30 citations · 110 across the 29 of their papers we have counts for
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math.PR2014★ 19 cited
Convergence of local supermartingales and Novikov-Kazamaki type conditions for processes with jumps
Martin Larsson, Johannes Ruf
We characterize the event of convergence of a local supermartingale. Conditions are given in terms of its predictable characteristics and quadratic variation. The notion of extende…
math.PR2014
Polynomial Diffusions and Applications in Finance
Damir Filipovic, Martin Larsson
This paper provides the mathematical foundation for polynomial diffusions. They play an important role in a growing range of applications in finance, including financial market mod…