Volume 15, 2011
Supplement: In honor of Marc Yor
Page(s) S25 - S38
Published online 19 May 2011
  1. S. Blei and H.J. Engelbert, On Exponential Local Martingales Associated with Strong Markov Continuous Local Martingales. Stoch. Process. Appl. 119 (2009) 2859–2880. [CrossRef]
  2. P. Brémaud and M. Yor, Changes of Filtration and Probability Measures. Z. Wahrscheinlichkeitstheorie verw. Gebiete 45 (1978) 269–295. [CrossRef]
  3. U. Çetin, R. Jarrow, P. Protter and Y. Yildirim, Modeling credit risk with partial information. Ann. Appl. Probab. 14 (2004) 1167–1178. [CrossRef] [MathSciNet]
  4. A. Cox and D. Hobson, Local martingales, bubbles and option prices. Finance Stoch. 9 (2005) 477–492. [CrossRef] [MathSciNet]
  5. F. Delbaen and W. Schachermayer, The Mathematics of Arbitrage. Springer-Verlag, Heidelberg (2006).
  6. C. Dellacherie and P.A. Meyer, Probabilités et Potentiel: Chapitres V à VIII, Théorie des Martingales. Hermann, Paris (1980).
  7. H. Föllmer, The exit measure of a supermartingale. Z. Wahrscheinlichkeitstheorie verw. Gebiete 21 (1972) 154–166. [CrossRef]
  8. H. Föllmer, On the representation of semimartingales. Ann. Probab. 1 (1973) 580–589. [CrossRef]
  9. H. Föllmer, P. Protter and A.S. Shiryaev, Quadratic covariation and an extension of Itô's formula. Bernoulli 1 (2005) 149–169.
  10. K. Itô and S. Watanabe, Transformation of Markov processes by multiplicative functionals. Ann. Inst. Fourier 15 (1965) 15–30.
  11. R. Jarrow and P. Protter, Structural versus Reduced Form Models: A New Information Based Perspective. J. Invest. Manage. 2 (2004) 34–43.
  12. R. Jarrow and P. Protter, Large Traders, Hidden Arbitrage, and Complete Markets. J. Bank. Financ. 29 (2005) 2803–2810. [CrossRef]
  13. R. Jarrow, P. Protter and D. Sezer, Information Reduction via Level Crossings in a Credit Risk Model. Finance Stoch. 11 (2007) 195–212. [CrossRef] [MathSciNet]
  14. R. Jarrow, P. Protter and K. Shimbo, Asset price bubbles in a complete market. Adv. Math. Finance, in Honor of Dilip B. Madan (2006) 105–130.
  15. R. Jarrow, P. Protter and K. Shimbo, Asset price bubbles in an incomplete market. Math. Finance 20 (2010) 145–185. [CrossRef] [MathSciNet]
  16. T. Jeulin and M. Yor, Inégalité de Hardy, semimartingales, et faux-amis, in Séminaire de Probabilités XIII. Lect. Notes Math. 721, Springer, Heidelberg, Berlin, New York (1979) 332–359.
  17. G. Johnson and L.L. Helms, Class (D) Supermartingales. Bull. Am. Math. Soc. 69 (1963) 59–62. [CrossRef]
  18. N. Kazamaki, Krickeberg's decomposition for local martingales, in Séminaire de Probabilités VI. Lecture Notes in Math. 258, Springer, Heidelberg, Berlin, New York (1972) 101–103.
  19. M. Loewenstein and G.A. Willard, Rational equilibrium asset-pricing bubbles in continuous trading models. J. Econ. Theory 91 (2000) 17–58. [CrossRef]
  20. P.A. Meyer, Probability and Potentials. Blaisdell, Waltham (1966).
  21. P.A. Meyer, La mesure de H. Föllmer en théorie des surmartingales, in Séminaire de Probabilités VI. Lecture Notes in Math. 258, Springer, Heidelberg, Berlin, New York (1971) 118–129.
  22. P.A. Meyer, Martingales and stochastic integrals. Lect. Notes Math. 284, Springer, Heidelberg, Berlin, New York (1972).
  23. P.A. Meyer, Sur un théorème de C. Stricker, in Séminaire de Probabilités XI. Lecture Notes in Math. 581, Springer, Heidelberg, Berlin, New York (1977) 482–489.
  24. A. Mijatović and M. Urusov, The Martingale Property of Certain Local Martingales. arXiv:0905.3701 (2009)
  25. S. Pal and P. Protter, Analysis of continuous strict local martingales via h-transforms. Stoch. Process. Appl. 120 (2010) 1424–1443. [CrossRef]
  26. P. Protter, A Partial Introduction to Financial Asset Pricing Theory. Stoch. Process. Appl. 91 (2001) 169–203. [CrossRef]
  27. P. Protter, Stochastic Integration and Differential Equations, 2nd edition, Version 2.1. Springer-Verlag, Heidelberg (2005).
  28. D. Revuz and M. Yor, Continuous martingales and Brownian motion, 3rd edition. Springer, Berlin-Heidelberg (1999).
  29. D. Sezer, Filtration shrinkage by level crossings of a diffusion. Ann. Probab. 35 (2007) 739–757. [CrossRef] [MathSciNet]
  30. C. Stricker, Quasimartingales, martingales locales, et filtrations naturelles. Z. Wahrscheinlichkeitstheorie verw. Gebiete 39 (1977) 55–63. [CrossRef]

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