A criterion for uniform integrability of exponential martingales

DOI10.2748/tmj/1178229151zbMath0503.60055OpenAlexW1996179610MaRDI QIDQ1173335

Tatsuya Okada

Publication date: 1982

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

Full work available at URL: https://doi.org/10.2748/tmj/1178229151

zbMATH Keywords

Girsanov problem for local martingales

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)

Related Items

Weak tail conditions for local martingales, Uniform integrability of continuous exponential martingales

Cites Work

• On a problem of Girsanov
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• On an Identity for Stochastic Integrals
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