9 citations · 26 across the 36 of their papers we have counts for
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math.PR2018
Lyapunov Criteria for the Feller-Dynkin Property of Martingale Problems
David Criens
We give necessary and sufficient criteria for the Feller-Dynkin property of solutions to martingale problems in terms of Lyapunov functions. Moreover, we derive a Khasminskii-type…
q-fin.MF2018
No Arbitrage in Continuous Financial Markets
David Criens
We derive integral tests for the existence and absence of arbitrage in a financial market with one risky asset which is either modeled as stochastic exponential of an Ito process o…
math.PR2018
Limit Theorems for Cylindrical Martingale Problems associated with Lévy Generators
David Criens
We prove limit theorems for cylindrical martingale problems associated to Lévy generators. Furthermore, we give sufficient and necessary conditions for the Feller property of well-…