martingale, as required by the theory, but a strict local martingale with consequences on the validity of the risk … filtration set so that an absolutely continuous strict local martingale, once projected on it, becomes continuous with jumps …

The dual representation of the martingale optimal transport problem in the Skorokhod space of multi dimensional cadlag …

A P-sigma-martingale density for a given stochastic process S is a local P-martingale Z>0 starting at 1 such that the … product ZS is a P-sigma-martingale. Existence of a P-sigma-martingale density is equivalent to a classic absence … there exists a P-sigma-martingale density for S. Can we find another P-sigma-martingale density for S having some extra …

We investigate a deterministic criterion to determine whether a diffusive local martingale with a single jump and state …-dependent characteristics is a uniformly integrable martingale. We allow the diffusion coefficient, the jump hazard rate and the relative jump … size to depend on the state and prove that the process is a uniformly integrable martingale if and only if the relative …

martingale optimal transport problem is proved. The financial market is modeled through a risky asset whose price is only assumed … given, fi xed maturity. The dual is a Monge-Kantorovich type martingale transport problem of maximizing the expected value … of the option over all martingale measures that has the given marginal at maturity. In addition to duality, a family of …

-information filtration and assume that S is a time-dependent affine transformation of a square-integrable martingale. This class of processes …