STRICT LOCAL MARTINGALES VIA FILTRATION ENLARGEMENT

DOI10.1142/S0219024920500016zbMath1462.60053arXiv1608.06361OpenAlexW2991163405MaRDI QIDQ5221477

Aditi Dandapani, Philip E. Protter

Publication date: 26 March 2020

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1608.06361

zbMATH Keywords

bubblesstrict local martingalesfiltration expansion

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Martingales with continuous parameter (60G44)

Related Items (1)

A risk-neutral equilibrium leading to uncertain volatility pricing

Cites Work

• Arbitrage of the first kind and filtration enlargements in semimartingale financial models
• On arbitrages arising with honest times
• Shifting martingale measures and the birth of a bubble as a submartingale
• Simple examples of pure-jump strict local martingales
• A new kind of augmentation of filtrations suitable for a change of probability measure by a strict local martingale
• On the martingale property of certain local martingales
• The strong predictable representation property in initially enlarged filtrations under the density hypothesis
• Random times and enlargements of filtrations in a Brownian setting.
• Correlations and bounds for stochastic volatility models
• No arbitrage condition for positive diffusion price processes
• Explicit form and robustness of martingale representations.
• Strict local martingales with jumps
• Local martingales, bubbles and option prices
• Filtration shrinkage, strict local martingales and the Föllmer measure
• On an Optional Semimartingale Decomposition and the Existence of a Deflator in an Enlarged Filtration
• A Mathematical Theory of Financial Bubbles
• The Economic Plausibility of Strict Local Martingales in Financial Modelling
• Enlargement of Filtration with Finance in View
• A Systematic Approach to Constructing Market Models with Arbitrage
• Strong Markov Continuous Local Martingales and Solutions of One-Dimensional Stochastic Differential Equations (Part III)
• ASSET PRICE BUBBLES IN INCOMPLETE MARKETS
• No Arbitrage and General Semimartingales
• [https://portal.mardi4nfdi.de/wiki/Publication:4170005 Calcul stochastique d�pendant d'un param�tre]
• A Simple Counterexample to Several Problems in the Theory of Asset Pricing
• Insider Trading in a Continuous Time Market Model
• Complications with stochastic volatility models
• Random times at which insiders can have free lunches
• Theory of Cryptocurrency Interest Rates
• When a Stochastic Exponential Is a True Martingale. Extension of the Beneš Method
• Ito's Integrated Formula for Strict Local Martingales with Jumps
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: STRICT LOCAL MARTINGALES VIA FILTRATION ENLARGEMENT