Uniform integrability of continuous exponential martingales

DOI10.2748/TMJ/1178229055zbMATH Open0519.60043OpenAlexW2048077754MaRDI QIDQ1054366FDOQ1054366

Authors: Norihiko Kazamaki, Takeshi Sekiguchi 

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/1178229055

zbMATH Keywords

exponential martingales

Mathematics Subject Classification ID

Brownian motion (60J65) Martingales with continuous parameter (60G44)

Cites Work

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• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• On an Identity for Stochastic Integrals
• On a problem of Girsanov
• On the transformation of some classes of martingales by a change of law
• Explicit Solutions to Some Problems of Optimal Stopping
• A criterion for uniform integrability of exponential martingales
• Title not available (Why is that?)

Cited In (5)

• Ergodicity of an SPDE associated with a many-server queue
• Weak tail conditions for local martingales
• A weak convergence criterion for constructing changes of measure
• Exponential Martingales and Changes of Measure for Counting Processes
• On the reverse Hölder inequalities for certain exponential processes

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