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Disambiguation of "Rogers, L. C. G."

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Numerical methods in finance

(Eds.) Publications of the Newton Institute Cambridge Univ. Press, Cambridge u.a., (1997)

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G Rogers

Konstantin G l bov

Ruth C L Vochem

Ay K l ç

Ilhan Ilk l ç

 

Other publications of authors with the same name

A Guided Tour through Excursions. Bulletin of the London Mathematical Society, 21 (4): 305-341 (1989)Trading to Stops., and . SIAM J. Financial Math., 5 (1): 753-781 (2014)Fast accurate binomial pricing., and . Finance and Stochastics, 2 (1): 3-17 (1997)Investing and Stopping., and . J. Appl. Probab., 51 (4): 898-909 (2014)Diffusions, Markov processes, and martingales. Vol. 1, and . Cambridge Mathematical Library Cambridge University Press, Cambridge, (2000)Foundations, Reprint of the second (1994) edition.Diffusions, Markov processes, and martingales. Vol. 2, and . Cambridge Mathematical Library Cambridge University Press, Cambridge, (2000)Itô calculus, Reprint of the second (1994) edition.Markov functions, and . Ann. Probab., 9 (4): 573--582 (1981)Let $(G,G)$ and $(H,H)$ be two measurable spaces, and $f$ be a measurable function of $G$ into $H$. If $\X(t)\$ is a homogeneous Markov process with initial distribution $łambda$ and state space $G$, under what conditions is the process $f(X(t))$ Markov? Conditions are well known for $f(X)$ to be Markov for all the initial distributions $łambda$, or invariant $łambda$. This article provides conditions for $f(X)$ to be Markov when there may be no invariant $łambda$, or for some though not all initial $łambda$. The main result is then applied to present a simple proof of Williams' result: For a linear Brownian motion $B(t)$ starting from 0 and with drift $\mu$, the process $Y(t)=2M(t)-B(t)$ (where $M(t)=B(s)\ 0st$) is a diffusion following the same law as the radial part of a three-dimensional Brownian motion starting from the origin and with drift $|\mu|$..Embedding optimal selection problems in a Poisson process, and . Stochastic Processes and their Applications, 38 (2): 267--278 (August 1991)Can the implied volatility surface move by parallel shifts?, and . Finance and Stochastics, 14 (2): 235-248 (2010)Optimal capital structure and endogenous default., and . Finance and Stochastics, 6 (2): 237-263 (2002)