In a fully general setting, we study the relation between martingale spaces under two locally absolutely continuous probabilities and prove that the martingale represen- tation property (MRP) is always stable under locally absolutely continuous changes of probability. Our approach relies on minimal requirements, is constructive and, as shown by a simple example, enables us to study situations which cannot be covered by the existing theory
AbstractWe consider a broad class of continuous martingales whose local modulus of continuity is in ...
In this paper we explore the fundamentals of the Martingale Representation Theorem (MRT) and a close...
University of Technology, Sydney. Faculty of Business.It is becoming increasingly clear that strict ...
The paper considers a statistical concept of causality in continuous time between filtered probabili...
We study representations of a random variable $\xi$ as an integral of an adapted process with respec...
Abstract. We investigate the existence of an absolutely continuous martingale measure. For continuou...
This note studies the martingale property of a nonnegative, continuous local martingale Z, given as ...
Let X and Y be an m-dimensional F-semi-martingale and an n-dimensional H-semi-martingale, respective...
International audienceIn this paper, we obtain stability results for martingale representations in a...
AbstractIn this paper we transfer martingale representation theorems from some given filtration F to...
Let I⊆R⁺∪{0} be an arbitrary set with 0∈I; Ξ≡(Ω,F,(F_{t})_{t∈I},P) be a complete filtered probabilit...
We prove that for a so-called sticky process S there exists an equivalent probability Q and a Q-mart...
International audienceLet $\psi$ be a multi-dimensional random variable. We show that the set of pro...
AbstractIn this note we develop the theory of stochastic integration w.r.t. continuous local marting...
When the martingale representation property holds, we call any local martingale which realizes the r...
AbstractWe consider a broad class of continuous martingales whose local modulus of continuity is in ...
In this paper we explore the fundamentals of the Martingale Representation Theorem (MRT) and a close...
University of Technology, Sydney. Faculty of Business.It is becoming increasingly clear that strict ...
The paper considers a statistical concept of causality in continuous time between filtered probabili...
We study representations of a random variable $\xi$ as an integral of an adapted process with respec...
Abstract. We investigate the existence of an absolutely continuous martingale measure. For continuou...
This note studies the martingale property of a nonnegative, continuous local martingale Z, given as ...
Let X and Y be an m-dimensional F-semi-martingale and an n-dimensional H-semi-martingale, respective...
International audienceIn this paper, we obtain stability results for martingale representations in a...
AbstractIn this paper we transfer martingale representation theorems from some given filtration F to...
Let I⊆R⁺∪{0} be an arbitrary set with 0∈I; Ξ≡(Ω,F,(F_{t})_{t∈I},P) be a complete filtered probabilit...
We prove that for a so-called sticky process S there exists an equivalent probability Q and a Q-mart...
International audienceLet $\psi$ be a multi-dimensional random variable. We show that the set of pro...
AbstractIn this note we develop the theory of stochastic integration w.r.t. continuous local marting...
When the martingale representation property holds, we call any local martingale which realizes the r...
AbstractWe consider a broad class of continuous martingales whose local modulus of continuity is in ...
In this paper we explore the fundamentals of the Martingale Representation Theorem (MRT) and a close...
University of Technology, Sydney. Faculty of Business.It is becoming increasingly clear that strict ...