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q-fin.MF2024
No arbitrage and the existence of ACLMMs in general diffusion models
David Criens, Mikhail Urusov
In a seminal paper, F. Delbaen and W. Schachermayer proved that the classical NA ("no arbitrage") condition implies the existence of an "absolutely continuous local martingale meas…
math.PR2024
On the representation property for 1D general diffusion semimartingales
David Criens, Mikhail Urusov
A general diffusion semimartingale is a one-dimensional path-continuous semimartingale that is also a regular strong Markov process. We say that a continuous semimartingale has the…