A transitivity property of Ocone martingales

DOI10.1016/j.spl.2022.109703OpenAlexW4304890773MaRDI QIDQ2105373

Jichen Zhang, Zeng-Jing Chen

Publication date: 8 December 2022

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2022.109703

zbMATH Keywords

stochastic integralconditional independenceDambis-Dubins-Schwarz Brownian motionOcone martingale

Mathematics Subject Classification ID

Brownian motion (60J65) Martingales with continuous parameter (60G44)

Cites Work

• Reflection principle and Ocone martingales
• The uniqueness class of continuous local martingales
• Self-dual continuous processes
• Large portfolio losses in a turbulent market
• Characterising Ocone Local Martingales with Reflections
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