Publications associées à Martingale locale

Essays in Empirical Asset Pricing

This thesis consists of three applications of machine learning techniques to empirical asset pricing. In the first part, which is co-authored work with Oksana Bashchenko, we develop a new method that detects jumps nonparametrically in financial time series ...

EPFL2022

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

Wavelet transform on manifolds: old and new approaches

Pierre Vandergheynst

Given a two-dimensional smooth manifold M and a bijective pro jection p from M on a ﬁxed plane (or a subset of that plane), we explore systematically how a wavelet transform (WT) on M may be generated from a plane WT by the inverse projection. Examples whe ...

Elsevier2010

Continuous interior penalty hp-finite element methods for advection and advection-diffusion equations

Erik Burman

A continuous interior penalty hp-finite element method that penalizes the jump of the discrete solution across mesh interfaces is introduced. Error estimates are obtained for first-order and advection-dominated transport operators. The analysis relies on t ...

2007