Absolute continuity of semimartingales
From MaRDI portal
Publication:1722022
DOI10.1214/18-EJP238zbMath1406.60062arXiv1706.04944MaRDI QIDQ1722022
Publication date: 14 February 2019
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1706.04944
change of measureGirsanov's theoremmartingale problemsemimartingaleexplosionabsolute continuity of laws
Related Items (4)
On the existence of semimartingales with continuous characteristics ⋮ No arbitrage in continuous financial markets ⋮ A NOTE ON REAL-WORLD AND RISK-NEUTRAL DYNAMICS FOR HEATH–JARROW–MORTON FRAMEWORKS ⋮ On absolute continuity and singularity of multidimensional diffusions
Cites Work
- On the martingale property of certain local martingales
- Convergence of integral functionals of one-dimensional diffusions
- A comparison theorem for solutions of stochastic differential equations and its applications
- Strict local martingales and bubbles
- The martingale property in the context of stochastic differential equations
- Equivalent and absolutely continuous measure changes for jump-diffusion processes
- Strong Markov Continuous Local Martingales and Solutions of One-Dimensional Stochastic Differential Equations (Part III)
- ABSOLUTE CONTINUITY AND SINGULARITY OF LOCALLY ABSOLUTELY CONTINUOUS PROBABILITY DISTRIBUTIONS. I
- [https://portal.mardi4nfdi.de/wiki/Publication:4076585 Caract�ristiques locales et conditions de continuit� absolue pour les semi-martingales]
- Stochastic Integration with Jumps
- When a Stochastic Exponential Is a True Martingale. Extension of the Beneš Method
- Existence of Optimal Stochastic Control Laws
- The exit measure of a supermartingale
- Supermartingales as Radon-Nikodym densities and related measure extensions
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: Absolute continuity of semimartingales
