On an Identity for Stochastic Integrals
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(46)- Uniform integrability of continuous exponential martingales
- On the transformation of some classes of martingales by a change of law
- A criterion for uniform integrability of exponential martingales
- On a problem of Girsanov
- The Novikov and entropy conditions of multidimensional diffusion processes with singular drift
- Infinite-dimensional Wiener processes with drift
- On exponential moments of two Brownian functionals
- The finiteness of moments of a stochastic exponential.
- A jump diffusion model for spot electricity prices and market price of risk
- Robustness of the nonlinear filter: the correlated case.
- Weak solutions for stochastic differential equations with additive fractional noise
- On Novikov and arbitrage properties of multidimensional diffusion processes with exploding drift
- Convergence of local supermartingales
- A Girsanov result for the Pettis integral
- Trait-dependent branching particle systems with competition and multiple offspring
- Necessary and sufficient conditions for the uniform integrability of the stochastic exponential
- Ramsey rule with forward/backward utility for long-term yield curves modeling
- A vector Girsanov result and its applications to conditional measures via the Birkhoff integrability
- Uniform integrability of exponential processes
- Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework
- Weak tail conditions for local martingales
- Equivalent and absolutely continuous measure changes for jump-diffusion processes
- Optimal statistical decisions about some alternative financial models
- A weak convergence criterion for constructing changes of measure
- On the martingale property in stochastic volatility models based on time-homogeneous diffusions
- A note on a result of Liptser-Shiryaev
- A general model in risk theory. An application of modern martingale theory. Part one: Theoretic foundations
- Loi de l'indice du lacet Brownien, et distribution de Hartman-Watson
- Sur l'int�grabilit� uniforme des martingales exponentielles
- From minority game to Black \& Scholes pricing
- An extension of the mixed Novikov-Kazamaki condition
- Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models
- A few comments on a result of A. Novikov and Girsanov's theorem
- The mixed Novikov–Kazamaki type condition for the uniform integrability of the general stochastic exponential
- Optimal dynamic futures portfolio under a multifactor Gaussian framework
- Uniqueness and absolute continuity for semilinear SPDE's
- The Kolmogorov Inequality for the Maximum of the Sum of Random Variables and Its Martingale Analogues
- Branching Brownian motion in a periodic environment and existence of pulsating traveling waves
- On the martingale property of certain local martingales
- Non-explicit formula of boundary crossing probabilities by the Girsanov theorem
- Uniform integrability of nonnegative supermartingales via time change in a geometric Brownian motion
- Criteria for what makes a local optional martingale a true martingale
- On minimal predictable intensity of point processes
- Kullback-Leibler barycenter of stochastic processes
- Entropy bounds for invariant measure perturbations in stochastic systems with uncertain noise
- Travelling waves in monostable and bistable stochastic partial differential equations
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