On optional stopping of some exponential martingales for Lévy processes with or without reflection. (Q1879504)
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scientific article; zbMATH DE number 2102360
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| English | On optional stopping of some exponential martingales for Lévy processes with or without reflection. |
scientific article; zbMATH DE number 2102360 |
Statements
On optional stopping of some exponential martingales for Lévy processes with or without reflection. (English)
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22 September 2004
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exponential change of measure
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Lévy process
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local time
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stopping time
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Wald martingale
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0.7358925342559814
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0.734628438949585
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