Add to ORKGIn this note we develop the theory of stochastic integration w.r.t. continuous local martingales using a simple time change technique. We allow progressively measurable integrands.Local martingales time change stochastic integral
This note studies the martingale property of a nonnegative, continuous local martingale Z, given as ...
The martingale property in the context of stochastic differential equations Johannes Ruf* This note ...
In this paper we define a new type of quadratic variation for cylindrical continuous local martingal...
In this note we develop the theory of stochastic integration w.r.t. continuous local martingales usi...
AbstractIn this note we develop the theory of stochastic integration w.r.t. continuous local marting...
Abstract. For a real Borel measurable function b, which satisfies certain integrability conditions, ...
A theorem on the weak convergence of a properly normalized multivariate continuous local martingale ...
For a real Borel measurable function b, which satisfies certain integrability conditions, it is poss...
Recently, van Neerven, Weis and the author, constructed a theory for stochastic integration of UMD B...
From the predictable reduction of a marked point process to Poisson, we derive a similar reduction t...
Abstract. Recently, van Neerven, Weis and the author, constructed a the-ory for stochastic integrati...
Many results in stochastic analysis and mathematical finance involve local martingales. However, spe...
AbstractLet {Xt} be a continuous square integrable martingale. Denote its increasing (natural) proce...
AbstractFrom the predictable reduction of a marked point process to Poisson, we derive a similar red...
We propose a theory of stochastic integration with respect to a sequence of semimartingales, start...
This note studies the martingale property of a nonnegative, continuous local martingale Z, given as ...
The martingale property in the context of stochastic differential equations Johannes Ruf* This note ...
In this paper we define a new type of quadratic variation for cylindrical continuous local martingal...
In this note we develop the theory of stochastic integration w.r.t. continuous local martingales usi...
AbstractIn this note we develop the theory of stochastic integration w.r.t. continuous local marting...
Abstract. For a real Borel measurable function b, which satisfies certain integrability conditions, ...
A theorem on the weak convergence of a properly normalized multivariate continuous local martingale ...
For a real Borel measurable function b, which satisfies certain integrability conditions, it is poss...
Recently, van Neerven, Weis and the author, constructed a theory for stochastic integration of UMD B...
From the predictable reduction of a marked point process to Poisson, we derive a similar reduction t...
Abstract. Recently, van Neerven, Weis and the author, constructed a the-ory for stochastic integrati...
Many results in stochastic analysis and mathematical finance involve local martingales. However, spe...
AbstractLet {Xt} be a continuous square integrable martingale. Denote its increasing (natural) proce...
AbstractFrom the predictable reduction of a marked point process to Poisson, we derive a similar red...
We propose a theory of stochastic integration with respect to a sequence of semimartingales, start...
This note studies the martingale property of a nonnegative, continuous local martingale Z, given as ...
The martingale property in the context of stochastic differential equations Johannes Ruf* This note ...
In this paper we define a new type of quadratic variation for cylindrical continuous local martingal...