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Piecewise constant martingales and lazy clocks

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  • Profeta, Christophe
  • Vrins, Frédéric

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  • Profeta, Christophe & Vrins, Frédéric, 2019. "Piecewise constant martingales and lazy clocks," LIDAM Reprints LFIN 2019004, Université catholique de Louvain, Louvain Finance (LFIN).
    • Handle: RePEc:ajf:louvlr:2019004
    Note: In : Probability, Uncertainty and Quantitative Risk, Vol. 4, no. 2 (2019)
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    Cited by:

    1. Brigo, Damiano & Jeanblanc, Monique & Vrins, Frédéric, 2020. "SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions," Stochastic Processes and their Applications, Elsevier, vol. 130(7), pages 3895-3919.

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