Martingale Property of Generalized Stochastic Exponentials

DOI10.1007/978-3-642-27461-9_2zbMath1254.60044arXiv1010.0969OpenAlexW3015829786MaRDI QIDQ2906154

Aleksandar Mijatović, Nika Novak, Mikhail A. Urusov

Publication date: 29 August 2012

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1010.0969

zbMATH Keywords

one-dimensional diffusionslocal martingalesgeneralized stochastic exponentialstrue martingales

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Diffusion processes (60J60)

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