scientific article; zbMATH DE number 51724

MaRDI QIDQ4002114zbMATH OpenFDO

Authors Ioannis Karatzas, Steven Shreve

Publication date 18 September 1992

zbMATH Keywords

Brownian motioncomparison of solutionsDoob- Meyer decompositionFeynman-Kac formulaGirsanov theoremHaar functionslocal timemartingale problemsemimartingales related to the Brownian motionstochastic differential equations

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stochastic analysis (60Hxx) Local time and additive functionals (60J55) Brownian motion (60J65)

Cited in

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• Nonanticipative risk sensitive control: the martingale method.
• Non-exponential stability of scalar stochastic Volterra equations.
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