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math.PR2013
Processes that can be embedded in a geometric Brownian motion
Alexander Gushchin, Mikhail Urusov
The main result is a counterpart of the theorem of Monroe [\emph{Ann. Probability} \textbf{6} (1978) 42--56] for a geometric Brownian motion: A process is equivalent to a time chan…
math.PR2013★ 1 cited
On the loss of the semimartingale property at the hitting time of a level
Aleksandar Mijatović, Mikhail Urusov
This paper studies the loss of the semimartingale property of the process at the time a one-dimensional diffusion hits a level, where is a difference of two convex f…