4 papers · 1 filter
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…
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…