Locally -integrable -martingale densities for general semimartingales

DOI10.1080/17442508.2015.1052809MaRDI QIDQ2803516zbMATH OpenOpenAlexFDO

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

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)

• scientific article; zbMATH DE number 4131356 (Why is no real title available?)
• Asymptotic properties of local densities of measures generated by semimartingales
• \sigma-Localization and \sigma-Martingales

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