Conditioned martingales (Q456281)

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Conditioned martingales
scientific article

    Statements

    title
    Conditioned martingales (English)
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    author
    Nicolas Perkowski
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    Johannes Ruf
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    publication date
    23 October 2012
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    zbMATH Keywords
    Doob's \(H\)-transform
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    change of measure
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    upward conditioning
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    downward conditioning
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    local martingale
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    diffusion
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    nullset
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    Bessel process
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    Identifiers

    DOI
    10.1214/ECP.v17-1955
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    Mathematics Subject Classification ID
    60G44
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    60H99
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    60J60
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    zbMATH DE Number
    6098198
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