous Processes
B.1.1 Books
Chung [184, 185],Chung and Williams [186], Dellacherie and Meyer [242, 244],
He et al. [427], Ikeda and Watanabe [456], Karatzas and Shreve [513], McKean
[637], Øksendal [684], Protter [727], Revuz and Yor [730], Rogers and Williams
[741], Stroock and Varadhan [812].
B.1.2 Stochastic Differential Equations
Barlow and Perkins [49], Barlow [47, 46], Engelbert and Schmidt [333, 331,
332], Fang and Zhang [340], Harrison and Shepp [424].
B.1.3 Backward SDE
Buckdhan [134], collective book [303], El Karoui and coauthors [308, 309, 310],
HuandZhou[448], Lepeltier and San Martin [578, 579], Ma and Yong [607],
Peng [706], Mania and Tevzadze [619].
Applications to Finance: Bielecki et al. [89, 98], El Karoui and Quenez
[308], Lim [589].
BSDE with Jumps: Barles et al. [43], Royer [744], Nualart and
Schoutens [683], Rong [743].
M. Jeanblanc, M. Yor, M. Chesney, Mathematical Methods for Financial
Markets, Springer Finance, DOI 10.1007/978-1-84628-737-4,
c
Springer-Verlag London Limited 2009
709
710 B Some Papers and Books on Specific Subjects
B.1.4 Martingale Representation Theorems
Amendinger [12], Cherny and Shiryaev [170], Chou and Meyer [180], Davis
[222, 219], Jacod [467, 468], Jacod and Yor [472], Kunita [549], Kunita and
Watanabe [550], Nikeghbali [674], Nualart and Schoutens [682], Watanabe
[837].
B.1.5 Enlargement of Filtrations
Theoritical Point of View: Amendinger et al. [13], Barlow [45], Br´emaud
and Yor [126], Dellacherie, Maisonneuve and Meyer [241], F¨ollmer and
Imkeller [348], Jacod [468, 469], Jeulin [493, 494], Jeulin and Yor [495], Mansuy
and Yor [622], Nikeghbali [674], Protter [727], Yor [868].
Application to Finance: Amendinger et al. [13], Bielecki et al. [91, 92, 93],
Corcuera et al. [194], Elliott et al.[315], Eyraud-Loisel [338], F¨ollmer et
al. [353], Gasbarra et al. [374], Grorud and Pontier [410], Hillairet [436],
Imkeller [457], Imkeller et al. [458], Karatzas and Pikovsky [512], Kohatsu-
Higa [533, 532], Kohatsu-Higa and Øksendal [534], Kusuoka [552].
B.1.6 Exponential Functionals
Alili et al [7], Bertoin and Yor [83], Matsumoto and Yor [630, 631], Yor [865].
B.1.7 Uniform Integrability of Martingales
Cherny and Shiryaev [169], Kramkov and Shiryaev [544], Heyde and Wang
[848], L´epingle and M´emin [580], Novikov [680], Kazamaki [517], Yan [855].
B.2 Particular Processes
B.2.1 Ornstein-Uhlenbeck Processes
Alili et al. [10], Aquilina and Rogers [22], Breiman [122], Elworthy et al. [319],
Going-Jaeschke and Yor [397], Linetsky [591].
B.2.2 CIR Processes
Chen and Scott [164], Cox et al. [206], Dassios and Nagaradjasarma [214],
Deelstra and Parker [229], Delbaen [230], Dufresne [281], Linetsky [591],
Maghsoodi [615], Rogers [736] and Shirakawa [790], Szatzschneider [816, 817].