Random times and multiplicative systems
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References listed on IDEAS
- Jeanblanc, Monique & Song, Shiqi, 2011. "Random times with given survival probability and their -martingale decomposition formula," Stochastic Processes and their Applications, Elsevier, vol. 121(6), pages 1389-1410, June.
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- Kardaras, Constantinos, 2010. "Numéraire-invariant preferences in financial modeling," LSE Research Online Documents on Economics 44993, London School of Economics and Political Science, LSE Library.
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- Cleary, Brendan & Duffy, Aidan & Bach, Bjarne & Vitina, Aisma & O’Connor, Alan & Conlon, Michael, 2016. "Estimating the electricity prices, generation costs and CO2 emissions of large scale wind energy exports from Ireland to Great Britain," Energy Policy, Elsevier, vol. 91(C), pages 38-48.
- Libo Li, 2018. "From Az\'ema supermartingales of finite honest times to optional semimartingales of class-($\Sigma$)," Papers 1801.03873, arXiv.org.
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KeywordsRandom time; Azéma supermartingale; Multiplicative system;
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