Add to ORKGThe martingale property in the context of stochastic differential equations Johannes Ruf* This note studies the martingale property of a nonnegative, continuous local martin-gale Z, given as a nonanticipative functional of a solution to a stochastic differential equation. The condition states that Z is a (uniformly integrable) martingale if and only if an integral test of a related functional holds
In this dissertation we explore aspects of Itô's formula and the Martingale Representation Theorem w...
For any finite family X of square-integrable random variables adapted to a given filtration, we cons...
The paper presents necessary and sufficient conditions for the absolute continuity of measures gener...
The martingale property in the context of stochastic differential equations Johannes Ruf* This note ...
This note studies the martingale property of a nonnegative, continuous local martingale Z, given as ...
The stochastic exponential Zt=expMt−M0−(12)MMt of a continuous local martingale M is itself a conti...
The stochastic exponential $Z_t=\exp\{M_t-M_0-(1/2) _t\}$ of a continuous local martingale $M$ is it...
Abstract. For a real Borel measurable function b, which satisfies certain integrability conditions, ...
For a real Borel measurable function b, which satisfies certain integrability conditions, it is poss...
Let X be a progressively measurable, almost surely right-continuous stochastic process such that Xτ ...
AbstractWe prove that all W∞-continuous martingales can be represented as stochastic integrals of sm...
We present a necessary and sufficient condition for a stochastic exponential to be a true martingale...
Let Q and P be equivalent probability measures and let ψ be a J-dimensional vector of random variabl...
Recently, van Neerven, Weis and the author, constructed a theory for stochastic integration of UMD B...
AbstractThis paper provides a novel proof for the sufficiency of certain well-known criteria that gu...
In this dissertation we explore aspects of Itô's formula and the Martingale Representation Theorem w...
For any finite family X of square-integrable random variables adapted to a given filtration, we cons...
The paper presents necessary and sufficient conditions for the absolute continuity of measures gener...
The martingale property in the context of stochastic differential equations Johannes Ruf* This note ...
This note studies the martingale property of a nonnegative, continuous local martingale Z, given as ...
The stochastic exponential Zt=expMt−M0−(12)MMt of a continuous local martingale M is itself a conti...
The stochastic exponential $Z_t=\exp\{M_t-M_0-(1/2) _t\}$ of a continuous local martingale $M$ is it...
Abstract. For a real Borel measurable function b, which satisfies certain integrability conditions, ...
For a real Borel measurable function b, which satisfies certain integrability conditions, it is poss...
Let X be a progressively measurable, almost surely right-continuous stochastic process such that Xτ ...
AbstractWe prove that all W∞-continuous martingales can be represented as stochastic integrals of sm...
We present a necessary and sufficient condition for a stochastic exponential to be a true martingale...
Let Q and P be equivalent probability measures and let ψ be a J-dimensional vector of random variabl...
Recently, van Neerven, Weis and the author, constructed a theory for stochastic integration of UMD B...
AbstractThis paper provides a novel proof for the sufficiency of certain well-known criteria that gu...
In this dissertation we explore aspects of Itô's formula and the Martingale Representation Theorem w...
For any finite family X of square-integrable random variables adapted to a given filtration, we cons...
The paper presents necessary and sufficient conditions for the absolute continuity of measures gener...