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On the transformation of some classes of martingales by a change of law
4 references·0 citing·16 second hop
On the transformation of some classes of martingales by a change of law (1979)On the transformation of some classes of …Transformation des martingales locales par changement absolument continu de probabilities (1977)Transformation des martingale…On a problem of Girsanov (1977)On a problem of GirsanovTransformation of Local Martingales Under a Change of Law (1974)Transformation of Local Marti…On an Identity for Stochastic Integrals (1973)On an Identity for Stochastic…On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures (1960)Grossissement d'une filtration et applications (1979)Grossissement d’une Filtration et Semi-martingales: Theoremes Generaux (2002)Un Cours sur les Intégrales Stochastiques (2002)Asymptotic option pricing under the CEV diffusion (2010)On Square Integrable Martingales (1967)Stochastic Differential Equations (1972)Variance Reduction for Simulated Diffusions (1994)Equivalent and absolutely continuous measure changes for jump-diffusion processes (2005)Equivalent and Absolutely Continuous Measure Changes for Jump-Diffusion Processes (2005)Caract�ristiques locales et conditions de continuit� absolue pour les semi-martingales (1976)A short history of stochastic integration and mathematical finance: the early years, 1880–1970 (2004)Martingale methods in stochastic control (2005)On exponential local martingales associated with strong Markov continuous local martingales (2009)A new proof for the conditions of Novikov and Kazamaki (2012)When a Stochastic Exponential Is a True Martingale. Extension of the Beneš Method (2014)
this work references cited by second hop

References

  • 1973On an Identity for Stochastic Integrals106 cited
  • 1974Transformation of Local Martingales Under a Change of Law97 cited
  • 1977On a problem of Girsanov61 cited
  • 1977Transformation des martingales locales par changement absolument continu de probabilities47 cited

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