Exponential Martingales and Changes of Measure for Counting Processes

DOI10.1080/07362994.2015.1040890zbMath1325.60063arXiv1205.2244OpenAlexW3101001503MaRDI QIDQ3194568

Alexander Sokol, Niels Richard Hansen

Publication date: 20 October 2015

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1205.2244

zbMATH Keywords

uniform integrabilitydiffusion processescounting processesstochastic integralexponential martingalesstochastic intensitiesfinite-state Markov processesnonexplosive Hawkes processes

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Diffusion processes (60J60) Stochastic integrals (60H05) Continuous-time Markov processes on discrete state spaces (60J27) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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