La martingale d’Azéma

DOI10.1007/978-3-030-28535-7_5zbMath1452.60026OpenAlexW2953688976MaRDI QIDQ5126523

Catherine Rainer

Publication date: 20 October 2020

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

Full work available at URL: https://doi.org/10.1007/978-3-030-28535-7_5

zbMATH Keywords

Azéma's martingale

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44)

Cites Work

• The chaotic representation property of compensated-covariation stable families of martingales
• Filtered Azéma martingales
• An invariance principle for Azéma martingales
• Complete markets with discontinuous security price
• Modeling credit risk with partial information.
• Chaotic representation property of certain Azéma martingales
• The chaotic-representation property for a class of normal martingales
• Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives
• Anticipating stratonovich integral with respect to the Azema's martingales
• Backward stochastic differential equations with Azéma's martingale
• On a Continuous-Time Game with Incomplete Information
• Enlargement of Filtration with Finance in View
• The Homogeneous Chaos
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