Continuous Ocone martingales as weak limits of rescaled martingales.
van Zanten, Harry (2002)
Electronic Communications in Probability [electronic only]
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van Zanten, Harry (2002)
Electronic Communications in Probability [electronic only]
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Peccati, Giovanni (2004)
Electronic Communications in Probability [electronic only]
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Lester E. Dubins, Michel Émery, Marc Yor (1993)
Séminaire de probabilités de Strasbourg
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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.
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.