The Existence of a Martingale with Given Diffusion Functional

DOI10.1137/1119075zbMath0366.60065OpenAlexW2036260343MaRDI QIDQ4142426

M. P. Ershov

Publication date: 1974

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/1119075

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

Related Items (1)

A remark on infinitesimal absolute continuity of martingale measurest^†

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