Some invariance properties (of the laws) of Ocone's martingales
Lioudmilla Vostrikova, Marc Yor (2000)
Séminaire de probabilités de Strasbourg
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Displaying similar documents to “On extremal solutions of martingale problems”
Some invariance properties (of the laws) of Ocone's martingales
Continuous Ocone martingales as weak limits of rescaled martingales.
van Zanten, Harry (2002)
Electronic Communications in Probability [electronic only]
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On the Lévy transformation of brownian motions and continuous martingales
Lester E. Dubins, Michel Émery, Marc Yor (1993)
Séminaire de probabilités de Strasbourg
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Weak convergence to Ocone martingales: a remark.
Peccati, Giovanni (2004)
Electronic Communications in Probability [electronic only]
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The maximum maximum of a martingale
David G. Hobson (1998)
Séminaire de probabilités de Strasbourg
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Local times and singularities of continuous local martingales
Michael J. Sharpe (1980)
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.