THE JACOD-YOR THEOREM FOR SIGMA MARTINGALES AND THE SECOND FUNDAMENTAL

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F04274644%3A_____%2F25%3A%230001254" target="_blank" >RIV/04274644:_____/25:#0001254 - isvavai.cz</a>
Result on the web
<a href="https://repository.lsu.edu/josa/vol6/iss2/1/" target="_blank" >https://repository.lsu.edu/josa/vol6/iss2/1/</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.31390/josa.6.2.01" target="_blank" >10.31390/josa.6.2.01</a>

Result language
angličtina
Original language name
THE JACOD-YOR THEOREM FOR SIGMA MARTINGALES AND THE SECOND FUNDAMENTAL
Original language description
In this paper, we prove the Jacod-Yor Theorem for sigma martingales, a class of processes that generalize local martingales and play a pivotal role in financial mathematics. While the Jacod-Yor Theorem has been extensively studied for L2-martingales, martingales, and local martingales, no prior version exists for sigma martingales. Our result establishes the connection between sigma martingales and their martingale representation properties, addressing a critical gap in the literature. As an application, we prove the Second Fundamental Theorem of Asset Pricing for markets where price processes are modeled as sigma martingales.
Czech name
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Czech description
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Type
J<sub>SC</sub> - Article in a specialist periodical, which is included in the SCOPUS database
CEP classification
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OECD FORD branch
50206 - Finance

Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2025
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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