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 “Local times and singularities of continuous local martingales”
A remark on the class of martingales with bounded quadratic variation
Krickeberg's decomposition for 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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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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On the true submartingale property, d'après Schachermayer
Yuri Kabanov, Christophe Stricker (2002)
Séminaire de probabilités de Strasbourg
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Local martingales and filtration shrinkage
Hans Föllmer, Philip Protter (2011)
ESAIM: Probability and Statistics
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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.