Separating Times for One-Dimensional Diffusions
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References listed on IDEAS
- Prokaj, Vilmos & Bondici, László, 2022. "On the lack of semimartingale property," Stochastic Processes and their Applications, Elsevier, vol. 146(C), pages 335-359.
- David Criens, 2018. "No Arbitrage in Continuous Financial Markets," Papers 1809.09588, arXiv.org, revised Feb 2020.
- Sascha Desmettre & Gunther Leobacher & L. C. G. Rogers, 2021. "Change of drift in one-dimensional diffusions," Finance and Stochastics, Springer, vol. 25(2), pages 359-381, April.
- Aleksandar Mijatović & Mikhail Urusov, 2012. "Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models," Finance and Stochastics, Springer, vol. 16(2), pages 225-247, April.
- Aleksandar Mijatović & Mikhail Urusov, 2015. "On the Loss of the Semimartingale Property at the Hitting Time of a Level," Journal of Theoretical Probability, Springer, vol. 28(3), pages 892-922, September.
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