Explicit construction of stochastic exponentials with arbitrary expectation \(k\in (0,1)\)

DOI10.1016/j.spl.2008.11.003zbMath1170.60316OpenAlexW3125092244MaRDI QIDQ1012213

Bernard Wong

Publication date: 15 April 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.11.003

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

Cites Work

• Continuous exponential martingales and BMO
• A survey and some generalizations of Bessel processes
• The importance of strictly local martingales; applications to radial Ornstein-Uhlenbeck processes
• Local martingales, bubbles and option prices
• On the martingale property of stochastic exponentials
• Class 𝐷 supermartingales
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