8 research outputs found
Arbitrage and deflators in illiquid markets
- Author
- A. Alfonsi
- A. Kraus
- A. Mas-Colell
- C. Napp
- D.B. Rokhlin
- D.B. Rokhlin
- D.B. Rokhlin
- E. Jouini
- E. Jouini
- E. Jouini
- E. Platen
- F. Astic
- F. Delbaen
- H. BĂĽhlmann
- H. Föllmer
- H. Pham
- I.V. Evstigneev
- J. Cvitanić
- J.-P. Aubin
- J.C. Dermody
- J.C. Dermody
- K. Kaval
- P. Bank
- P. Krokhmal
- R. Almgren
- R.T. Rockafellar
- R.T. Rockafellar
- R.T. Rockafellar
- R.T. Rockafellar
- R.T. Rockafellar
- R.T. Rockafellar
- Teemu Pennanen
- U. Çetin
- U. Çetin
- W. Schachermayer
- W. Schachermayer
- Yu.M. Kabanov
- Yu.M. Kabanov
- Yu.M. Kabanov
- Publication venue
- 'Springer Science and Business Media LLC'
- Publication date
- 01/01/2008
- Field of study
This paper presents a stochastic model for discrete-time trading in financial
markets where trading costs are given by convex cost functions and portfolios
are constrained by convex sets. The model does not assume the existence of a
cash account/numeraire. In addition to classical frictionless markets and
markets with transaction costs or bid-ask spreads, our framework covers markets
with nonlinear illiquidity effects for large instantaneous trades. In the
presence of nonlinearities, the classical notion of arbitrage turns out to have
two equally meaningful generalizations, a marginal and a scalable one. We study
their relations to state price deflators by analyzing two auxiliary market
models describing the local and global behavior of the cost functions and
constraints
Dual representation of superhedging costs in illiquid markets
- Author
- A. Mas-Collel
- C. Napp
- D. Kreher
- D.B. Rokhlin
- D.B. Rokhlin
- D.B. Rokhlin
- E. Jouini
- E. Jouini
- E. Jouini
- E. Jouini
- F. Delbaen
- H. Föllmer
- H. Föllmer
- I. Ekeland
- I.V. Evstigneev
- J. Cvitanić
- J. Jacod
- J.-P. Aubin
- J.C. Dermody
- J.C. Dermody
- K. Kaval
- L.C.G. Rogers
- M.A.H. Dempster
- M.B. Haugh
- R.C. Dalang
- R.T. Rockafellar
- R.T. Rockafellar
- R.T. Rockafellar
- S. Jaschke
- T. Pennanen
- T. Pennanen
- T. Pennanen
- T. Pennanen
- Teemu Pennanen
- U. Çetin
- W. Schachermayer
- W. Schachermayer
- Y.M. Kabanov
- Y.M. Kabanov
- Publication venue
- 'Springer Science and Business Media LLC'
- Publication date
- Field of study
On an Optional Semimartingale Decomposition and the Existence of a Deflator in an Enlarged Filtration
- Author
- Publication venue
- 'Springer Science and Business Media LLC'
- Publication date
- 01/01/2015
- Field of study
International audienceGiven a reference filtration F, we consider the cases where an enlarged filtration G is constructed from F in two different ways: progressively with a random time or initially with a random variable. In both situations, under suitable conditions, we present a G-optional semimartingale decomposition for F-local martingales. Our study is then applied to answer the question of how an arbitrage-free semimartingale model is affected when stopped at the random time in the case of progressive enlargement or when the random variable used for initial enlargement satisfies Jacod's hypothesis. More precisely, we focus on the No-Unbounded-Profit-with-Bounded-Risk (NUPBR) condition. We provide alternative proofs of some results from [5], with a methodology based on our optional semimartingale decomposition, which reduces significantly the length of the proof
