Characterising Ocone Local Martingales with Reflections

DOI10.1007/978-3-319-00321-4_6zbMath1311.60048arXiv1208.0111OpenAlexW1501494786MaRDI QIDQ2865106

Christophe Leuridan, Jean Brossard

Publication date: 28 November 2013

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1208.0111

zbMATH Keywords

Brownian motionquadratic variationreflection principleconditionally Gaussian martingaleindependent time-changeOcone local martingales

Mathematics Subject Classification ID

Gaussian processes (60G15) Brownian motion (60J65) Martingales with continuous parameter (60G44)

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