ON CONTINUOUS MARTINGALES

Cited in

(53)

Étude asymptotique de certains mouvements browniens complexes avec drift
Random time change and an integral representation for marked stopping times
A fundamental property of Markov processes with an application to equivalence under time changes
Some time change representations of stable integrals, via predictable transformations of local martingales
Stochastic integral representation of some martingales
Forecasting point and continuous processes: Prequential analysis
Financial options and statistical prediction intervals
Variance swaps on time-changed Lévy processes
Semi-martingale inequalities via the Garsia-Rodemich-Rumsey lemma, and applications to local times
Embedding and asymptotic expansions for martingales
Fluctuations for the bipartite Sherrington-Kirkpatrick model
On stochastic control for time changed Lévy dynamics
Interview with Andreas Daniel Matt: real-time mathematics
Limit properties of continuous self-exciting processes
Combining statistical intervals and market prices: the worst case state price distribution
A maximal inequality for fractional Brownian motions
Hedging variance options on continuous semimartingales
A bilevel programming approach to double optimal stopping
No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications
An improved test for continuous local martingales
Testing for continuous local martingales using the crossing tree
Stochastic differential equations for sticky Brownian motion
A representation theorem for smooth Brownian martingales
Multi-asset stochastic local variance contracts
On the Chacon-Jamison theorem
Continuous-time trading and the emergence of randomness
A maximal inequality for upcrossings of a continuous martingale
Application du calcul stochastique a i'etude de processus de markov reguliers sur [0,1]
Variation and share-weighted variation swaps on time-changed Lévy processes
On extremal solutions of martingale problems
Generalised arc length for brownian motion and L�vy processes
Potential Processes
SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION
ANOVA for diffusions and Itō processes
A generalized central limit conjecture for convex bodies
Stochastic sequential reduction of commutative Hamiltonians
The dependence structure of running maxima and minima: results and option pricing applications
Estimates for the diameter of a martingale
Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach
The hitting characteristics of a strong Markov process, with applications to continuous martingales in 𝑅ⁿ
On a Subclass of Square Integrable Martingales
Affine term structure models: A time‐change approach with perfect fit to market curves
The Kolmogorov Inequality for the Maximum of the Sum of Random Variables and Its Martingale Analogues
Analysis or Probability? Eight Letters Between Børge Jessen and Paul Lévy
Central limit theorems for martingales. I: Continuous limits
On the distribution of the integral of a function with respect to a Brownian bridge
Averaging theorems for slow-fast systems in \(\mathbb{Z}\)-extensions (discrete time)
Carbon neutrality and net-zero regulation
Continuous-time trading and the emergence of probability
On parameter estimation of diffusion-type processes: sequential estimation revisited
Lifted Heston model: efficient Monte Carlo simulation with large time steps
When is a stochastic integral a time change of a diffusion?
Extensions of Black-Scholes processes and Benford's law

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