Faking Brownian motion with continuous Markov martingales
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Publication:6181521
DOI10.1007/s00780-023-00526-warXiv2109.12927OpenAlexW3202891025MaRDI QIDQ6181521
Walter Schachermayer, Mathias Beiglböck, Gudmund Pammer, George Lowther
Publication date: 2 January 2024
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2109.12927
Martingales with continuous parameter (60G44) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Portfolio theory (91G10)
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