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On the Loss of the Semimartingale Property at the Hitting Time of a Level · Study

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ArticleOn the Loss of the Semimartingale Property at the Hitting Time of a Level

Aleksandar Mijatović2013

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Articlegreen2013

On the Loss of the Semimartingale Property at the Hitting Time of a Level

Aleksandar Mijatović · Mikhail Aleksandrovich Urusov

15 citations·0/0 files stored·Journal of Theoretical Probability

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

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References

2007Brownian Motion and Stochastic Calculus 1999Continuous Martingales and Brownian Motion 2005Stochastic Integration and Differential Equations 1979Calcul Stochastique et Problèmes de Martingales 1980Semi-Martingales et Grossissement d’une Filtration 1980Semimartingales and Markov processes 1989Strong Markov Continuous Local Martingales and Solutions of One‐Dimensional Stochastic Differential Equations (Part I)2010On the martingale property of certain local martingales

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Year2013

Typearticle

Published2013-11-09

VenueJournal of Theoretical Probability

ISSN-L0894-9840

Languageen

Citations15

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s10959-013-0527-7

openalex_workW2056783347

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