scientific article; zbMATH DE number 1069541

zbMATH Open0888.60039MaRDI QIDQ4356499FDOQ4356499

Authors: Michael Sørensen 

Publication date: 1996

Title of this publication is not available (Why is that?)

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zbMATH Keywords

Doléan-Dade exponentialsexponential family of semimartingales

Mathematics Subject Classification ID

Generalizations of martingales (60G48)

Cited In (4)

• The cumulant process and Esscher's change of measure
• Explicit construction of stochastic exponentials with arbitrary expectation \(k\in (0,1)\)
• Exponential Families of Stochastic Processes: A Unifying Semimartingale Approach
• Curved exponential families of stochastic processes and their envelope families

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