Change of Time and Change of Measure

DOI10.1142/9609zbMath1316.60004OpenAlexW4246999289WikidataQ30039687 ScholiaQ30039687MaRDI QIDQ5251761

Albert N. Shiryaev, Ole Eiler Barndorff-Nielsen

Publication date: 21 May 2015

Published in: Advanced Series on Statistical Science & Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9609

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Stochastic models in economics (91B70) Brownian motion (60J65) Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Self-similar stochastic processes (60G18) Stable stochastic processes (60G52) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

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