On the transformation of some classes of martingales by a change of law

DOI10.2748/TMJ/1178229794MaRDI QIDQ1141972zbMATH OpenOpenAlexWikidataFDO

Authors Norihiko Kazamaki, Takeshi Sekiguchi

Publication date 1979

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

Full work available at URL https://doi.org/10.2748/tmj/1178229794

zbMATH Keywords

BMO martingalelocal martingalestopping time

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Brownian motion (60J65)

Cites work

• Conformal martingales
• scientific article; zbMATH DE number 3529206 (Why is no real title available?)
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• On a problem of Girsanov
• On an Identity for Stochastic Integrals
• On transforming the class of BMO-martingales by a change of law
• Transformation des martingales locales par changement absolument continu de probabilities
• Transformation of local martingales under a change of law
• Weighted norm inequalities for martingales
• Weighted Norm Inequalities for the Hardy Maximal Function

Cited in

(13)

• On the reverse Hölder inequalities for certain exponential processes
• Uniform integrability of continuous exponential martingales
• A new aspect of \(L_{\infty}\) in the space of BMO-martingales
• Existence of optimal martingales
• Remarks on a characterisation of BMO-martingales
• The Novikov and entropy conditions of multidimensional diffusion processes with singular drift
• On bounded entropy of solutions of multi-dimensional stochastic differential equations
• On well-posedness of forward-backward SDEs -- a unified approach
• Beneš condition for a discontinuous exponential martingale
• Loi de l'indice du lacet Brownien, et distribution de Hartman-Watson
• Transformation of H p -martingales by a change of law
• The Malliavin calculus
• On exponential local martingales associated with strong Markov continuous local martingales

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