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Théorème de Girsanov généralisé et grossissement d'une filtration · Study

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ChapterThéorème de Girsanov généralisé et grossissement d'une filtration

Chantha Yoeurp1985

Chapter1985

Théorème de Girsanov généralisé et grossissement d'une filtration

21 citations·0/0 files stored·Lecture notes in mathematics

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Stochastic processes and financial applications Probability and Statistical Research Stochastic processes and statistical mechanics

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References

2002Un Cours sur les Intégrales Stochastiques 1980Semi-Martingales et Grossissement d’une Filtration 1978Grossissement d’une filtration et semi-martingales : Formules explicites 1974Transformation of Local Martingales Under a Change of Law 1977Transformation des martingales locales par changement absolument continu de probabilities 1976Decompositions des martingales locales et formules exponentielles 2002Grossissement d’une Filtration et Semi-martingales: Theoremes Generaux 1974Relative densities of semimartingales

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1979Grossissement d'une filtration et applicationschapter · 3 shared references 1976Sur les integrales stochastiques optionnelles et une suite remarquable de formules exponentielleschapter · 3 shared references 1978Study of a filtration expanded to include an honest timearticle · 2 shared references 2009Progressive enlargement of filtrations with initial timesarticle · 2 shared references 2004A short history of stochastic integration and mathematical finance: the early years, 1880–1970chapter · 2 shared references 2005Martingale methods in stochastic controlchapter · 2 shared references

Details

Year1985

Typechapter

Published1985-01-01

VenueLecture notes in mathematics

ISSN-L0075-8434

Languagefr

Citations21

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/bfb0075774

openalex_workW174593049

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