Quasimartingales, martingales locales, semimartingales et filtration naturelle

DOI10.1007/BF01844872zbMATH Open0362.60069MaRDI QIDQ4136294FDOQ4136294

Ch. Stricker

Publication date: 1977

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Cites Work

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• On the existence and unicity of solutions of stochastic integral equations
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Cited In (38)

• Semimartingales and Markov processes
• Study of a filtration expanded to include an honest time
• Financial asset price bubbles under model uncertainty
• Sentiment lost: the effect of projecting the pricing kernel onto a smaller filtration set
• Bridges with random length: gamma case
• The Mean-Variance Hedging of a Defaultable Option with Partial Information
• Semimartingales gaussiennes — application au probleme de l'innovation
• Optimal consumption problems in discontinuous markets
• Market viability and martingale measures under partial information
• Sur un théorème de H.J. Engelbert et J. Hess
• Title not available (Why is that?)
• Information, no-arbitrage and completeness for asset price models with a change point
• Stochastic processes with penetrable boundaries
• Nouveaux résultats sur le grossissement des tribus
• New challenges in the interplay between finance and insurance. Abstracts from the workshop held October 1--6, 2023
• Riemann-integration and a new proof of the Bichteler-Dellacherie theorem
• Comportement des semi-martingales dans un grossissement de filtration
• Quasi-martingales with a linearly ordered index set
• A framework for the dynamic programming principle and martingale-generated control correspondences
• Gaussian moving averages, semimartingales and option pricing.
• Filtration shrinkage, the structure of deflators, and failure of market completeness
• A note on stochastic integrators
• INEFFICIENT BUBBLES AND EFFICIENT DRAWDOWNS IN FINANCIAL MARKETS
• When is a stochastic integral a time change of a diffusion?
• Progressive enlargement of filtrations with initial times
• An enlargement of filtration formula with applications to multiple non-ordered default times
• Change of filtrations and mean–variance hedging
• Stochastic integrals and two filtrations
• ? p stability of solutions of stochastic differential equations
• On the semimartingale representation of reflecting Brownian motion in a cusp
• ? p stability of solutions of stochastic differential equations
• Calcul stochastique d�pendant d'un param�tre
• Weak and strong solutions of stochastic differential equations
• Optional projection under equivalent local martingale measures
• Semimartingales and shrinkage of filtration
• Reverse time diffusions
• Title not available (Why is that?)
• THE MEANING OF MARKET EFFICIENCY

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