Time-changed local martingales under signed measures

DOI10.1007/S10959-020-00994-2MaRDI QIDQ2031003zbMATH OpenOpenAlexFDO

Authors Sakrani Samia

Publication date 8 June 2021

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10959-020-00994-2

zbMATH Keywords

Brownian motionlocal martingalesigned measurestochastic calculustime changes

Mathematics Subject Classification ID

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

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Cites work

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Cited in

(6)

• Some time change representations of stable integrals, via predictable transformations of local martingales
• Change of measure up to a random time: theory
• scientific article; zbMATH DE number 2046390 (Why is no real title available?)
• Representation of martingales under signed measures and the study of the classes \(\sum_s\) and \(\sum'_s\)
• Stochastic calculus for a time-changed semimartingale and the associated stochastic differential equations
• Invariance times

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