Change of measure up to a random time: theory

DOI10.2307/3214696zbMATH Open0757.60041OpenAlexW2328479263MaRDI QIDQ3988136FDOQ3988136

Authors:

Publication date: 28 June 1992

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3214696

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zbMATH Keywords

martingaleconditioningsemi-martingalesCameron-Martin-Girsanov formulaDoob transform\(h\)-transforms of Markov processes

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

Cited In (7)

• A note on a paper by Wong and Heyde
• Time-changed local martingales under signed measures
• A technique for exponential change of measure for Markov processes
• Title not available (Why is that?)
• Intensity process and compensator: A new filtration expansion approach and the Jeulin-Yor theorem
• A new kind of augmentation of filtrations suitable for a change of probability measure by a strict local martingale
• Change of measure up to a random time: details

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