Measure changes with extinction (Q1012118)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Measure changes with extinction |
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Measure changes with extinction (English)
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14 April 2009
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The authors prove that the inverse of the density of a change of probability measure is only a supermartingale (and not a martingale, as some earlier papers claim...)
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