On exponential moments of two Brownian functionals

DOI10.1016/S0167-7152(96)00035-1zbMath0874.60054MaRDI QIDQ1359726

Wolfgang Stummer

Publication date: 10 November 1997

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

zbMATH Keywords

multidimensional stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65)

Related Items (1)

On Novikov and arbitrage properties of multidimensional diffusion processes with exploding drift

Cites Work

• The Novikov and entropy conditions of multidimensional diffusion processes with singular drift
• On Positive Solutions of the Equation $\mathfrak{A}U + Vu = 0$
• On Exponential Local Martingales Connected with Diffusion Processes
• On an Identity for Stochastic Integrals
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