Uniform integrability of exponential processes

DOI10.1134/S1995080219100159zbMath1439.60042OpenAlexW2980760744WikidataQ115525861 ScholiaQ115525861MaRDI QIDQ2284226

Drastamat C. Kazanchyan, Victor M. Kruglov

Publication date: 14 January 2020

Published in: Lobachevskii Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s1995080219100159

zbMATH Keywords

martingalesuniform integrabilitystopping timesexponential processes

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Diffusion processes (60J60) Stochastic integrals (60H05)

Cites Work

• Continuous exponential martingales and BMO
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• On an Identity for Stochastic Integrals
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