On local martingale and its supremum: harmonic functions and beyond
We discuss certain facts involving a continuous local martingale $N$ and its supremum $\bar{N}$. A complete characterization of $(N,\bar{N})$-harmonic functions is proposed. This yields an important family of martingales, the usefulness of which is demonstrated, by means of examples involving the Sk...
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| Format: | Conference item |
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2004
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