A canonical setting and separating times for continuous local martingales

DOI10.1016/j.spa.2008.05.003zbMath1178.60033OpenAlexW2003792001MaRDI QIDQ1016604

J. Martínez

Publication date: 6 May 2009

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2008.05.003

zbMATH Keywords

Brownian motionseparating timescontinuous local martingalescanonical settingDambis--Dubins--Schwarz theorempure continuous local martingales

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Generalizations of martingales (60G48) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Continuity and singularity of induced measures (60G30)

Related Items (1)

A strong duality principle for equivalence couplings and total variation

Cites Work

• On solutions of one-dimensional stochastic differential equations without drift
• Strong Markov Continuous Local Martingales and Solutions of One-Dimensional Stochastic Differential Equations (Part II)
• Strong Markov Continuous Local Martingales and Solutions of One-Dimensional Stochastic Differential Equations (Part III)
• On a generalization of the theorem of p. levy
• Integral representation with respect to stopped continuous local martingales
• Stochastic Integrals of Continuous Local Martingales, I
• Stochastic Integrals of Continuous Local Martingales, II
• Separating Times for Measures on Filtered Spaces
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