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Number of items: 26.
2022
HernΓ‘ndez-HernΓ‘ndez, Ma. Elena and Jacka, Saul D. (2022) A generalisation of the Burkholder-Davis-Gundy inequalities. Electronic Communications in Probability, 27 . pp. 1-8. doi:10.1214/22-ecp493 ISSN 1083-589X.
2021
Jacka, Saul D. and HernΓ‘ndez-HernΓ‘ndez, Ma Elena (2021) Minimising the expected commute time. Stochastic Processes and their Applications . doi:10.1016/j.spa.2019.04.010 ISSN 0304-4149.
2019
Jacka, Saul D. and Norgilas, Dominykas (2019) On the compensator in the Doob-Meyer decomposition of the Snell envelope. SIAM Journal on Control and Optimization, 57 (3). pp. 1869-1889. doi:10.1137/18M1180931 ISSN 0363-0129.
2018
Jacka, Saul D., Armstrong, S. P. and Berkaoui, Abdelkarem (2018) On representing and hedging claims for coherent risk measures. Journal of Convex Analysis, 26 (1). ISSN 0944-6532.
2017
Jacka, Saul D. and Ocejo, Adriana (2017) On the regularity of American options with regime-switching uncertainty. Stochastic Processes and their Applications, 128 (3). pp. 803-818. doi:10.1016/j.spa.2017.06.007 ISSN 0304-4149.
Jacka, Saul D. and Mijatovic, Aleksandar (2017) On the policy improvement algorithm in continuous time. Stochastics : An International Journal of Probability and Stochastic Processes, 89 (1). pp. 348-359. doi:10.1080/17442508.2016.1187609 ISSN 1744-2508.
2015
MijatoviΔ, Aleksandar, Vidmar, Matija and Jacka, Saul D. (2015) Markov chain approximations to scale functions of LΓ©vy processes. Stochastic Processes and their Applications, 125 (10). pp. 3932-3957. doi:10.1016/j.spa.2015.05.012 ISSN 0304-4149.
Jacka, Saul D. and MijatoviΔ, Aleksandar (2015) Coupling and tracking of regime-switching martingales. Electronic Journal of Probability, 20 . pp. 1-39. 38. doi:10.1214/EJP.v20-2307 ISSN 1083-6489.
2014
Assing, Sigurd, Jacka, Saul D. and Ocejo, Adriana (2014) Monotonicity of the value function for a two-dimensional optimal stopping problem. The Annals of Applied Probability, 24 (4). pp. 1554-1584. doi:10.1214/13-AAP956 ISSN 1050-5164.
Jacka, Saul D., MijatoviΔ, Aleksandar and Ε iraj, Dejan (2014) Mirror and synchronous couplings of geometric Brownian motions. Stochastic Processes and their Applications, Volume 124 (Number 2). pp. 1055-1069. doi:10.1016/j.spa.2013.10.003 ISSN 0304-4149.
MijatoviΔ, Aleksandar, Vidmar, Matija and Jacka, Saul D. (2014) Markov chain approximations for transition densities of LΓ©vy processes. Electronic Journal of Probability, Volume 19 . pp. 1-37. Article number 7. doi:10.1214/EJP.v19-2208 ISSN 1083-6489.
Deshpande, Amogh and Jacka, Saul D. (2014) Game-theoretic approach to risk-sensitive benchmarked asset management. Risk and Decision Analysis, 5 (4). pp. 163-176. doi:10.3233/RDA-140108 ISSN 1569-7371.
2012
Jacka, Saul D. (2012) A simple proof of Kramkov's result on uniform supermartingale decompositions. Stochastics, Vol.84 (No.5-6). pp. 599-602. doi:10.1080/17442508.2011.570343 ISSN 1744-2508.
2011
Jacka, Saul D., Warren, Jon and Windridge, Peter (2011) Minimizing the time to a decision. Annals of Applied Probability, Vol.21 (No.5). pp. 1795-1826. doi:10.1214/10-AAP737 ISSN 1050-5164.
Jacka, Saul D., Warren, Jon and Windridge, Peter (2011) Minimising the time to a decision. Working Paper. Coventry: University of Warwick. Centre for Research in Statistical Methodology. Working papers, Vol.2011 (No.5).
Jacka, Saul D., Peskir, Goran and Salminen, Paavo (2011) Optimal stopping with applications: an editorial introduction. Stochastics An International Journal of Probability and Stochastic Processes, Vol. 83 (No. 4-6). pp. 311-313. doi:10.1080/17442508.2011.613982 ISSN 1744-2508.
Jacka, Saul D. (2011) A simple proof of Kramkov's result on uniform supermartingale decompositions. Working Paper. Coventry: University of Warwick. Centre for Research in Statistical Methodology. Working papers, Vol.2011 (No.6).
2009
Jacka, Saul D. (2009) Markov chains conditioned never to wait too long at the origin. Journal of Applied Probability, Vol.46 (No.3). pp. 812-826. doi:10.1239/jap/1253279853 ISSN 0021-9002.
2008
Jacka, Saul D., Berkaoui, Abdelkarem and Warren, Jon (2008) No arbitrage and closure results for trading cones with transaction costs. Finance and Stochastics, Vol.12 (No.4). pp. 583-600. doi:10.1007/s00780-008-0075-7 ISSN 0949-2984.
Connor, Stephen B. and Jacka, Saul D. (2008) Optimal co-adapted coupling for the symmetric random walk on the hypercube. Journal of Applied Probability, Vol.45 (No.3). pp. 703-713. doi:10.1239/jap/1222441824 ISSN 0021-9002.
Jacka, Saul D. and Sheehan, Marcus (2008) The noisy veto-voter model: a recursive distributional equation on [0, 1]. Journal of Applied Probability, Vol.45 (No.3). pp. 670-688. doi:10.1239/jap/1222441822 ISSN 0021-9002.
2007
Jacka, Saul D. and Warren, Jon (2007) Random orderings of the integers and card shuffling. Stochastic Processes and their Applications, Vol.117 (No.6). pp. 708-719. doi:10.1016/j.spa.2006.10.001 ISSN 0304-4149.
Jacka, Saul D. and Berkaoui, Abdelkarem (2007) On the density of properly maximal claims in financial markets with transaction costs. Annals of Applied Probability, Vol.17 (No.2). pp. 716-740. doi:10.1214/105051606000000880 ISSN 1050-5164.
Jacka, Saul D. and Berkaoui, Abdelkarem (2007) On representing claims for coherent risk measures. Working Paper. Coventry: University of Warwick. Centre for Research in Statistical Methodology. Working papers, Vol.2007 (No.20).
2005
Jacka, Saul D., Lazic, Zorana and Warren, Jon (2005) Conditioning an additive functional of a markov chain to stay non-negative. I, Survival for a long time. Advances in Applied Probability, Vol.37 (No.4). pp. 1015-1034. doi:10.1239/aap/1134587751 ISSN 0001-8678.
Jacka, Saul D., Lazic, Zorana and Warren, Jon (2005) Conditioning an additive functional of a markov chain to stay nonnegative. II, Hitting a high level. Advances in Applied Probability, Vol.37 (No.4). pp. 1035-1055. doi:10.1239/aap/1134587752 ISSN 0001-8678.
This list was generated on Thu Mar 28 19:09:40 2024 GMT.