51 citations · 256 across the 30 of their papers we have counts for
5 papers · 1 filter
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…
A Systematic Approach to Constructing Market Models With Arbitrage
Johannes Ruf, Wolfgang Runggaldier
This short note provides a systematic construction of market models without unbounded profits but with arbitrage opportunities.
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,…