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 martingale 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...
Abstract. Recently, van Neerven, Weis and the author, constructed a the-ory for stochastic integrati...
In this note we develop the theory of stochastic integration w.r.t. continuous local martingales usi...
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 ...
We present a necessary and sufficient condition for a stochastic exponential to be a true martingale...
AbstractWe prove that all W∞-continuous martingales can be represented as stochastic integrals of sm...
Recently, van Neerven, Weis and the author, constructed a theory for stochastic integration of UMD B...
Many results in stochastic analysis and mathematical finance involve local martingales. However, spe...
Let Q and P be equivalent probability measures and let ψ be a J-dimensional vector of random variabl...
In this dissertation we explore aspects of Itô's formula and the Martingale Representation Theorem w...
Abstract. Recently, van Neerven, Weis and the author, constructed a the-ory for stochastic integrati...
In this note we develop the theory of stochastic integration w.r.t. continuous local martingales usi...
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 ...
We present a necessary and sufficient condition for a stochastic exponential to be a true martingale...
AbstractWe prove that all W∞-continuous martingales can be represented as stochastic integrals of sm...
Recently, van Neerven, Weis and the author, constructed a theory for stochastic integration of UMD B...
Many results in stochastic analysis and mathematical finance involve local martingales. However, spe...
Let Q and P be equivalent probability measures and let ψ be a J-dimensional vector of random variabl...
In this dissertation we explore aspects of Itô's formula and the Martingale Representation Theorem w...
Abstract. Recently, van Neerven, Weis and the author, constructed a the-ory for stochastic integrati...
In this note we develop the theory of stochastic integration w.r.t. continuous local martingales usi...