On the reverse Hölder inequalities for certain exponential processes

DOI10.2748/tmj/1178229057zbMath0515.60049OpenAlexW2050333963MaRDI QIDQ1051982

Norihiko Kazamaki

Publication date: 1983

Published in: Tôhoku Mathematical Journal. Second Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2748/tmj/1178229057

zbMATH Keywords

stopping timereverse Hölder inequalityexponential martingale

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Martingales with continuous parameter (60G44)

Cites Work

• Uniform integrability of continuous exponential martingales
• On the transformation of some classes of martingales by a change of law
• Transformation of local martingales under a change of law
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