Explicit construction of stochastic exponentials with arbitrary expectation \(k\in (0,1)\)
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Publication:1012213
DOI10.1016/j.spl.2008.11.003zbMath1170.60316OpenAlexW3125092244MaRDI QIDQ1012213
Publication date: 15 April 2009
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2008.11.003
Cites Work
- Continuous exponential martingales and BMO
- A survey and some generalizations of Bessel processes
- The importance of strictly local martingales; applications to radial Ornstein-Uhlenbeck processes
- Local martingales, bubbles and option prices
- On the martingale property of stochastic exponentials
- Class 𝐷 supermartingales
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