On the loss of the semimartingale property at the hitting time of a level

DOI10.1007/s10959-013-0527-7zbMath1328.60114arXiv1304.1377OpenAlexW2056783347MaRDI QIDQ895896

Aleksandar Mijatović, Mikhail A. Urusov

Publication date: 7 December 2015

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1304.1377

zbMATH Keywords

stopping timelocal timecontinuous semimartingaleadditive functionalone-dimensional diffusion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalizations of martingales (60G48) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Local time and additive functionals (60J55)

Related Items

Trading strategies generated by Lyapunov functions ⋮ On infinitely divisible semimartingales

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Calcul stochastique et problèmes de martingales
• On the martingale property of certain local martingales
• Convergence of integral functionals of one-dimensional diffusions
• Semi-martingales et grossissement d'une filtration
• Singular stochastic differential equations.
• Martingales on random sets and the strong martingale property
• Strong Markov Continuous Local Martingales and Solutions of One-Dimensional Stochastic Differential Equations (Part III)
• Strong Markov Continuous Local Martingales and Solutions of One-Dimensional Stochastic Differential Equations (Part I)
• Semimartingales and Markov processes
• Martingales Locales sur un Ouvert Droit Optionnel^†

This page was built for publication: On the loss of the semimartingale property at the hitting time of a level