Conic martingales from stochastic integrals

DOI10.1111/mafi.12147zbMath1390.60161arXiv1603.07488OpenAlexW2311687764MaRDI QIDQ4642730

Frédéric Vrins, Monique Jeanblanc-Picqué

Publication date: 25 May 2018

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1603.07488

zbMATH Keywords

stochastic differential equationdiffusion processbounded martingalestochastic survival probability

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44)

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