Issue
ESAIM: PS
Volume 15, 2011
Supplement: In honor of Marc Yor
Page(s) S25 - S38
DOI https://doi.org/10.1051/ps/2010023
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] [Google Scholar]
  2. P. Brémaud and M. Yor, Changes of Filtration and Probability Measures. Z. Wahrscheinlichkeitstheorie verw. Gebiete 45 (1978) 269–295. [CrossRef] [Google Scholar]
  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] [Google Scholar]
  4. A. Cox and D. Hobson, Local martingales, bubbles and option prices. Finance Stoch. 9 (2005) 477–492. [CrossRef] [MathSciNet] [Google Scholar]
  5. F. Delbaen and W. Schachermayer, The Mathematics of Arbitrage. Springer-Verlag, Heidelberg (2006). [Google Scholar]
  6. C. Dellacherie and P.A. Meyer, Probabilités et Potentiel: Chapitres V à VIII, Théorie des Martingales. Hermann, Paris (1980). [Google Scholar]
  7. H. Föllmer, The exit measure of a supermartingale. Z. Wahrscheinlichkeitstheorie verw. Gebiete 21 (1972) 154–166. [CrossRef] [Google Scholar]
  8. H. Föllmer, On the representation of semimartingales. Ann. Probab. 1 (1973) 580–589. [CrossRef] [Google Scholar]
  9. H. Föllmer, P. Protter and A.S. Shiryaev, Quadratic covariation and an extension of Itô's formula. Bernoulli 1 (2005) 149–169. [Google Scholar]
  10. K. Itô and S. Watanabe, Transformation of Markov processes by multiplicative functionals. Ann. Inst. Fourier 15 (1965) 15–30. [Google Scholar]
  11. R. Jarrow and P. Protter, Structural versus Reduced Form Models: A New Information Based Perspective. J. Invest. Manage. 2 (2004) 34–43. [Google Scholar]
  12. R. Jarrow and P. Protter, Large Traders, Hidden Arbitrage, and Complete Markets. J. Bank. Financ. 29 (2005) 2803–2810. [CrossRef] [Google Scholar]
  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] [Google Scholar]
  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. [Google Scholar]
  15. R. Jarrow, P. Protter and K. Shimbo, Asset price bubbles in an incomplete market. Math. Finance 20 (2010) 145–185. [CrossRef] [MathSciNet] [Google Scholar]
  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. [Google Scholar]
  17. G. Johnson and L.L. Helms, Class (D) Supermartingales. Bull. Am. Math. Soc. 69 (1963) 59–62. [CrossRef] [Google Scholar]
  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. [Google Scholar]
  19. M. Loewenstein and G.A. Willard, Rational equilibrium asset-pricing bubbles in continuous trading models. J. Econ. Theory 91 (2000) 17–58. [CrossRef] [Google Scholar]
  20. P.A. Meyer, Probability and Potentials. Blaisdell, Waltham (1966). [Google Scholar]
  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. [Google Scholar]
  22. P.A. Meyer, Martingales and stochastic integrals. Lect. Notes Math. 284, Springer, Heidelberg, Berlin, New York (1972). [Google Scholar]
  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. [Google Scholar]
  24. A. Mijatović and M. Urusov, The Martingale Property of Certain Local Martingales. arXiv:0905.3701 (2009) [Google Scholar]
  25. S. Pal and P. Protter, Analysis of continuous strict local martingales via h-transforms. Stoch. Process. Appl. 120 (2010) 1424–1443. [CrossRef] [Google Scholar]
  26. P. Protter, A Partial Introduction to Financial Asset Pricing Theory. Stoch. Process. Appl. 91 (2001) 169–203. [CrossRef] [Google Scholar]
  27. P. Protter, Stochastic Integration and Differential Equations, 2nd edition, Version 2.1. Springer-Verlag, Heidelberg (2005). [Google Scholar]
  28. D. Revuz and M. Yor, Continuous martingales and Brownian motion, 3rd edition. Springer, Berlin-Heidelberg (1999). [Google Scholar]
  29. D. Sezer, Filtration shrinkage by level crossings of a diffusion. Ann. Probab. 35 (2007) 739–757. [CrossRef] [MathSciNet] [Google Scholar]
  30. C. Stricker, Quasimartingales, martingales locales, et filtrations naturelles. Z. Wahrscheinlichkeitstheorie verw. Gebiete 39 (1977) 55–63. [CrossRef] [Google Scholar]

Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.

Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.

Initial download of the metrics may take a while.