AKAHORI, JIRÔ; MACRINA, ANDREA - In: International Journal of Theoretical and Applied … 15 (2012) 01, pp. 1250007-1
positive propagators, which are driven by time-inhomogeneous Markov processes. We multiply such a propagator with a positive … kernel that by construction is a supermartingale with respect to the filtration generated by the time-inhomogeneous Markov … processes. As an application, we show how this framework naturally fits the information-based asset pricing framework where time-inhomogeneous …