Central limit theorems for sub-linear expectation under the Lindeberg condition
- Author
- Publication venue
- 'Springer Science and Business Media LLC'
- Publication date
- Field of study
Optimal investment and contingent claim valuation in illiquid markets
- Author
- A. Cherny
- C. Czichowsky
- C. Napp
- D. Kramkov
- D. Kramkov
- D.B. Rokhlin
- E. Jouini
- E. Jouini
- E. Jouini
- F. Black
- F. Delbaen
- F. Delbaen
- H. BĂĽhlmann
- H. Föllmer
- J. Cvitanić
- J. Hugonnier
- J.-M. Courtault
- J.C. Dermody
- J.C. Dermody
- J.E. Ingersoll
- M.A.H. Dempster
- M.H.A. Davis
- M.H.A. Davis
- M.H.A. Davis
- M.P. Owen
- P. Barrieu
- P. Guasoni
- P. Guasoni
- P. Hilli
- P. Malo
- P.H. Dybvig
- Ph. Artzner
- R. Rouge
- R.T. Rockafellar
- R.T. Rockafellar
- S. Biagini
- S. Biagini
- S. Jaschke
- S.D. Hodges
- S.F. LeRoy
- T. Pennanen
- T. Pennanen
- T. Pennanen
- T. Pennanen
- T.R. Bielecki
- Teemu Pennanen
- U. Çetin
- W. Schachermayer
- W. Schachermayer
- Y.M. Kabanov
- Publication venue
- 'Springer Science and Business Media LLC'
- Publication date
- 01/01/2014
- Field of study
This paper extends basic results on arbitrage bounds and attainable claims to illiquid markets and general swap contracts where both claims and premiums may have multiple payout dates. Explicit consideration of swap contracts is essential in illiquid markets where the valuation of swaps cannot be reduced to the valuation of cumulative claims at maturity. We establish the existence of optimal trading strategies and the lower semicontinuity of the optimal value of optimal investment under conditions that extend the no-arbitrage condition in the classical linear market model. All results are derived with the "direct method" without resorting to duality arguments.</p
Effective elastic moduli of fiber-matrix interphases in high-temperature composites
- Author
- A. McKee
- A. Saigal
- A.G. Evans
- B.A. Auld
- D.B. Marshall
- H. Bhatt
- J. Aboudi
- J. Aboudi
- J.A. DiCarlo
- J.D. Achenbach
- J.F. Mandell
- J.M. Baik
- J.M. Yang
- K.M. Prewo
- L.F. Nielsen
- Landolt-Börnstein
- M. Gosz
- M. Gosz
- M. Hefetz
- M. Sutcu
- P.B. Nagy
- P.E. Cantonwise
- R.A. MacKay
- R.J. Kerans
- R.M. Christensen
- R.M. Christensen
- R.M. Christensen
- Robert E. Schafrik
- S. I. Rokhlin
- S.F. Baumann
- T.E. Matikas
- W. Huang
- X.J. Ning
- Y. C. Chu
- Y.C. Chu
- Y.C. Chu
- Y.C. Chu
- Y.C. Chu
- Y.C. Chu
- Y.C. Chu
- Y.C. Chu
- Y.C. Chu
- Y.P. Qiu
- Z. Hashin
- Z. Hashin
- Z. Hashin
- Publication venue
- 'Springer Science and Business Media LLC'
- Publication date
- Field of study
Cellular and Molecular Signatures of Androgen Ablation of Prostate Cancer
- Author
- A. Belanger
- A. Brandstrom
- A. Bubulya
- A. Bubulya
- A. Chadli
- A. de la Taille
- A. Goswami
- A. Johansson
- A. Krongrad
- A. Mizokami
- A. Mizokami
- A. Palaparti
- A. Sciarra
- A. Suzuki
- A. van Bokhoven
- A. Zoubeidi
- A.B. Gutman
- A.J. Raffo
- A.K. McCollum
- B. Cinar
- B. He
- B. Lin
- B. Liu
- B. Segnitz
- B.A. Hadaschik
- B.B. Yeap
- B.B. Yeap
