Transformation of H p -martingales by a change of law
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Publication:4181732
DOI10.1007/BF00538121zbMath0398.60051MaRDI QIDQ4181732
Publication date: 1979
Published in: Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete (Search for Journal in Brave)
Related Items (6)
A new aspect of \(L_{\infty}\) in the space of BMO-martingales ⋮ On the existence of diffusions with singular drift coefficient ⋮ Robustness of Delta Hedging in a Jump-Diffusion Model ⋮ Changes of law, martingales and the conditioned square function ⋮ Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting ⋮ Robust Portfolio Choice and Indifference Valuation
Cites Work
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- On transforming the class of BMO-martingales by a change of law
- On the transformation of some classes of martingales by a change of law
- Seminaire de probabilités X. Universite de Strasbourg. Edite par P. A. Meyer
- Transformation of local martingales under a change of law
- Transformation des martingales locales par changement absolument continu de probabilities
- Quelques applications de la formule de changement de variables pour les semimartingales
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