51 citations · 256 across the 30 of their papers we have counts for
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math.PR2012★ 2 cited
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…
math.PR2012★ 9 cited
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…