- B.C. Chung
- C. Bowen
- C. Guillemette
- C. Huggins
- C. Huggins
- C. Lee
- C. Scheufler
- C. Wu
- C.A. Ballinger
- C.D. Chen
- C.G. Tepper
- C.G. Tepper
- C.J. Bieberich
- C.J. Ryan
- C.L. Wellington
- C.M. Gaubert
- C.S. Song
- C.W. Gregory
- C.Y. Huang
- D. Chendil
- D. Grbavec
- D. Hirano
- D. Price
- D.A. Lawson
- D.A. Wolf
- D.B. Agus
- D.B. Lubahn
- D.B. Lubahn
- D.E. Frigo
- D.J. Grignon
- D.L. Daniels
- D.N. Grigoryev
- E. Maltepe
- E.A. Carroll
- E.A. Mostaghel
- E.D. Werner
- F. Boccardo
- F. Labrie
- F. Tremblay
- G. Brodin
- G. Dehni
- G. Kerjan
- G. Teutsch
- G. Tolis
- G.J. Berchem
- G.J. Bubley
- G.Q. Zhao
- G.R. Mora
- G.R. Prout Jr
- H. Hieronymus
- H. Muramatsu
- H. Murillo
- H. Perlman
- H.A. Mason
- H.I. Nakaya
- H.J. Lee
- H.K. Lin
- H.K. Lin
- H.K. Lin
- I. Franck-Lissbrant
- I.B. Joseph
- I.D. Cockshott
- I.M. Berquin
- J. Geller
- J. Jiang
- J. Jongsma
- J. Jongsma
- J. Jongsma
- J. Kim
- J. Lamb
- J. Li
- J. Lin
- J. Oh
- J. Pinski
- J. Renaud
- J. Trachtenberg
- J. Trachtenberg
- J. Trachtenberg
- J. Veldscholte
- J. Veldscholte
- J. Yao
- J. Yao
- J.A. Doll
- J.A. Kemppainen
- J.A. Romashkova
- J.C. Young
- J.C. Young
- J.F. Kerr
- J.I. Kreisberg
- J.L. Johnson
- J.M. Kokontis
- J.M. Kuhn
- J.M. Renoir
- J.R. Graff
- J.T. Hsieh
- J.W. Chiao
- K. Owada
- K. Tillman
- K. Ueda
- K. Yamane
- K.A. Link
- K.J. Wojno
- K.S. Sastry
- K.S. Sastry
- K.V. Desai
- K.W. Lee
- K.W. Lee
- L. Klotz
- L. Peng
- L. Sheflin
- L. Trojan
- L. Wallner
- L. Whitesell
- L.C. Amler
- L.N. Thomas
- L.N. Thomas
- L.S. Harrington
- L.V. July
- M. Fujitani
- M. Landstrom
- M. Michikawa
- M. Stefan
- M. Wissmann
- M. Wu
- M.A. Titus
- M.B. Garnick
- M.C. Hodgson
- M.C. Louie
- M.E. Cox
- M.E. Gleave
- M.E. Wright
- M.P. Hitchins
- M.R. Robinson
- M.X. Zuber
- N. Kaneda
- N. Matsunaga
- N. Sharma
- N. Vashchenko
- O.N. Ozes
- O.W. Rokhlin
- P. Connell
- P. Fang
- P. Limonta
- P. Rocchi
- P. Rocchi
- P. Sansone
- P. Westin
- P.A. di Sant'Agnese
- P.A. Leighton
- P.A. Steck
- P.G. Febbo
- P.K. Majumder
- P.P. Banerjee
- P.P. Banerjee
- P.S. Nelson
- P.W. Faber
- Q. Wang
- R. Ahuja
- R. Bhatia-Gaur
- R. Chmelar
- R. De Coster
- R. Li
- R. Neri
- R. Rajah
- R. St-Arnaud
- R.J. Matusik
- R.J. Vlietstra
- R.L. Vinall
- R.L. Vinall
- R.P. Pelley
- R.R. Berges
- S. Assou
- S. Banerjee
- S. Camandola
- S. Chen
- S. Chouinard
- S. Jarriault
- S. Kojima
- S. Liu
- S. Nakajin
- S. Ramaswamy
- S. Sato
- S. Schuh
- S. Signoretti
- S. Zelivianski
- S.B. Kondapaka
- S.D. Catz
- S.F. Sells
- S.F. Sells
- S.J. Desai
- S.J. Libertini
- S.K. Cheema
- S.N. Malik
- S.O. Lee
- S.W. Doniger
- T. Allen
- T. Burchardt
- T. Furutani
- T. Ito
- T. Kurita
- T. Maniatis
- T. Muramatsu
- T. Nishiyama
- T. Yoshimura
- T.C. Thompson
- T.C. Yuan
- T.C. Yuan
- The Leuprolide Study Group Leuprolide versus diethylstilbestrol for metastatic prostate cancer
- V. Barbaro
- V. Georget
- V. Modur
- V.C. Thompson
- V.E. Quarmby
- W. Fan
- W.B. Peeling
- W.B. Pratt
- W.D. Tilley
- W.J. Bakker
- W.J. Bakker
- W.J. Huss
- W.M. Baarends
- W.M. van Weerden
- W.S. McDonough
- W.W. Wright
- X. Chen
- X. Yang
- X. Yu
- X.B. Shi
- X.M. Xu
- X.Q. Zhang
- Y. Kawano
- Y. Kitagawa
- Y. Kobayashi
