68 citations · 225 across the 22 of their papers we have counts for
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math.PR2016★ 2 cited
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…
math.PR2016
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 …
math.PR2016★ 5 cited
Conic Martingales from Stochastic Integrals
Frédéric Vrins, Monique Jeanblanc
In this paper we introduce the concept of conic martingales}. This class refers to stochastic processes having the martingale property, but that evolve within given (possibly time-…