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From Bachelier to Dupire via optimal transport
Beiglböck, Mathias; Pammer, Gudmund; Schachermayer, Walter - In: Finance and stochastics 26 (2022) 1, pp. 59-84
Persistent link: https://www.econbiz.de/10012796471
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Faking Brownian motion with continuous Markov martingales
Beiglböck, Mathias; Lowther, George; Pammer, Gudmund; … - In: Finance and stochastics 28 (2024) 1, pp. 259-284
Persistent link: https://www.econbiz.de/10014447742
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A short proof of the Doob–Meyer theorem
Beiglböck, Mathias; Schachermayer, Walter; Veliyev, … - In: Stochastic Processes and their Applications 122 (2012) 4, pp. 1204-1209
Every submartingale S of class D has a unique Doob–Meyer decomposition S=M+A, where M is a martingale and A is a predictable increasing process starting at 0.
Persistent link: https://www.econbiz.de/10011065113