A new sufficient condition for uniform integrability of stochastic exponentials

DOI10.1080/17442508.2016.1269769zbMath1379.60047OpenAlexW2595833036MaRDI QIDQ2974883

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Publication date: 11 April 2017

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2016.1269769

zbMATH Keywords

backward stochastic differential equationGirsanov transformationstochastic exponential

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44)

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