Locally -integrable -martingale densities for general semimartingales

DOI10.1080/17442508.2015.1052809zbMATH Open1337.60083OpenAlexW2304331855MaRDI QIDQ2803516FDOQ2803516

Authors: Tahir Choulli, Martin Schweizer 

Publication date: 4 May 2016

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2015.1052809

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zbMATH Keywords

mathematical financesemimartingalesequivalent martingale measures\(\sigma\)-martingalesJacod decomposition

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Fundamental topics (basic mathematics, methodology; applicable to economics in general) (91B02) Financial applications of other theories (91G80) General theory of stochastic processes (60G07)

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Cited In (3)

• Title not available (Why is that?)
• Asymptotic properties of local densities of measures generated by semimartingales
• $\sigma$-Localization and $\sigma$-Martingales

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