- Y. Mori
- Y. Qiu
- Y. Shang
- Y. Tong
- Y. Xu
- Y. Zhang
- Y.J. Bang
- Z. You
- Publication venue
- 'Springer Science and Business Media LLC'
- Publication date
- Field of study
Organolead Compounds
- Author
- A Andeli
- A Astiglioni
- A Bellomo
- A Berezniak
- A Betta
- A Blumenthal
- A Boulard de
- A Burg
- A Cahours
- A Cahours
- A Cahours
- A Cahours
- A Demidowicz
- A D’Ulivo
- A Egerton
- A Egerton
- A Egerton
- A Egerton
- A Egerton
- A Egerton
- A Egerton
- A Egerton
- A Egerton
- A Febo
- A Febo
- A Ferro
- A Fookson
- A Ghira
- A Ghira
- A Girelli
- A Goldberg
- A GrĂĽnwald
- A GrĂĽnwald
- A Hager
- A Hager
- A Hager
- A Hager
- A Hamilton
- A Imhausen
- A Imhausen
- A Ivanov
- A Jennen
- A Kaufman
- A Klein
- A Klein
- A Klein
- A Klein
- A Laveskog
- A Laveskog
- A Malatesta
- A Marroni
- A Morelli
- A Morelli
- A Morelli
- A Morelli
- A Morelli
- A Morelli
- A Morelli
- A Morelli
- A Morelli
- A Morelli
- A Morelli
- A Morelli
- A Morelli
- A Morelli
- A Morelli
- A Morgan
- A Morgan
- A Richard
- A Richard
- A Richard
- A Rieche
- A Rizzoli
- A Rizzoli
- A Ross
- A Salemi
- A Sokolik
- A Terenin
- A Terenin
- A Terenin
- A Terenin
- A Terenin
- A Vardanis
- A Vardanis
- A Zanker
- A Zscharn
- A.L. Gol’dshtein
- AA Dobrinskaja
- AA Dobrinskaja
- AA Gureev
- AA Gureev
- AA Gureev
- AA Gureev
- AA Gureev
- AA Gureev
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- Associated Octel Co. Ltd. (Belg. 610 109
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- O Anzaldi
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- P Ballinger
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- R Barbieri
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- R Morgenthaler
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- R Moss
- R Moss
- R Moss
- R Moss
- R Moss
- R Moss
- R Moss
- R Nassar
- R Perry
- R Radeglia
- R Robinson
- R Rost
- R Rotunno
- R Valpey
- R Zablotna
- RA Kehoe
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- RB Cruz
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- RE Adams
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- RH Aborn
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- RK Davis
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- RM Hawk
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- RN Meinert
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- RN Shreve
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- RO King
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- RP Buck
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- RP Curry
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- RS Aries
- RS Aries
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- RS Dickson
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- RSK Young
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- RW Hellwarth
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- RW Scott
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- S Banerjee
- S Bayan
- S Bayan
- S Berg
- S Berg
- S Bonkáló
- S Curry
- S Facchetti
- S Facchetti
- S Fukuzumi
- S Fukuzumi
- S Fukuzumi
- S Fukuzumi
- S Fukuzumi
- S Fukuzumi
- S Fukuzumi
- S Fukuzumi
- S Fukuzumi
- S Geraci
- S Hancock
