Strict local martingales with jumps

DOI10.1016/j.spa.2014.10.018zbMath1322.60048arXiv1307.2436OpenAlexW1955940614MaRDI QIDQ2258828

Philip E. Protter

Publication date: 27 February 2015

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

Full work available at URL: https://arxiv.org/abs/1307.2436

zbMATH Keywords

strict local martingalesfiltration shrinkagecàdlàg local martingalestotally inaccessible stopping times

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Signal detection and filtering (aspects of stochastic processes) (60G35) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items

Strict local martingales: examples ⋮ Sentiment lost: the effect of projecting the pricing kernel onto a smaller filtration set ⋮ Simple examples of pure-jump strict local martingales ⋮ Backward stochastic differential equations with non-Markovian singular terminal conditions for general driver and filtration ⋮ STRICT LOCAL MARTINGALES VIA FILTRATION ENLARGEMENT ⋮ Strict local martingales and bubbles

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