Alexander A. Gushchin, Assylliya K. Zhunussova, “Single jump filtrations: preservation of the local martingale property with respect to the filtration generated by the local martingale”, Springer Proc. Math. Statist., 2021, Volume 358,Pages <nobr>219

Single jump filtrations: preservation of the local martingale property with respect to the filtration generated by the local martingale

Alexander A. Gushchin^ab, Assylliya K. Zhunussova^c

^a Steklov Mathematical Institute, Moscow, Russia
^b Lomonosov Moscow State University, Moscow, Russia
^c Faculty of Computational Mathematics and Cybernetics of Lomonosov Moscow State University, Moscow, Russia

Language: English

DOI: 10.1007/978-3-030-76829-4_11