On a non symmetric operation for two-parameter martingales
F. Utzet (1985)
Annales scientifiques de l'Université de Clermont-Ferrand 2. Série Probabilités et applications
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F. Utzet (1985)
Annales scientifiques de l'Université de Clermont-Ferrand 2. Série Probabilités et applications
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Takeshi Sekiguchi (1976)
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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Norihiko Kazamaki (1989)
Séminaire de probabilités de Strasbourg
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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.
Norihiko Kazamaki (1972)
Séminaire de probabilités de Strasbourg
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Masataka Izumisawa, T. Sekiguchi (1979)
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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Jan Hannig (2002)
Séminaire de probabilités de Strasbourg
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