A note on exponential martingales

DOI10.2748/tmj/1178229976zbMath0391.60044OpenAlexW1976864928MaRDI QIDQ1251424

Norihiko Kazamaki

Publication date: 1978

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

Full work available at URL: https://doi.org/10.2748/tmj/1178229976

zbMATH Keywords

MartingaleLocal MartingaleStochastic Integral Equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44)

Cites Work

• Conformal martingales
• Transformation of local martingales under a change of law
• On a problem of Girsanov
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• Quelques applications de la formule de changement de variables pour les semimartingales