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math.PR2020★ 7 cited
Single jump filtrations and local martingales
Alexander A. Gushchin
A single jump filtration generated by a random variable with values in on a probability space $(Ω,{\mathscr{F}…
math.PR2018★ 7 cited
Integrated quantile functions: properties and applications
Alexander A. Gushchin, Dmitriy A. Borzykh
In this paper we provide a systematic exposition of basic properties of integrated distribution and quantile functions. We define these transforms in such a way that they character…