STRICT LOCAL MARTINGALES VIA FILTRATION ENLARGEMENT

DOI10.1142/S0219024920500016zbMath1462.60053arXiv1608.06361OpenAlexW2991163405MaRDI QIDQ5221477

Aditi Dandapani, Philip E. Protter

Publication date: 26 March 2020

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1608.06361

zbMATH Keywords

bubblesstrict local martingalesfiltration expansion

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Martingales with continuous parameter (60G44)

Related Items (1)

A risk-neutral equilibrium leading to uncertain volatility pricing

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