Strict local martingales and the Khasminskii test for explosions-Reference-Cited by-同舟云学术

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Strict local martingales and the Khasminskii test for explosions

Published:2019-03 Issue: Volume: Page:
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Dandapani Aditi,Protter Philip

Funder

NSF, United States

NSF

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Reference26 articles.

1. Moment Explosions in Stochastic Volatility Models Finance and Stochastics, Vol. 11;Andersen,2006

2. Shifting martingale measures and the birth of a bubble as a submartingale;Biagini;Finance Stoch.,2014

3. R. Bilina, P. Protter, Mathematical Modeling of Insider Trading, preprint, 2015.

4. On the hedging of options on exploding exchange rates;Carr;Finance Stoch.,2014

5. Itô’s integrated formula for strict local martingales with jumps;Chybiryakov,2007

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1. Functional Stochastic Discount Factors in the Stochastic Volatility Model;SSRN Electronic Journal;2024

2. Asset price bubbles: Invariance theorems;Frontiers of Mathematical Finance;2021

3. Asset Price Bubbles: Invariance Theorems*;SSRN Electronic Journal;2020

4. Foreign Exchange Expectation Errors and Filtration Enlargements;Stats;2019-04-09

5. Testing for Asset Price Bubbles: An Invariance Theorem;SSRN Electronic Journal;2019

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