Sticky processes, local and true martingales
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Publication:1708983
DOI10.3150/17-BEJ944zbMath1429.60044arXiv1509.08280OpenAlexW3124261561MaRDI QIDQ1708983
Miklós Rásonyi, Hasanjan Sayit
Publication date: 27 March 2018
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1509.08280
Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)
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