Hermite martingales
Hiding a constant drift
The following question is due to Marc Yor: Let B be a brownian motion and St=t+Bt. Can we define an -predictable process H such that the resulting stochastic integral (H⋅S) is a brownian motion (without drift) in its own filtration, i.e. an -brownian motion? In this paper we show that by dropping the requirement of -predictability of H we can give a positive answer to this question. In other words, we are able to show that there is a weak solution to Yor’s question. The original question, i.e.,...
Horizontal martingales in vector bundles
How Paul Lévy saw Jean Ville and martingales.
Hyperdefinite stochastic integration I: The nonstandard theory.
Hyperdefinite stochastic integration II: Comparision with the standard theory.
Hyperdefinite stochastic integration III: Hyperdefinite representations of standard martingales.