The existence of dominating local martingale measures (Q889615): Difference between revisions

@@ Property / cites work @@
+Arbitrage of the first kind and filtration enlargements in semimartingale financial models
+Normal rank
@@ Property / cites work @@
+Arbitrages in a Progressive Enlargement Setting
@@ Property / cites work: Arbitrages in a Progressive Enlargement Setting / rank @@
+Normal rank
@@ Property / cites work @@
+Additional logarithmic utility of an insider
@@ Property / cites work: Additional logarithmic utility of an insider / rank @@
+Normal rank
@@ Property / cites work @@
+Martingale representation theorems for initially enlarged filtrations.
+Normal rank
@@ Property / cites work @@
+Q3562499
@@ Property / cites work: Q3562499 / rank @@
+Normal rank
@@ Property / cites work @@
+The Shannon information of filtrations and the additional logarithmic utility of insiders
+Normal rank
@@ Property / cites work @@
+Enlargement of Filtrations and Continuous Girsanov-Type Embeddings
+Normal rank
@@ Property / cites work @@
+The numeraire portfolio for unbounded semimartingale
+Normal rank
@@ Property / cites work @@
+Q4938954
@@ Property / cites work: Q4938954 / rank @@
+Normal rank
@@ Property / cites work @@
+On the hedging of options on exploding exchange rates
+Normal rank
@@ Property / cites work @@
+Utility maximization in incomplete markets with random endowment
+Normal rank
@@ Property / cites work @@
+A general version of the fundamental theorem of asset pricing
+Normal rank
@@ Property / cites work @@
+Arbitrage possibilities in Bessel processes and their relations to local martingales
+Normal rank
@@ Property / cites work @@
+The existence of absolutely continuous local martingale measures
+Normal rank
@@ Property / cites work @@
+Q3957683
@@ Property / cites work: Q3957683 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3721531
@@ Property / cites work: Q3721531 / rank @@
+Normal rank
@@ Property / cites work @@
+The exit measure of a supermartingale
@@ Property / cites work: The exit measure of a supermartingale / rank @@
+Normal rank
@@ Property / cites work @@
+Robust projections in the class of martingale measures
+Normal rank
@@ Property / cites work @@
+Anticipation cancelled by a Girsanov transformation: A paradox on Wiener space
+Normal rank
@@ Property / cites work @@
+Optional decompositions under constraints
@@ Property / cites work: Optional decompositions under constraints / rank @@
+Normal rank
@@ Property / cites work @@
+Martingales and arbitrage in multiperiod securities markets
+Normal rank
@@ Property / cites work @@
+Martingales and stochastic integrals in the theory of continuous trading
+Normal rank
@@ Property / cites work @@
+Free lunch and arbitrage possibilities in a financial market model with an insider.
+Normal rank
@@ Property / cites work @@
+Calcul stochastique et problèmes de martingales
@@ Property / cites work: Calcul stochastique et problèmes de martingales / rank @@
+Normal rank
@@ Property / cites work @@
+Q3684922
@@ Property / cites work: Q3684922 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4778955
@@ Property / cites work: Q4778955 / rank @@
+Normal rank
@@ Property / cites work @@
+ASSET PRICE BUBBLES IN INCOMPLETE MARKETS
@@ Property / cites work: ASSET PRICE BUBBLES IN INCOMPLETE MARKETS / rank @@
+Normal rank
@@ Property / cites work @@
+The numéraire portfolio in semimartingale financial models
+Normal rank
@@ Property / cites work @@
+Martingale and Duality Methods for Utility Maximization in an Incomplete Market
+Normal rank
@@ Property / cites work @@
+Optimal consumption from investment and random endowment in incomplete semimartingale markets.
+Normal rank
@@ Property / cites work @@
+Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing
+Normal rank
@@ Property / cites work @@
+Market viability via absence of arbitrage of the first kind
+Normal rank
@@ Property / cites work @@
+Strict local martingales and bubbles
@@ Property / cites work: Strict local martingales and bubbles / rank @@
+Normal rank
@@ Property / cites work @@
+On the semimartingale property of discounted asset-price processes
+Normal rank
@@ Property / cites work @@
+The asymptotic elasticity of utility functions and optimal investment in incomplete markets
+Normal rank
@@ Property / cites work @@
+Q3880012
@@ Property / cites work: Q3880012 / rank @@
+Normal rank
@@ Property / cites work @@
+Stability of utility-maximization in incomplete markets
+Normal rank
@@ Property / cites work @@
+Local martingales, arbitrage, and viability. Free snacks and cheap thrills
+Normal rank
@@ Property / cites work @@
+Analysis of continuous strict local martingales via \(h\)-transforms
+Normal rank
@@ Property / cites work @@
+Q5533878
@@ Property / cites work: Q5533878 / rank @@
+Normal rank
@@ Property / cites work @@
+Supermartingales as Radon-Nikodym densities and related measure extensions
+Normal rank
@@ Property / cites work @@
+Q4435813
@@ Property / cites work: Q4435813 / rank @@
+Normal rank
@@ Property / cites work @@
+On the existence of an equivalent supermartingale density for a fork-convex family of stochastic processes
+Normal rank
@@ Property / cites work @@
+HEDGING UNDER ARBITRAGE
@@ Property / cites work: HEDGING UNDER ARBITRAGE / rank @@
+Normal rank
@@ Property / cites work @@
+On the minimal martingale measure and the möllmer-schweizer decomposition
+Normal rank
@@ Property / cites work @@
+A note on the condition of no unbounded profit with bounded risk
+Normal rank
@@ Property / cites work @@
+Q3999048
@@ Property / cites work: Q3999048 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3866824
@@ Property / cites work: Q3866824 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4721322
@@ Property / cites work: Q4721322 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4172715
@@ Property / cites work: Q4172715 / rank @@
+Normal rank
@@ Property / cites work @@
+A filtered version of the bipolar theorem of Brannath and Schachermayer
+Normal rank
@@ Property / cites work @@
+Convex compactness and its applications
@@ Property / cites work: Convex compactness and its applications / rank @@
+Normal rank