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math.PR2019★ 1 cited
Expansion of a filtration with a stochastic process: the information drift
Léo Neufcourt, Philip Protter
When expanding a filtration with a stochastic process it is easily possible for semimartingale no longer to remain semimartingales in the enlarged filtration. Y. Kchia and P. Prott…
math.PR2016
A third-moment theorem and precise asymptotics for variations of stationary Gaussian sequences
Leo Neufcourt, Frederi Viens
In two new papers (Bierme et al., 2013) and (Nourdin and Peccati, 2015), sharp general quantitative bounds \ are given to complement the well-known fourth moment theorem of Nualart…