Change of measure up to a random time: theory (Q3988136)
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scientific article; zbMATH DE number 32130
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Change of measure up to a random time: theory |
scientific article; zbMATH DE number 32130 |
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Change of measure up to a random time: theory (English)
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28 June 1992
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conditioning
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Cameron-Martin-Girsanov formula
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martingale
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Doob transform
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semi-martingales
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\(h\)-transforms of Markov processes
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