Piecewise constant martingales and lazy clocks

DOI10.1186/s41546-019-0036-4zbMath1444.60035arXiv1706.05404OpenAlexW2647995532WikidataQ128410909 ScholiaQ128410909MaRDI QIDQ2296122

Frédéric Vrins, Christophe Profeta

Publication date: 17 February 2020

Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1706.05404

zbMATH Keywords

subordinatormartingalelast passage timebounded martingalejump martingaletime-change process

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Brownian motion (60J65) Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Diffusion processes (60J60)

Related Items (1)

SDEs with uniform distributions: peacocks, conic martingales and mean reverting uniform diffusions

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