In discrete time a local martingale is a martingale under an equivalent probability measure
- Yuri Kabanov
DOIAbstract
Martingale, Generalized martingale, Dalang–Morton–Willinger theorem, Krein–S̆mulian theorem, Free lunch, 60G42, G10,
Martingale, Generalized martingale, Dalang–Morton–Willinger theorem, Krein–S̆mulian theorem, Free lunch, 60G42, G10,
In this note we develop the theory of stochastic integration w.r.t. continuous local martingales usi...
A functional central limit theorem for a local square integrable martingale with persistent disconti...
We show that a continuous local martingale is a strict local martingale if its supremum process is n...
For any discrete-time P-local martingale S there exists a probability measure Q similar to P such th...
This note proves the existence of a solution to a certain martingale problem and relates the martin-...
The martingale property in the context of stochastic differential equations Johannes Ruf* This note ...
The stochastic exponential Zt=expMt−M0−(12)MMt of a continuous local martingale M is itself a conti...
An elementary approach to naturality, predictability, and the fundamental theorem of local Martingal...
The stochastic exponential $Z_t=\exp\{M_t-M_0-(1/2) _t\}$ of a continuous local martingale $M$ is it...
For a wide class of local martingales (M-t) there is a default function, which is not identically ze...
We prove the max-martingale conjecture given in recent article with Marc Yor. We show that for a con...
Many results in stochastic analysis and mathematical finance involve local martingales. However, spe...
AbstractThis paper provides a novel proof for the sufficiency of certain well-known criteria that gu...
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...
In this note we develop the theory of stochastic integration w.r.t. continuous local martingales usi...
A functional central limit theorem for a local square integrable martingale with persistent disconti...
We show that a continuous local martingale is a strict local martingale if its supremum process is n...
For any discrete-time P-local martingale S there exists a probability measure Q similar to P such th...
This note proves the existence of a solution to a certain martingale problem and relates the martin-...
The martingale property in the context of stochastic differential equations Johannes Ruf* This note ...
The stochastic exponential Zt=expMt−M0−(12)MMt of a continuous local martingale M is itself a conti...
An elementary approach to naturality, predictability, and the fundamental theorem of local Martingal...
The stochastic exponential $Z_t=\exp\{M_t-M_0-(1/2) _t\}$ of a continuous local martingale $M$ is it...
For a wide class of local martingales (M-t) there is a default function, which is not identically ze...
We prove the max-martingale conjecture given in recent article with Marc Yor. We show that for a con...
Many results in stochastic analysis and mathematical finance involve local martingales. However, spe...
AbstractThis paper provides a novel proof for the sufficiency of certain well-known criteria that gu...
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...
In this note we develop the theory of stochastic integration w.r.t. continuous local martingales usi...
A functional central limit theorem for a local square integrable martingale with persistent disconti...
We show that a continuous local martingale is a strict local martingale if its supremum process is n...
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