Separating times for one-dimensional general diffusions

DOI10.1214/25-AAP2171MaRDI QIDQ6846951zbMATH OpenFDO

Authors David Criens, Mikhail Urusov

Publication date 10 March 2026

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

Full work available at URL https://projecteuclid.org/journals/annals-of-applied-probability/volume-36/issue-1/Separating-times-for-one-dimensional-general-diffusions/10.1214/25-AAP2171.full

zbMATH Keywords

absolute continuitylocal timesspeed measureseparating timescontinuous Markov processgeneral diffusionsno-free-lunch arbitragesingle asset market

Mathematics Subject Classification ID

Diffusion processes (60J60) Financial markets (91G15) Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Applications of stochastic analysis (to PDEs, etc.) (60H30) Local time and additive functionals (60J55) Stochastic models in economics (91B70) Financial applications of other theories (91G80) Continuity and singularity of induced measures (60G30)

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