56 citations · 105 across the 6 of their papers we have counts for
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Fitting Martingales To Given Marginals
George Lowther
We consider the problem of finding a real valued martingale fitting specified marginal distributions. For this to be possible, the marginals must be increasing in the convex order…
A Generalized Backward Equation For One Dimensional Processes
George Lowther
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 Kolmogor…
Nondifferentiable functions of one-dimensional semimartingales
George Lowther
We consider decompositions of processes of the form where is a semimartingale. The function is not required to be differentiable, so Itô's lemma does not apply…
Properties of Expectations of Functions of Martingale Diffusions
George Lowther
Given a real valued and time-inhomogeneous martingale diffusion X, we investigate the properties of functions defined by the conditional expectation f(t,X_t)=E[g(X_T)|F_t]. We show…