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On Exponential Local Martingales Connected with Diffusion Processes · Study

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ArticleOn Exponential Local Martingales Connected with Diffusion Processes

H. J. Engelbert1984

Article1984

On Exponential Local Martingales Connected with Diffusion Processes

H. J. Engelbert

17 citations·0/0 files stored·Mathematische Nachrichten

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

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References

1969Diffusion processes with continuous coefficients, I 1974Transformation of Local Martingales Under a Change of Law 1985On solutions of one-dimensional stochastic differential equations without drift 1977On a problem of Girsanov 1977Transformation des martingales locales par changement absolument continu de probabilities 2005On the behaviour of certain functionals of the wiener process and applications to stochastic differential equations 1981Stochastic Integrals of Continuous Local Martingales, II 1979On the transformation of some classes of martingales by a change of law

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2019Weak tail conditions for local martingales

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Year1984

Typearticle

Published1984-01-01

VenueMathematische Nachrichten

ISSN-L0025-584X

Languageen

Citations17

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1002/mana.19841190108

openalex_workW1996755914

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