Representation and transformation of two-parameter martingales under a change of measure

DOI10.1007/BF00534349zbMath0451.60058MaRDI QIDQ3897791

Bruce Hajek, Eugene Wong

Publication date: 1980

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete (Search for Journal in Brave)

zbMATH Keywords

Radon-Nikodym derivativeGirsanov's theoremtwo-parameter martingales

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

Related Items (3)

Martingale field transformations under a change of probability measure ⋮ Unnamed Item ⋮ Representation of the square integrable martingales generated by a two-parameter Lévy process

Cites Work

• Unnamed Item
• Stochastic equations of hyperbolic type and a two-parameter Stratonovich calculus
• Stochastic integrals in the plane
• Weak martingales and stochastic integrals in the plane
• Differentiation formulas for stochastic integrals in the plane
• The sample function continuity of stochastic integrals in the plane
• An extension of stochastic integrals in the plane
• Likelihood ratios and transformation of probability associated with two-parameter Wiener processes
• [https://portal.mardi4nfdi.de/wiki/Publication:4148564 R�gions d'arr�t, localisations et prolongements de martingales]

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