65 citations · 131 across the 17 of their papers we have counts for
Showing 2019Show all
2 papers · 1 filter
q-fin.MF2019
Strict Local Martingales and the Khasminskii test for Explosions
Philip Protter, Aditi Dandapani
We exhibit sufficient conditions such that components of a multidimensional SDE giving rise to a local martingale are strict local martingales or martingales. We assume that th…
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…