Biagini, Francesca; Mazzon, Andrea; Perkkiö, Ari-Pekka - In: Finance and Stochastics 27 (2023) 2, pp. 435-465
We study optional projections of G-adapted strict local martingales on a smaller filtration Funder changes of equivalent martingale measures. General results are provided as well as a detailed analysis of two specific examples given by the inverse Bessel process and a class of stochastic...