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A sufficient condition for the uniform integrability of exponential martingales · Study

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ArticleA sufficient condition for the uniform integrability of exponential martingales

Norihiko Kazamaki1979

Article1979

A sufficient condition for the uniform integrability of exponential martingales

Norihiko Kazamaki

42 citations·0/0 files stored·Mathematics reports, Toyama University

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Stochastic processes and financial applications Probability and Statistical Research Probability and Risk Models

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2018Mean–Variance Asset–Liability Management Problem Under Non-Markovian Regime-Switching Models 2000A Semimartingale Bellman Equation and the Variance-Optimal Martingale Measure 2009On exponential local martingales associated with strong Markov continuous local martingales 2017Quadratic–exponential growth BSDEs with jumps and their Malliavin’s differentiability 2015Quadratic BSDEs with jumps: a fixed-point approach

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Year1979

Typearticle

Published1979-01-01

VenueMathematics reports, Toyama University

ISSN-L0386-832X

Languageen

Citations42

Files0 public / 0

ShelfStochastic processes and financial applications

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openalex_workW1543078087

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