相关论文: Analysis of continuous strict local martingales vi…

Recently, a new approach in the fine analysis of stochastic processes sample paths has been developed to predict the evolution of the local regularity under (pseudo-)differential operators. In this paper, we study the sample paths of…

A strict local martingale is a local martingale that is not a martingale. We investigate how such a process might arise from a true martingale as a result of an enlargement of the filtration. We study and implement a particular type of…

This paper deals with asset price bubbles modeled by strict local martingales. With any strict local martingale, one can associate a new measure, which is studied in detail in the first part of the paper. In the second part, we determine…

A strict local martingale is a local martingale which is not a martingale. There are few explicit examples of "naturally occurring" strict local martingales with jumps available in the literature. The purpose of this paper is to provide…

We exhibit sufficient conditions such that components of a multidimensional SDE giving rise to a local martingale $M$ are strict local martingales or martingales. We assume that the equations have diffusion coefficients of the form…

Many results in stochastic analysis and mathematical finance involve local martingales. However, specific examples of strict local martingales are rare and analytically often rather unhandy. We study local martingales that follow a given…

We establish a local martingale $M$ associate with $f(X,Y)$ under some restrictions on $f$, where $Y$ is a process of bounded variation (on compact intervals) and either $X$ is a jump diffusion (a special case being a L\'evy process) or $X$…

We show that a continuous local martingale is a strict local martingale if its supremum process is not in $ L_\alpha$ for a positive number $\alpha $ smaller than $1$. Using this we construct a family of strict local martingales.

It is generally understood that a given one-dimensional diffusion may be transformed by Cameron-Martin-Girsanov measure change into another one-dimensional diffusion with the same volatility but a different drift. But to achieve this we…

This study deals with continuous limits of interacting one-dimensional diffusive systems, arising from stochastic distortions of discrete curves with various kinds of coding representations. These systems are essentially of a…

We present simple new examples of pure-jump strict local martingales. The examples are constructed as exponentials of self-exciting affine Markov processes. We characterize the strict local martingale property of these processes by an…

We prove optimal ${L}^2$ bounds for a pair of Hilbert space valued differentially subordinate martingales under a change of law. The change of law is given by a process called a weight and sharpness in this context refers to the optimal…

We study in some generality intertwinings between $h$-transforms of Karlin-McGregor semigroups associated with one dimensional diffusion processes and those of their Siegmund duals. We obtain couplings so that the corresponding processes…

We prove a duality theorem the computation of certain Bellman functions is usually based on. As a byproduct, we obtain sharp results about the norms of monotonic rearrangements. The main novelty of our approach is a special class of…

We propose a local modification of the standard subdiffusion model by introducing the initial Fickian diffusion, which results in a multiscale diffusion model. The developed model resolves the incompatibility between the nonlocal operators…

We propose a novel method for drift estimation of multiscale diffusion processes when a sequence of discrete observations is given. For the Langevin dynamics in a two-scale potential, our approach relies on the eigenvalues and the…

In this note we introduce a new kind of augmentation of filtrations along a sequence of stopping times. This augmentation is suitable for the construction of new probability measures associated to a positive strict local martingale as done…

A particular type of random dynamical processes is considered, in which the stochasticity is introduced through randomly fluctuating parameters. A method of local multipliers is developed for treating the local stability of such dynamical…

We develop a general framework for extracting highly uniform bounds on local stability for stochastic processes in terms of information on fluctuations or crossings. This includes a large class of martingales: As a corollary of our main…

The main goal of this paper is to establish the nonlocal-to-local convergence of strong solutions to a Navier--Stokes--Cahn--Hilliard model with singular potential describing immiscible, viscous two-phase flows with matched densities, which…