51 citations · 256 across the 30 of their papers we have counts for
22 papers · 1 filter
One-dimensional Feynman--Kac regularity under the Engelbert--Schmidt conditions
Johannes Ruf
Let be a time-homogeneous one-dimensional diffusion whose coefficients satisfy the Engelbert--Schmidt conditions, and let be a bounded potential. We show that the associate…
A composite generalization of Ville's martingale theorem using e-processes
Johannes Ruf, Martin Larsson, Wouter M. Koolen +1
We provide a composite version of Ville's theorem that an event has zero measure if and only if there exists a nonnegative martingale which explodes to infinity when that event occ…
Simplified calculus for semimartingales: Multiplicative compensators and changes of measure
Aleš Černý, Johannes Ruf
The paper develops multiplicative compensation for complex-valued semimartingales and studies some of its consequences. It is shown that the stochastic exponential of any complex-v…
Simplified stochastic calculus via semimartingale representations
Aleš Černý, Johannes Ruf
We develop a stochastic calculus that makes it easy to capture a variety of predictable transformations of semimartingales such as changes of variables, stochastic integrals, and t…
Convergence of Local Supermartingales
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 station…
Filtration shrinkage, the structure of deflators, and failure of market completeness
Constantinos Kardaras, Johannes Ruf
We analyse the structure of local martingale deflators projected on smaller filtrations. In a general continuous-path setting, we show that the local martingale part in the multipl…
Pure-jump semimartingales
Aleš Černý, Johannes Ruf
A new integral with respect to an integer-valued random measure is introduced. In contrast to the finite variation integral ubiquitous in semimartingale theory (Jacod and Shiryaev,…
Projections of scaled Bessel processes
Constantinos Kardaras, Johannes Ruf
Let and denote two independent squared Bessel processes of dimension and , respectively, with and , making a squared Bessel process o…
A remark on H1 martingales
Hardy Hulley, Johannes Ruf
The space of H1 martingales is interesting because of its duality with the space of BMO martingales. It is straightforward to show that every H1 martingale is a uniformly integrabl…
Stochastic Exponentials and Logarithms on Stochastic Intervals -- A Survey
Martin Larsson, Johannes Ruf
Stochastic exponentials are defined for semimartingales on stochastic intervals, and stochastic logarithms are defined for semimartingales, up to the first time the semimartingale…
Local martingales in discrete time
Vilmos Prokaj, Johannes Ruf
For any discrete-time --local martingale there exists a probability measure such that is a --martingale. A new proof for this result is provided. The core…
Piecewise constant local martingales with bounded numbers of jumps
Johannes Ruf
A piecewise constant local martingale with boundedly many jumps is a uniformly integrable martingale if and only if is integrable.
A one-dimensional diffusion hits points fast
Cameron Bruggeman, Johannes Ruf
A one-dimensional, continuous, regular, and strong Markov process with state space hits any point fast with positive probability. To wit, if $τ_z = \inf \{t \geq…
The Uniform Integrability of Martingales. On a Question by Alexander Cherny
Johannes Ruf
Let be a progressively measurable, almost surely right-continuous stochastic process such that and for each finite stopping time . In 2006, Ch…
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…
Pathwise solvability of stochastic integral equations with generalized drift and non-smooth dispersion functions
Ioannis Karatzas, Johannes Ruf
We study one-dimensional stochastic integral equations with non-smooth dispersion coefficients, and with drift components that are not restricted to be absolutely continuous with r…
Supermartingales as Radon-Nikodym densities and related measure extensions
Nicolas Perkowski, Johannes Ruf
Certain countably and finitely additive measures can be associated to a given nonnegative supermartingale. Under weak assumptions on the underlying probability space, existence and…
The Martingale Property in the Context of Stochastic Differential Equations
Johannes Ruf
This note studies the martingale property of a nonnegative, continuous local martingale Z, given as a nonanticipative functional of a solution to a stochastic differential equation…
Distribution of the time to explosion for one-dimensional diffusions
Ioannis Karatzas, Johannes Ruf
We study the distribution of the time to explosion for one-dimensional diffusions. We relate this question to computing the expectations of suitable nonnegative local martingales,…
A Weak Convergence Criterion Constructing Changes of Measure
Jose Blanchet, Johannes Ruf
Based on a weak convergence argument, we provide a necessary and sufficient condition that guarantees that a nonnegative local martingale is indeed a martingale. Typically, conditi…
Conditioned Martingales
Nicolas Perkowski, Johannes Ruf
It is well known that upward conditioned Brownian motion is a three-dimensional Bessel process, and that a downward conditioned Bessel process is a Brownian motion. We give a simpl…
A new proof for the conditions of Novikov and Kazamaki
Johannes Ruf
This paper provides a novel proof for the sufficiency of certain well-known criteria that guarantee the martingale property of a continuous, nonnegative local martingale. More prec…