On the Decomposition of Continuous Submartingales

Cited in

(43)

Étude asymptotique de certains mouvements browniens complexes avec drift
Random time change and an integral representation for marked stopping times
Some time change representations of stable integrals, via predictable transformations of local martingales
Stochastic integral representation of some martingales
Upper and lower functions of plane Brownian angles
Forecasting point and continuous processes: Prequential analysis
The law of iterated logarithm for one winding functional
Financial options and statistical prediction intervals
Variance swaps on time-changed Lévy processes
Embedding and asymptotic expansions for martingales
On stochastic control for time changed Lévy dynamics
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
On the equivalence of \(q\)-martingales and locally \(L^ p\)-integrable martingales
Some remarks on local martingales
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
Variation and share-weighted variation swaps on time-changed Lévy processes
On extremal solutions of martingale problems
Potential Processes
On a Solvable Diffusion with Time Dependent “Killing”
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
Changes of time, stochastic integrals, and weak martingales
On a Subclass of Square Integrable Martingales
Quadratic Variation of Potentials and Harmonic Functions
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
Central limit theorems for martingales. I: Continuous limits
Continuous-time trading and the emergence of probability
On parameter estimation of diffusion-type processes: sequential estimation revisited
Extensions of Black-Scholes processes and Benford's law

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