On the transformation of some classes of martingales by a change of law

DOI10.2748/tmj/1178229794zbMath0438.60040OpenAlexW2005204758WikidataQ114845229 ScholiaQ114845229MaRDI QIDQ1141972

Norihiko Kazamaki, Takeshi Sekiguchi

Publication date: 1979

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

Full work available at URL: https://doi.org/10.2748/tmj/1178229794

zbMATH Keywords

stopping timelocal martingaleBMO martingale

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Diffusion processes (60J60)

Related Items (13)

The Novikov and entropy conditions of multidimensional diffusion processes with singular drift ⋮ A new aspect of \(L_{\infty}\) in the space of BMO-martingales ⋮ On exponential local martingales associated with strong Markov continuous local martingales ⋮ Beneš condition for a discontinuous exponential martingale ⋮ On bounded entropy of solutions of multi-dimensional stochastic differential equations ⋮ Existence of optimal martingales ⋮ Remarks on a characterisation of BMO-martingales ⋮ Loi de l'indice du lacet Brownien, et distribution de Hartman-Watson ⋮ Transformation of H p -martingales by a change of law ⋮ On the reverse Hölder inequalities for certain exponential processes ⋮ Uniform integrability of continuous exponential martingales ⋮ The Malliavin calculus ⋮ On well-posedness of forward-backward SDEs -- a unified approach

Cites Work

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• Conformal martingales
• On transforming the class of BMO-martingales by a change of law
• Transformation of local martingales under a change of law
• Weighted norm inequalities for martingales
• On a problem of Girsanov
• Transformation des martingales locales par changement absolument continu de probabilities
• On an Identity for Stochastic Integrals
• Weighted Norm Inequalities for the Hardy Maximal Function

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