A complete characterization of local martingales which are functions of Brownian motion and its maximum
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Publication:2642799
DOI10.3150/bj/1165269146zbMath1130.60050arXivmath/0504462OpenAlexW2953290461MaRDI QIDQ2642799
Publication date: 5 September 2007
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0504462
Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)
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