D
David Criens
Researcher at Technische Universität München
Publications - 56
Citations - 133
David Criens is an academic researcher from Technische Universität München. The author has contributed to research in topics: Martingale (probability theory) & Local martingale. The author has an hindex of 5, co-authored 42 publications receiving 103 citations. Previous affiliations of David Criens include University of Freiburg.
Papers
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Absolute continuity of semimartingales
David Criens,Kathrin Glau +1 more
TL;DR: In this paper, the authors derived equivalent conditions for the (local) absolute continuity of two laws of semimartingales on random sets, which is based on a generalized Girsanov's theorem.
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Deterministic criteria for the absence and existence of arbitrage in multi-dimensional diffusion markets
TL;DR: In this article, the authors derive deterministic criteria for the existence and nonexistence of equivalent martingale measures for financial markets driven by multi-dimensional time-inhomogeneous diffusions.
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Limit Theorems for Cylindrical Martingale Problems Associated with Lévy Generators
TL;DR: In this paper, the authors prove limit theorems for cylindrical martingale problems associated with Levy generators and give sufficient and necessary conditions for the Feller property of well-posed problems with continuous coefficients.
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No Arbitrage in Continuous Financial Markets
TL;DR: In this article, the authors derive integral tests for the existence and absence of arbitrage in a financial market with one risky asset which is either modeled as stochastic exponential of an Ito process or a positive diffusion with Markov switching.
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Monotone and Convex Stochastic Orders for Processes with Independent Increments
TL;DR: In this article, the authors studied monotone and convex stochastic orders for processes with independent increments and derived explicit conditions on the characteristics of the processes via constructions of couplings.