Current affiliation: Bilkent UniversitySubject: MathematicsPrimary location: Turkey
Published in:Kyoto Journal of MathematicsPublication date:2015-09-01
The rigorous treatement of the innovation conjecture of T. Kailath in the general
correlated case where it is proven that its validity is equival...
Published in:Lecture Notes in MathematicsPublication date:1988-01-01
The Malliavin Calculus.
Published in:Lecture Notes in MathematicsPublication date:1995-01-01
Published in:Springer Monographs in MathematicsPublication date:2000-01-01
Published in:Journal of Functional AnalysisPublication date:1996-02-01
We calculate exponential moments of Wiener functionals which are Skorohod integrals of vector fields. The finiteness of them are used in the degree...
Published in:Journal of Functional AnalysisPublication date:2009-05-01
We prove rigorously that the intuitive probabilistic solution of the free boundary problem for American options is in fact the true mathematical so...