Conditioned martingales

DOI10.1214/ECP.v17-1955zbMath1266.60082arXiv1203.2587OpenAlexW3037257595MaRDI QIDQ456281

Johannes Ruf, Nicolas Perkowski

Publication date: 23 October 2012

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1203.2587

zbMATH Keywords

diffusionBessel processchange of measurelocal martingaleDoob's \(H\)-transformdownward conditioningnullsetupward conditioning

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Diffusion processes (60J60) Stochastic analysis (60H99)

Related Items (6)

Distribution of the time to explosion for one-dimensional diffusions ⋮ Path transformations for local times of one-dimensional diffusions ⋮ Transient one-dimensional diffusions conditioned to converge to a different limit point ⋮ On the hedging of options on exploding exchange rates ⋮ Supermartingales as Radon-Nikodym densities and related measure extensions ⋮ Uniform convergence of conditional distributions for absorbed one-dimensional diffusions

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