Conic martingales from stochastic integrals
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Publication:4642730
DOI10.1111/mafi.12147zbMath1390.60161arXiv1603.07488MaRDI QIDQ4642730
Frédéric Vrins, Monique Jeanblanc-Picqué
Publication date: 25 May 2018
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1603.07488
stochastic differential equation; diffusion process; bounded martingale; stochastic survival probability
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60G44: Martingales with continuous parameter