A canonical setting and separating times for continuous local martingales

DOI10.1016/j.spa.2008.05.003zbMath1178.60033MaRDI QIDQ1016604

J. Martínez

Publication date: 6 May 2009

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2008.05.003

zbMATH Keywords

Brownian motion; separating times; continuous local martingales; canonical setting; Dambis--Dubins--Schwarz theorem; pure continuous local martingales

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60J65: Brownian motion

60G48: Generalizations of martingales

60G40: Stopping times; optimal stopping problems; gambling theory

60G44: Martingales with continuous parameter

60G30: Continuity and singularity of induced measures