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Piecewise constant martingales and lazy clocks
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Document type | Article de périodique (Journal article) – Article de recherche |
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Access type | Accès libre |
Publication date | 2019 |
Language | Anglais |
Journal information | "Probability, Uncertainty and Quantitative Risk" - Vol. 4, no. 2 (2019) |
Peer reviewed | yes |
issn | 2367-0126 |
Publication status | Publié |
Affiliations |
UCL
- SSH/LIDAM/CORE - Center for operations research and econometrics UCL - SSH/LIDAM/LFIN - Louvain Finance |
Keywords | time-change process ; last passage time ; martingale ; bounded martingales ; jump martingale ; subordinator |
Links |
Bibliographic reference | Profeta, Christophe ; Vrins, Frédéric. Piecewise constant martingales and lazy clocks. In: Probability, Uncertainty and Quantitative Risk, Vol. 4, no. 2 (2019) |
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Permanent URL | http://hdl.handle.net/2078.1/211213 |