On processes with conditional independent increments and stable convergence in law
Jean Jacod (2002)
Séminaire de probabilités de Strasbourg
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Jean Jacod (2002)
Séminaire de probabilités de Strasbourg
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Christophe Stricker, Jia-An Yan (1998)
Séminaire de probabilités de Strasbourg
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Darrell Duffie (1985)
Séminaire de probabilités de Strasbourg
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Ludger Overbeck (1995)
Séminaire de probabilités de Strasbourg
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Norihiko Kazamaki (1989)
Séminaire de probabilités de Strasbourg
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Jean Jacod (1997)
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....
Norihiko Kazamaki (1978)
Séminaire de probabilités de Strasbourg
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Jan Hannig (2002)
Séminaire de probabilités de Strasbourg
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