Hiding a drift

DOI10.1214/09-AOP469zbMath1193.60073arXiv0802.1152OpenAlexW3104945783MaRDI QIDQ971947

Miklós Rásonyi, Richard Warnung, Walter Schachermayer

Publication date: 17 May 2010

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0802.1152

zbMATH Keywords

Brownian motion with driftenlargement of filtrationstochastic integralLévy transform

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Foundations of stochastic processes (60G05)

Related Items (2)

Hiding a constant drift -- a strong solution ⋮ Hiding a constant drift

Cites Work

• Correlation and the pricing of risks
• Optimal Stopping Rules
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