- S Hancock
- S Hancock
- S Hatta
- S Horie
- S Iijima
- S Kerschl
- S Kikyo
- S Kitamura
- S Kosmider
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- S Kosmider
- S Mishima
- S Mishima
- S Mishima
- S Mishima
- S Mishima
- S Moeschlin
- S Nagasava
- S Pasynkiewicz
- S Plaza
- S Rapsomanikis
- S Regunathan
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- S Rokhlin
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- S Urushibara
- S Utsumi
- S Vignes
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- S Warwel
- S Warwel
- S Wawzonek
- S-G Jiang
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- S.E. Cook
- SA Estes
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- SC Bondy
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- SF Birch
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- SG Jiang
- SG Jiang
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- SI Dracheva
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- SJ Cook
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- SK Kyuregyan
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- Societa Edison S.p.A. — Settore Chimico
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- SP Nickerson
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- T Balint
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- T SmI
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- T-M Li
- T.H. Pearson
- TA Boyd
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- V Arunachalam
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- V Genta
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- V Giuliani
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- V Hlavacek
- V Kabaivanov
- V Kabaivanov
- V Kuppu Rao
- V Prever
- V Scarinci
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- V Veljkovic
- V Vesely
- VA Green
- VA Khrustaleva
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- VA Shushunov
- VA Shushunov
- VA Shushunov
- VA Shushunov
- VA Shushunov
- VA Shushunov
- VA Shushunov
- VA Shushunov
- VA Shushunov
- VA Smith
- VC Demel Jr.
- VD Efimova
- VE Emel’yanov
- VF Mironov
- VF Mironov
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- VF Traven
- VG Gurevich
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- VG Kuleshov
- VG Kuleshov
- VG Tsvetkov
- VH Dibeler
- VH Dibeler
- VH Dibeler
- VI Faerman
- VI Tel’noi
- VI Tel’noi
- VI Tel’noi
- VI Tel’noi
- VI Tel’noi
- VK Khairullin
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- VN Ipatieff
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- VN Ipatieff
- VN Ipatieff
- VN Ipat’ev
- VP Finelonov
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- VS Azev
- VS Azev
- VS Azev
- VS Azev
- VS Azev
- VS Trievskii
- VV Bushin
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- VV Bushin
- VV Bushin
- VV Korshak
- VV Korshak
- VV Korshak
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- VV Ovchinnikov
- W Bai
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- W Bolanowska
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- W Bolanowska
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- W Bolanowska
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- W Chlupacek
