On Exponential Local Martingales Connected with Diffusion Processes

DOI10.1002/MANA.19841190108MaRDI QIDQ3680025zbMATH OpenOpenAlexFDO

Authors H.-J. Engelbert, Wolfgang M. Schmidt

Publication date 1984

Published in Mathematische Nachrichten (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/mana.19841190108

zbMATH Keywords

existence of weak solutions of stochastic differential equationsexponential local martingale

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Local time and additive functionals (60J55) Diffusion processes (60J60)

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(15)

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• A weak convergence criterion for constructing changes of measure
• On the martingale property in stochastic volatility models based on time-homogeneous diffusions
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