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 Date: 2012-04-27 16:45:47Stochastic processes Probability theory Mathematical analysis Martingale theory Probability Martingale Sigma-algebra Stopping time Local martingale Semimartingale Quadratic variation It calculus |
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Processes of Class Sigma, Last Passage Times and Drawdowns Patrick Cheridito∗ Princeton University Princeton, NJ, USA Ashkan Nikeghbali