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Title:

Absolute Continuity of Semimartingale

Document type:
Zeitschriftenaufsatz
Author(s):
Criens, D.; Glau, K.
Non-TUM Co-author(s):
nein
Cooperation:
-
Abstract:
Starting from the seventies mathematicians face the question whether a non-negative local martingale is a true or a strict local martingale. In this article we answer this question from a semimartingale perspective. We connect the martingale property to existence, uniqueness and topological properties of semimartingale problems. This not only leads to valuable characterizations of the martingale property, but also reveals new existence and uniqueness results for semimartingale problems. As a cas...     »
Intellectual Contribution:
Discipline-based Research
Journal title:
Electronic Journal of Probability
Journal listet in FT50 ranking:
nein
Year:
2016
Language:
en
Fulltext / DOI:
doi:/10.1214/18-EJP238
WWW:
http://arxiv.org/abs/1605.08804
Status:
Preprint / submitted
TUM Institution:
Lehrstuhl für Finanzmathematik
Judgement review:
0
Key publication:
Nein
Peer reviewed:
Ja
Commissioned:
not commissioned
Technology:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
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