Concept

Mathematical finance

Related publications (22)

On crowdsensed data acquisition using multi-dimensional point processes

Crowdsensing applications are increasing at a tremendous rate. In crowdsensing, mobile sensors (humans, vehicle-mounted sensors, etc.) generate streams of information that is used for inferring high-level phenomena of interest (e.g, traffic jams, air pollu ...

IEEE2015

Filtration Shrinkage, Strict Local Martingales And The Follmer Measure

Martin Larsson

When a strict local martingale is projected onto a subfiltration to which it is not adapted, the local martingale property may be lost, and the finite variation part of the projection may have singular paths. This phenomenon has consequences for arbitrage ...

Inst Mathematical Statistics2014