On optional stopping of some exponential martingales for Lévy processes with or without reflection.
type: Item
instance of: scholarly article
title: On optional stopping of some exponential martingales for Lévy processes with or without reflection.
zbMATH Open document ID: 1047.60038
DOI: 10.1016/S0304-4149(00)00063-6
author: Offer Kella
author: Søren Asmussen
published in: Stochastic Processes and their Applications
publication date: 2004-09-22T00:00:00Z
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 60J99
Mathematics Subject Classification ID: 60G44
zbMATH DE Number: 2102360
zbMATH Keywords: exponential change of measure
zbMATH Keywords: Lévy process
zbMATH Keywords: local time
zbMATH Keywords: stopping time
zbMATH Keywords: Wald martingale
MaRDI profile type: Publication
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full work available at URL: s0304-4149(00)00063-6
OpenAlex ID: W2087342253
description: scientific article; zbMATH DE number 2102360