Related papers: Local martingales in discrete time
We initiate the study of hypothesis selection under local differential privacy. Given samples from an unknown probability distribution $p$ and a set of $k$ probability distributions $\mathcal{Q}$, we aim to output, under the constraints of…
Suppose that a real valued process X is given as a solution to a stochastic differential equation. Then, for any twice continuously differentiable function f, the backward Kolmogorov equation gives a condition for f(t,X) to be a local…
We develop a numerical method for the martingale analogue of the Benamou--Brenier optimal transport problem, which seeks a martingale interpolating two prescribed marginals which is closest to the Brownian motion. Recent contributions have…
In this paper, a new approach for solving the problems of pricing and hedging derivatives is introduced in a general frictionless market setting. The method is applicable even in cases where an equivalent local martingale measure fails to…
Certain countably and finitely additive measures can be associated to a given nonnegative supermartingale. Under weak assumptions on the underlying probability space, existence and (non)uniqueness results for such measures are proven.
This paper does not suppose a priori that the evolution of the price of a financial asset is a semimartingale. Since possible strategies of investors are self-financing, previous prices are forced to be finite quadratic variation processes.…
An explicit formula for the probability that a continuous local martingale crosses a one or two-sided random constant boundary in a finite time interval is derived. We obtain that the boundary crossing probability of a continuous local…
This work aims at a deeper understanding of the mathematical implications of the economically-sound condition of absence of arbitrages of the first kind in a financial market. In the spirit of the Fundamental Theorem of Asset Pricing…
Let $X^1,\ldots, X^d$ be sigma-martingales on $(\Omega,{\cal F}, P)$. We show that every bounded martingale (with respect to the underlying filtration) admits an integral representation w.r.t. $X^1,\ldots, X^d$ if and only if there is no…
This paper discusses the possibility to find and construct \textit{piecewise constant martingales}, that is, martingales with piecewise constant sample paths evolving in a connected subset of $\mathbb{R}$. After a brief review of standard…
In the paper, we investigate the following fundamental question. For a set $\mathcal{K}$ in $\mathbb{L}^0(\mathbb{P})$, when does there exist an equivalent probability measure $\mathbb{Q}$ such that $\mathcal{K}$ is uniformly integrable in…
We consider measure-valued processes $X=(X_t)$ that solve the following martingale problem: for a given initial measure $X_0$, and for all smooth, compactly supported test functions $\varphi$, \begin{eqnarray*}X_t(\varphi…
In a two-period financial market where a stock is traded dynamically and European options at maturity are traded statically, we study the so-called martingale Schr\"odinger bridge Q*; that is, the minimal-entropy martingale measure among…
We discuss certain facts involving a continuous local martingale $N$ and its supremum $\bar{N}$. A complete characterization of $(N,\bar{N})$-harmonic functions is proposed. This yields an important family of martingales, the usefulness of…
We introduce a general methodology for quantitative model checking and control synthesis with supermartingale certificates. We show that every specification that is invariant to time shifts admits a stochastic invariant that bounds its…
Given a stock price process, we analyse the potential of arbitrage by insiders in a context of short-selling prohibitions. We introduce the notion of minimal supermartingale measure, and we analyse its properties in connection to the…
We consider a branching random walk on $\mathbb{R}$ with a stationary and ergodic environment $\xi=(\xi_n)$ indexed by time $n\in\mathbb{N}$. Let $Z_n$ be the counting measure of particles of generation $n$ and $\tilde Z_n(t)=\int…
We deal with various alternative decompositions of F-martingales with respect to the filtration G which represents the enlargement of a filtration F by a progressive flow of observations of a random time that either belongs to the class of…
A pricing principle is introduced for non-attainable $q$-exponential bounded contingent claims in an incomplete Brownian motion market setting. The buyer evaluates the contingent claim under the ``distorted Radon-Nikodym derivative'' and…
We consider a financial market in discrete time and study pricing and hedging conditional on the information available up to an arbitrary point in time. In this conditional framework, we determine the structure of arbitrage-free prices.…