A simple proof of a theorem of Blackwell and Dubins on the maximum of a uniformly integrable martingale
David Gilat, Isaac Meilijson (1988)
Séminaire de probabilités de Strasbourg
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David Gilat, Isaac Meilijson (1988)
Séminaire de probabilités de Strasbourg
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Nikos E. Frangos, Peter Imkeller (1988)
Annales de l'I.H.P. Probabilités et statistiques
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F. Utzet (1985)
Annales scientifiques de l'Université de Clermont-Ferrand 2. Série Probabilités et applications
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Masataka Izumisawa, T. Sekiguchi (1979)
Séminaire de probabilités de Strasbourg
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Takeshi Sekiguchi (1976)
Séminaire de probabilités de Strasbourg
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Norihiko Kazamaki (1978)
Séminaire de probabilités de Strasbourg
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Norihiko Kazamaki (1972)
Séminaire de probabilités de Strasbourg
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Freddy Delbaen, Walter Schachermayer (1997)
Annales de l'I.H.P. Probabilités et statistiques
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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....
Francis Hirsch, Bernard Roynette (2012)
ESAIM: Probability and Statistics
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In this paper, we present a new proof of the celebrated theorem of Kellerer, stating that every integrable process, which increases in the convex order, has the same one-dimensional marginals as a martingale. Our proof proceeds by approximations, and calls upon martingales constructed as solutions of stochastic differential equations. It relies on a uniqueness result, due to Pierre, for a Fokker-Planck equation.