A maximal inequality for martingale local times
Saul D. Jacka (1987)
Séminaire de probabilités de Strasbourg
Similarity:
Saul D. Jacka (1987)
Séminaire de probabilités de Strasbourg
Similarity:
Michael J. Sharpe (1980)
Séminaire de probabilités de Strasbourg
Similarity:
Bernhard Rauscher (1997)
Séminaire de probabilités de Strasbourg
Similarity:
Norihiko Kazamaki (1989)
Séminaire de probabilités de Strasbourg
Similarity:
Hans Föllmer, Philip Protter (2011)
ESAIM: Probability and Statistics
Similarity:
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.