A remark on the class of martingales with bounded quadratic variation
Norihiko Kazamaki (1989)
Séminaire de probabilités de Strasbourg
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Displaying similar documents to “Krickeberg's decomposition for local martingales”
A remark on the class of martingales with bounded quadratic variation
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Takeshi Sekiguchi (1976)
Séminaire de probabilités de Strasbourg
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Examples on local martingales
Norihiko Kazamaki (1972)
Séminaire de probabilités de Strasbourg
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Some remarks on the optional decomposition theorem
Christophe Stricker, Jia-An Yan (1998)
Séminaire de probabilités de Strasbourg
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Yuri Kabanov, Christophe Stricker (2002)
Séminaire de probabilités de Strasbourg
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A remark on a problem of Girsanov
Norihiko Kazamaki (1978)
Séminaire de probabilités de Strasbourg
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On Existence of Local Martingale Measures for Insiders who Can Stop at Honest Times
Jakub Zwierz (2007)
Bulletin of the Polish Academy of Sciences. Mathematics
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We consider a market with two types of agents with different levels of information. In addition to a regular agent, there is an insider whose additional knowledge consists of being able to stop at an honest time Λ. We show, using the multiplicative decomposition of the Azéma supermartingale, that if the martingale part of the price process has the predictable representation property and Λ satisfies some mild assumptions, then there is no equivalent local martingale measure for the insider....
Weighted norm inequalities for martingales
Masataka Izumisawa, T. Sekiguchi (1979)
Séminaire de probabilités de Strasbourg
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On a non symmetric operation for two-parameter martingales
F. Utzet (1985)
Annales scientifiques de l'Université de Clermont-Ferrand 2. Série Probabilités et applications
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