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Titel:

Absolute Continuity of Semimartingale

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Criens, D.; Glau, K.
Nicht-TUM Koautoren:
nein
Kooperation:
-
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
Zeitschriftentitel:
Electronic Journal of Probability
Journal gelistet in FT50 Ranking:
nein
Jahr:
2016
Sprache:
en
Volltext / DOI:
doi:/10.1214/18-EJP238
WWW:
http://arxiv.org/abs/1605.08804
Status:
Preprint / submitted
TUM Einrichtung:
Lehrstuhl für Finanzmathematik
Urteilsbesprechung:
0
Key publication:
Nein
Peer reviewed:
Ja
commissioned:
not commissioned
Technology:
Nein
Interdisziplinarität:
Nein
Leitbild:
;
Ethics und Sustainability:
Nein
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