A remark on the class of martingales with bounded quadratic variation
Norihiko Kazamaki (1989)
Séminaire de probabilités de Strasbourg
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Norihiko Kazamaki (1989)
Séminaire de probabilités de Strasbourg
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Takeshi Sekiguchi (1976)
Séminaire de probabilités de Strasbourg
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Norihiko Kazamaki (1972)
Séminaire de probabilités de Strasbourg
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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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Norihiko Kazamaki (1978)
Séminaire de probabilités de Strasbourg
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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....
Masataka Izumisawa, T. Sekiguchi (1979)
Séminaire de probabilités de Strasbourg
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F. Utzet (1985)
Annales scientifiques de l'Université de Clermont-Ferrand 2. Série Probabilités et applications
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