A criterion for uniform integrability of exponential martingales

DOI10.2748/TMJ/1178229151MaRDI QIDQ1173335zbMATH OpenOpenAlexFDO

Authors Tatsuya Okada

Publication date 1982

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

Full work available at URL https://doi.org/10.2748/tmj/1178229151

zbMATH Keywords

Girsanov problem for local martingales

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Generalizations of martingales (60G48)

Cites work

• scientific article; zbMATH DE number 3647866 (Why is no real title available?)
• scientific article; zbMATH DE number 3744224 (Why is no real title available?)
• scientific article; zbMATH DE number 3583004 (Why is no real title available?)
• On a problem of Girsanov
• On an Identity for Stochastic Integrals
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures

Cited in

(2)

• Uniform integrability of continuous exponential martingales
• Weak tail conditions for local martingales

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