Local martingales and filtration shrinkage

By Hans Föllmer, Philip Protter. 2011

84 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/6c3a730a7173660f575ed09e329d555ec29ff03f

How researchers see this paper

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In Finance

1. Mariusz Niewęgłowski
2. Jacek Jakubowski
3. Tomasz R. Bielecki
4. St'ephane Cr'epey
5. Damiano Brigo
6. Monique Jeanblanc

Citations in the corpus

• Conditional Markov chains: Properties, construction and structured dependence (2017, background): “So, by (Föllmer and Protter, 2011, Theorem 3.7), the process K̃x 1y1 is an F ∨ FX1 local martingale.”