Relations between triplets of local characteristics of semimartingales

DOI10.1070/RM1984V039N04ABEH004057zbMATH Open0571.60064MaRDI QIDQ3687449FDOQ3687449

Authors: Eh. I. Kolomiets 

Publication date: 1984

Published in: Russian Mathematical Surveys (Search for Journal in Brave)

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zbMATH Keywords

semimartingalelocal characteristicscompensatorsabsolutely continuous change of measure

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Continuity and singularity of induced measures (60G30)

Cited In (2)

• Information processes for semimartingale experiments
• Utility maximisation and utility indifference price for exponential semi-martingale models and HARA utilities

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