Krickeberg's decomposition for local martingales
Norihiko Kazamaki (1972)
Séminaire de probabilités de Strasbourg
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Displaying similar documents to “On Regression Models with Non-Square Integrable Martingale-Like Errors”
Krickeberg's decomposition for local martingales
A remark on the class of martingales with bounded quadratic variation
Norihiko Kazamaki (1989)
Séminaire de probabilités de Strasbourg
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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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Weighted norm inequalities for martingales
Masataka Izumisawa, T. Sekiguchi (1979)
Séminaire de probabilités de Strasbourg
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Examples on local martingales
Norihiko Kazamaki (1972)
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.