characterisations of our concepts in terms of martingale properties. A key new feature is that as one expects, “properly anticipated …

expectations equilibria, we argue that this carries over to the finite time “strict local martingale”-approach to bubbles. Our …

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 …

of singular measures corresponding to a general form of volatility uncertainty. We derive a càdlàg nonlinear martingale … similar to the optional decomposition. Furthermore, we prove an optional sampling theorem for the nonlinear martingale and …

This paper considers the nonlinear theory of G-martingales as introduced by Peng in [16, 17]. A martingale …

deterministic function up to a random time γ at which they jump and stay constant afterwards. The (local) martingale properties of … application, we provide a construction of a (uniformly integrable) martingale M and a bounded (deterministic) integrand H such … that the stochastic integral H • M is a strict local martingale. Moreover, we characterise all local martingale deflators …