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ON CONTINUOUS MARTINGALES · Study

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ArticleON CONTINUOUS MARTINGALES

Lester E. Dubins1965

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Articlegreen1965

ON CONTINUOUS MARTINGALES

Lester E. Dubins · Gideon Schwarz

175 citations·0/0 files stored·Proceedings of the National Academy of Sciences

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Stochastic processes and financial applications Probability and Statistical Research Stochastic processes and statistical mechanics

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1978Processes that can be Embedded in Brownian Motion 2006ANOVA for diffusions and Itô processes 1973On an Identity for Stochastic Integrals 2008ANOVA FOR DIFFUSIONS AND ITO PROCESSES1 2012The econometrics of high-frequency data 2011Variance swaps on time-changed Lévy processes 2007No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and Testable Distributional Implications 2009Hedging variance options on continuous semimartingales

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Year1965

Typearticle

Published1965-05-01

VenueProceedings of the National Academy of Sciences

ISSN-L0027-8424

Languageen

Citations175

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1073/pnas.53.5.913

openalex_workW2029976291

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