Displaying similar documents to “Martingale criteria for stochastic stability”

On compact Ito's formulas for martingales of m .

María Jolis (1990)

Publicacions Matemàtiques

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We prove that the class m of continuous martingales with parameter set [0,1], bounded in L, is included in the class of semi-martingales S (L(P)) defined by Allain in [A]. As a consequence we obtain a compact Itô's formula. Finally we relate this result with the compact Itô formula obtained by Sanz in [S] for martingales of m .

Introduction to Stopping Time in Stochastic Finance Theory

Peter Jaeger (2017)

Formalized Mathematics

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We start with the definition of stopping time according to [4], p.283. We prove, that different definitions for stopping time can coincide. We give examples of stopping time using constant-functions or functions defined with the operator max or min (defined in [6], pp.37–38). Finally we give an example with some given filtration. Stopping time is very important for stochastic finance. A stopping time is the moment, where a certain event occurs ([7], p.372) and can be used together with...