When a stochastic exponential is a true martingale. Extension of the Beneš method (Q5166314)
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scientific article; zbMATH DE number 6308870
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| English | When a stochastic exponential is a true martingale. Extension of the Beneš method |
scientific article; zbMATH DE number 6308870 |
Statements
When a Stochastic Exponential Is a True Martingale. Extension of the Beneš Method (English)
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26 June 2014
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exponential martingale
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diffusion process with jumps
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Girsanov theorem
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Beneš method
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0.8445683717727661
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0.8404622077941895
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0.8298465013504028
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0.8281709551811218
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0.8092433214187622
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