On Local Martingale and its Supremum: Harmonic Functions and beyond

Jan Oblój () and Marc Yor
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Jan Oblój: Uniwersytet Warszawski, Wydział Matematyki
Marc Yor: Laboratoire de Probabilités et Modèles Aléatoires, Université Paris 6

A chapter in From Stochastic Calculus to Mathematical Finance, 2006, pp 517-533 from Springer

Keywords: Brownian Motion; Harmonic Function; Local Time; Local Martingale; Bessel Process (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-540-30788-4_25

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DOI: 10.1007/978-3-540-30788-4_25

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