Add to ORKGItô’s integrated formula for strict local martingales with jumps. Oleksandr Chybiryakov∗ This note presents some properties of positive càdlàg local martingales which are not martingales- strict local martingales- extending the results from [MY05] to local mar-tingales with jumps. Some new examples of strict local martingales are given. The con-struction relies on absolute continuity relationships between Dunkl processes and absolute continuity relationships between semi-stable Markov processes
A functional central limit theorem for a local square integrable martingale with persistent disconti...
In this paper we study the relation between different quadratic variations associated with a two-par...
This note studies the martingale property of a nonnegative, continuous local martingale Z, given as ...
Many results in stochastic analysis and mathematical finance involve local martingales. However, spe...
We show that a continuous local martingale is a strict local martingale if its supremum process is n...
For a wide class of local martingales (M-t) there is a default function, which is not identically ze...
We show that a continuous local martingale is a strict local martingale if its supremum process is n...
For a one-dimensional continuous strong Markov process Y we present an explicit construction of a co...
We establish a local martingale M associate with (X,Y) where X is a sufficiently nice Markov process...
The stochastic exponential Zt=expMt−M0−(12)MMt of a continuous local martingale M is itself a conti...
AbstractThis paper provides a novel proof for the sufficiency of certain well-known criteria that gu...
AbstractSet-indexed local martingales are defined and studied. We present some optional sampling the...
AbstractWe study strict local martingales via h-transforms, a method which first appeared in work by...
We consider implied volatilities in asset pricing models, where the discounted underlying is a stric...
The stochastic exponential $Z_t=\exp\{M_t-M_0-(1/2) _t\}$ of a continuous local martingale $M$ is it...
A functional central limit theorem for a local square integrable martingale with persistent disconti...
In this paper we study the relation between different quadratic variations associated with a two-par...
This note studies the martingale property of a nonnegative, continuous local martingale Z, given as ...
Many results in stochastic analysis and mathematical finance involve local martingales. However, spe...
We show that a continuous local martingale is a strict local martingale if its supremum process is n...
For a wide class of local martingales (M-t) there is a default function, which is not identically ze...
We show that a continuous local martingale is a strict local martingale if its supremum process is n...
For a one-dimensional continuous strong Markov process Y we present an explicit construction of a co...
We establish a local martingale M associate with (X,Y) where X is a sufficiently nice Markov process...
The stochastic exponential Zt=expMt−M0−(12)MMt of a continuous local martingale M is itself a conti...
AbstractThis paper provides a novel proof for the sufficiency of certain well-known criteria that gu...
AbstractSet-indexed local martingales are defined and studied. We present some optional sampling the...
AbstractWe study strict local martingales via h-transforms, a method which first appeared in work by...
We consider implied volatilities in asset pricing models, where the discounted underlying is a stric...
The stochastic exponential $Z_t=\exp\{M_t-M_0-(1/2) _t\}$ of a continuous local martingale $M$ is it...
A functional central limit theorem for a local square integrable martingale with persistent disconti...
In this paper we study the relation between different quadratic variations associated with a two-par...
This note studies the martingale property of a nonnegative, continuous local martingale Z, given as ...