Stochastic differential equations with feedback in the differentials
Semimartingales and measure preserving flows
Une remarque sur les équations différentielles stochastiques à solutions markoviennes
Quelques remarques sur un nouveau type d'équations différentielles stochastiques
A remark on stochastic integration
Local martingales and filtration shrinkage
A general theory is developed for the projection of martingale related processes onto smaller filtrations, to which they are not even adapted. Martingales, supermartingales, and semimartingales retain their nature, but the case of local martingales is more delicate, as illustrated by an explicit case study for the inverse Bessel process. This has implications for the concept of No Free Lunch with Vanishing Risk, in Finance.
Local martingales and filtration shrinkage
A general theory is developed for the projection of martingale related processes onto smaller filtrations, to which they are not even adapted. Martingales, supermartingales, and semimartingales retain their nature, but the case of local martingales is more delicate, as illustrated by an explicit case study for the inverse Bessel process. This has implications for the concept of No Free Lunch with Vanishing Risk, in Finance.
On convergence of semimartingales
An equation involving local time
Stratonovich stochastic differential equations driven by general semimartingales
The approximate Euler method for Lévy driven stochastic differential equations
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