On the reverse Hölder inequalities for certain exponential processes

DOI10.2748/TMJ/1178229057MaRDI QIDQ1051982zbMATH OpenOpenAlexFDO

Authors Norihiko Kazamaki

Publication date 1983

Published in Tôhoku Mathematical Journal. Second Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2748/tmj/1178229057

zbMATH Keywords

exponential martingalereverse Hölder inequalitystopping time

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Martingales with continuous parameter (60G44)

Cites work

• scientific article; zbMATH DE number 3631694 (Why is no real title available?)
• scientific article; zbMATH DE number 3446157 (Why is no real title available?)
• On the transformation of some classes of martingales by a change of law
• Transformation of local martingales under a change of law
• Uniform integrability of continuous exponential martingales

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