Relations between triplets of local characteristics of semimartingales

DOI10.1070/RM1984V039N04ABEH004057MaRDI QIDQ3687449zbMATH OpenFDO

Authors Eh. I. Kolomiets

Publication date 1984

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

zbMATH Keywords

semimartingalelocal characteristicscompensatorsabsolutely continuous change of measure

Mathematics Subject Classification ID

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

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(2)

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

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