When a Stochastic Exponential Is a True Martingale. Extension of the Beneš Method

DOI10.1137/S0040585X97986382zbMath1328.60111arXiv1112.0430OpenAlexW2086633149WikidataQ57712732 ScholiaQ57712732MaRDI QIDQ5166314

Fima C. Klebaner, Robert Sh. Liptser

Publication date: 26 June 2014

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

Full work available at URL: https://arxiv.org/abs/1112.0430

zbMATH Keywords

Girsanov theoremexponential martingalediffusion process with jumpsBeneš method

Mathematics Subject Classification ID

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