5 citations · 6 across the 2 of their papers we have counts for
2 papers
math.PR2016★ 1 cited
Semimartingales on Rays, Walsh Diffusions, and Related Problems of Control and Stopping
Ioannis Karatzas, Minghan Yan
We introduce a class of continuous planar processes, called "semimartingales on rays", and develop for them a change-of-variable formula involving quite general classes of test fun…
math.PR2015★ 5 cited
Stochastic Integral Equations for Walsh Semimartingales
Tomoyuki Ichiba, Ioannis Karatzas, Vilmos Prokaj +1
We construct planar semimartingales that include the Walsh Brownian motion as a special case, and derive Harrison-Shepp-type equations and a change-of-variable formula in the spiri…