Beneš condition for a discontinuous exponential martingale

DOI10.1007/s10958-013-1162-7zbMath1279.60057OpenAlexW1964527750MaRDI QIDQ357242

Robert Sh. Liptser

Publication date: 30 July 2013

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10958-013-1162-7

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stochastic integrals (60H05) Random measures (60G57)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the transformation of some classes of martingales by a change of law
• On a problem of Girsanov
• Moment explosions in stochastic volatility models
• Representation of Gaussian processes equivalent to Wiener process
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• Existence of Optimal Stochastic Control Laws

This page was built for publication: Beneš condition for a discontinuous exponential martingale