68 citations · 225 across the 22 of their papers we have counts for
27 papers
Martingale Representation in the Enlargement of the Filtration Generated by a Point Process
Paolo Di Tella, Monique Jeanblanc
Let be a point process and let denote the filtration generated by . In this paper we study martingale representation theorems in the filtration obt…
Semimartingales and Shrinkage of Filtration
Tomasz R. Bielecki, Jacek Jakubowski, Monique Jeanblanc +1
We consider a complete probability space , which is endowed with two filtrations, and , assumed to satisfy the usual conditions…
Some No-Arbitrage Rules For Converging Asset Prices under Short-Sales Constraints
Delia Coculescu, Monique Jeanblanc
Under short sales prohibitions, no free lunch with vanishing risk (NFLVR-S) is known to be equivalent to the existence of an equivalent supermartingale measure for the price proces…
Adaptive Robust Control Under Model Uncertainty
Tomasz R. Bielecki, Tao Chen, Igor Cialenco +2
In this paper we propose a new methodology for solving an uncertain stochastic Markovian control problem in discrete time. We call the proposed methodology the adaptive robust cont…
SDEs with uniform distributions: Peacocks, Conic martingales and ergodic uniform diffusions
Damiano Brigo, Monique Jeanblanc, Frederic Vrins
It is known since Kellerer (1972) that for any process that is increasing for the convex order, or "peacock" as in Hirsch et al. 2011, there exist martingales with the same margina…
Thin times and random times' decomposition
Anna Aksamit, Tahir Choulli, Monique Jeanblanc
The paper studies thin times which are random times whose graph is contained in a countable union of the graphs of stopping times with respect to a reference filtration …