The generalization of criteria for the uniform integrability of Brownian stochastic exponentials

MaRDI QIDQ2859658zbMATH OpenFDO

Authors Jun Li

Publication date 19 November 2013

Published in Pure and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

Brownian motionexponential martingalesKazamaki conditionlower functionsNovikov conditionstochastic exponentialsuniform integrability

Mathematics Subject Classification ID

Brownian motion (60J65)

Cited in

(1)

• Unified Solutions of Integral Equations of SPRT for Exponential Random Variables

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