On the zeros of continuous martingales (Q4028981)
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scientific article; zbMATH DE number 140554
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| English | On the zeros of continuous martingales |
scientific article; zbMATH DE number 140554 |
Statements
28 March 1993
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Brownian motion
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Girsanov's theorem
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0.8376932144165039
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0.834328830242157
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On the zeros of continuous martingales (English)
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[For the entire collection see Zbl 0754.00008.] The origin of this paper is the problem to characterize the class of martingales which vanish on the random set on which a given Brownian motion equals 0. One method to solve this problem is enlargement of filtration and Girsanov's theorem. The problems treated here are generalizations of the above. An important concept is ``relative martingales'', which, essentially, is a class of processes which are martingales outside some random set \(H\).
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