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On the Loss of the Semimartingale Property at the Hitting Time of a Level
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On the Loss of the Semimartingale Property at the Hitting Time of a Level (2013)On the Loss of the Semimartingale Propert…Convergence of integral functionals of one-dimensional diffusions (2012)Convergence of integral funct…On the martingale property of certain local martingales (2010)On the martingale property of…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Strong Markov Continuous Local Martingales and Solutions of One‐Dimensional Stochastic Differential Equations (Part III) (1991)Strong Markov Continuous Loca…Strong Markov Continuous Local Martingales and Solutions of One‐Dimensional Stochastic Differential Equations (Part I) (1989)Strong Markov Continuous Loca…Semimartingales and Markov processes (1980)Semimartingales and Markov pr…Semi-Martingales et Grossissement d’une Filtration (1980)Semi-Martingales et Grossisse…Calcul Stochastique et Problèmes de Martingales (1979)Calcul Stochastique et Problè…Une mise au point sur les martingales locales continues definies sur un intervalle stochastique (1977)Une mise au point sur les mar…On stochastic differential equations (1951)On Square Integrable Martingales (1967)Brownian models of open queueing networks with homogeneous customer populations ∗ (1987)Non-linear pricing theory and backward stochastic differential equations (1997)The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding (1990)ON THE MARTINGALE PROPERTY IN STOCHASTIC VOLATILITY MODELS BASED ON TIME‐HOMOGENEOUS DIFFUSIONS (2014)The martingale property in the context of stochastic differential equations (2015)On the uniqueness of solutions of stochastic differential equations (1971)Stochastic Differential Equations and Diffusion Processes (1983)How to Detect an Asset Bubble (2011)Stochastic Differential Equations and Diffusion Processes (1981)Brownian Motion and Stochastic Calculus (1988)Some SDEs with distributional drift. (2004)Stochastic differential equations for sticky Brownian motion (2014)Forward, backward and symmetric stochastic integration (1993)A survey and some generalizations of Bessel processes (2003)Central limit theorems for sequences of multiple stochastic integrals (2005)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)Overconfidence and Speculative Bubbles (2003)Modelling of extremal events in insurance and finance (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)Martingales and stochastic integrals in the theory of continuous trading (1981)Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)THE MEANING OF MARKET EFFICIENCY (2012)A Mathematical Theory of Financial Bubbles (2013)Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model (2014)
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References

  • 2007Brownian Motion and Stochastic Calculus7,544 cited
  • 1999Continuous Martingales and Brownian Motion6,253 cited
  • 2005Stochastic Integration and Differential Equations4,700 cited
  • 1979Calcul Stochastique et Problèmes de Martingales1,165 cited
  • 1980Semi-Martingales et Grossissement d’une Filtration330 cited
  • 1980Semimartingales and Markov processes197 cited
  • 1989Strong Markov Continuous Local Martingales and Solutions of One‐Dimensional Stochastic Differential Equations (Part I)124 cited
  • 2010On the martingale property of certain local martingales120 cited
  • 1991Strong Markov Continuous Local Martingales and Solutions of One‐Dimensional Stochastic Differential Equations (Part III)97 cited
  • 2012Convergence of integral functionals of one-dimensional diffusions40 cited
  • 1977Une mise au point sur les martingales locales continues definies sur un intervalle stochastique19 cited

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