The finiteness of moments of a stochastic exponential.

DOI10.1016/S0167-7152(03)00155-XzbMath1171.60340MaRDI QIDQ1423120

Vigirdas Mackevičius, Bronius Grigelionis

Publication date: 14 February 2004

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

zbMATH Keywords

Girsanov theoremStochastic exponential

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

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Cites Work

• On a problem of Girsanov
• The cumulant process and Esscher's change of measure
• On Discontinuous Martingales
• [https://portal.mardi4nfdi.de/wiki/Publication:4155579 Sur l'int�grabilit� uniforme des martingales exponentielles]
• On an Identity for Stochastic Integrals
• Existence of Optimal Stochastic Control Laws
• ON THE ABSOLUTE CONTINUITY OF MEASURES CORRESPONDING TO PROCESSES OF DIFFUSION TYPE RELATIVE TO A WIENER MEASURE
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