Quasimartingales, martingales locales, semimartingales et filtration naturelle
From MaRDI portal
Publication:4136294
Cites work
- scientific article; zbMATH DE number 3502517 (Why is no real title available?)
- scientific article; zbMATH DE number 3540164 (Why is no real title available?)
- scientific article; zbMATH DE number 3583004 (Why is no real title available?)
- scientific article; zbMATH DE number 3366237 (Why is no real title available?)
- Martingales and stochastic integrals. I
- On the existence and unicity of solutions of stochastic integral equations
- Quasi-Martingales.
Cited in
(38)- The meaning of market efficiency
- On the semimartingale representation of reflecting Brownian motion in a cusp
- Inefficient bubbles and efficient drawdowns in financial markets
- Progressive enlargement of filtrations with initial times
- A framework for the dynamic programming principle and martingale-generated control correspondences
- scientific article; zbMATH DE number 3664110 (Why is no real title available?)
- When is a stochastic integral a time change of a diffusion?
- An enlargement of filtration formula with applications to multiple non-ordered default times
- Riemann-integration and a new proof of the Bichteler-Dellacherie theorem
- New challenges in the interplay between finance and insurance. Abstracts from the workshop held October 1--6, 2023
- Comportement des semi-martingales dans un grossissement de filtration
- Change of filtrations and mean–variance hedging
- Financial asset price bubbles under model uncertainty
- Information, no-arbitrage and completeness for asset price models with a change point
- Stochastic integrals and two filtrations
- A note on stochastic integrators
- Market viability and martingale measures under partial information
- Bridges with random length: gamma case
- Sentiment lost: the effect of projecting the pricing kernel onto a smaller filtration set
- ? p stability of solutions of stochastic differential equations
- Filtration shrinkage, the structure of deflators, and failure of market completeness
- Reverse time diffusions
- ? p stability of solutions of stochastic differential equations
- Semimartingales and Markov processes
- The Mean-Variance Hedging of a Defaultable Option with Partial Information
- Optimal consumption problems in discontinuous markets
- Weak and strong solutions of stochastic differential equations
- Optional projection under equivalent local martingale measures
- Stochastic processes with penetrable boundaries
- Quasi-martingales with a linearly ordered index set
- Semimartingales gaussiennes — application au probleme de l'innovation
- Semimartingales and shrinkage of filtration
- Calcul stochastique d�pendant d'un param�tre
- Nouveaux résultats sur le grossissement des tribus
- scientific article; zbMATH DE number 3768713 (Why is no real title available?)
- Study of a filtration expanded to include an honest time
- Gaussian moving averages, semimartingales and option pricing.
- Sur un théorème de H.J. Engelbert et J. Hess
This page was built for publication: Quasimartingales, martingales locales, semimartingales et filtration naturelle
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4136294)
