Hiding a constant drift -- a strong solution

MaRDI QIDQ1928887zbMATH OpenFDO

Authors Vilmos Prokaj, Walter Schachermayer

Publication date 4 January 2013

Published in Illinois Journal of Mathematics (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.ijm/1348505537

Mathematics Subject Classification ID

Foundations of stochastic processes (60G05) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65)

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Cited in

(4)

• Filtration shrinkage, the structure of deflators, and failure of market completeness
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• Hiding a constant drift
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