Uniform integrability of a single jump local martingale with state-dependent characteristics


Local martingales that are not uniformly integrable martingales have recently gained attention in the stochastic processes and mathematical finance literature, being linked to special cases in arbitrage theory and the... [ view full abstract ]


  1. Michael Schatz (ETH Zurich)
  2. Didier Sornette (ETH Zurich)

Topic Areas

Arbitrage Theory , Jump-Diffusions , Stochastic Analysis


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