- W Cornelius
- W Dabeistein
- W Dahlig
- W Dulinski
- W Enning
- W Glatte
- W Grimme
- W Haubold
- W Haubold
- W Herz
- W Hubis
- W Jonghe De
- W Jost
- W Kabaivanov
- W Katz
- W Kern
- W Langenbeck
- W Laves
- W Linne
- W Machle
- W Meine
- W Mielenz
- W Niklowitz
- W Schlenk
- W Strohmeier
- W Strohmeier
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- W Ulrich
- W Wirth
- WA Aue
- WA Aue
- WA Aue
- WA Brown
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- WA Nugent
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- WA Partridge
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- WB Engelbrecht
- WD Good
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- WE Becker
- WE Catlin
- WE Morris
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- WF Anzilotti
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- WF Lautsch
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- WF Machle
- WF Schmidt
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- WH Charch
- WH Howell
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- WH Thomas
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- WI Throw
- WI Throw
- WI Zang
- WIL Throw
- WJ Mitchell
- WJ Niklowitz
- WJ Niklowitz
- WJ Niklowitz
- WJ Pitz
- WJ Settineri
- WL Richardson
- WL Richardson
- WL Richardson
- WL Richardson
- WL Richardson
- WL Richardson
- WL Richardson
- WN Ipatiew
- WN Ipatiew
- WN Ipatiew
- WR Law
- WR Ormandy
- WR Wade
- WRA Jonghe De
- WRA Jonghe De
- WRA Jonghe De
- WRA Jonghe De
- WRA Jonghe De
- WRA Jonghe De
- WRA Jonghe De
- WRA Jonghe De
- WRF Notten
- WS Levine
- WT Lyn
- WT Sturges
- WV Steele
- WW Parker
- WW Parker
- WW Parker
- WW Woessner
- X Liebl
- X Xiaoding
- X Xiaoding
- X Xiaoding
- Y Aleksandrov
- Y Kaneko
- Y Marumo
- Y Mayor
- Y Miah
- Y Miah
- Y Mizoi
- Y Sayato
- Y Shao
- Y Ta
- Y Ta
- Y Ta
- Y Tanaka
- Y Tanaka
- Y Tanaka
- Y Tanaka
- Y Tanaka
- Y Tanaka
- Y Tanaka
- Y Vasilenko
- Y Wakuri
- Y Yamamoto
- Y Yamamura
- Y Yamamura
- Y Yamamura
- Y Yonekawa
- YA Aleksandrov
- YA Aleksandrov
- YA Aleksandrov
- YA Aleksandrov
- YA Aleksandrov
- YA Aleksandrov
- YA Aleksandrov
- YA Aleksandrov
- YA Aleksandrov
- YA Aleksandrov
- YA Aleksandrov
- YA Aleksandrov
- YA Aleksandrov
- YA Aleksandrov
- YA Aleksandrov
- YA Aleksandrov
- YA Aleksandrov
- YA Aleksandrov
- YA Aleksandrov
- YA Aleksandrov
- YA Aleksandrov
- YA Aleksandrov
- YA Aleksandrov
- YA Aleksandrov
- YA Aleksandrov
- YA Aleksandrov
- YA Aleksandrov
- YA Aleksandrov
- YA Aleksandrov
- YA Aleksandrov
- YA Alexandrov
- YA Alexandrov
- YD Semchikov
- YK Chau
- YK Chau
- YK Chau
- YK Chau
- YK Chau
- YK Chau
- YK Chau
- YK Chau
- YK Chau
- YK Chau
- YK Chau
- YK Chau
- YK Chau
- YK Chau
- YK Chau
- YK Chau
- YK Chau
- YM Zinov’ev
- YM Zinov’ev
- YS Drugov
- YV Zhigailo
- Z Aneva
- Z Drabent
- Z Drabent
- Z Drabent
- Z Florjanczyk
- Z Forycki
- Z Karny
- Z Kowalski
- Z Kozarzewska
- Z Turlakiewicz
- Z Turlakiewicz
- Z Turlakiewicz
- Z Turlakiewicz
- Z Turlakiewicz
- ZK Lynkina
- ZM Manulkin
- ZM Manulkin
- ZM Manulkin
- ZM Manulkin
- ZV Veksler
- Publication venue
- 'Springer Science and Business Media LLC'
- Publication date
- 01/01/1989
- Field of study