scientific article; zbMATH DE number 1069541

MaRDI QIDQ4356499zbMATH OpenFDO

Authors Michael Sørensen

Publication date 1996

zbMATH Keywords

Doléan-Dade exponentialsexponential family of semimartingales

Mathematics Subject Classification ID

Generalizations of martingales (60G48)

Recommendations

• Exponential Families of Stochastic Processes: A Unifying Semimartingale Approach
• A characterization of simple quadratic natural exponential families with a reverse martingale property
• Natural Exponential Families and Generalized Hypergeometric Measures
• Natural exponential families and self-decomposability
• On natural parameter space of exponential family
• A reverse martingale property that characterizes the natural exponential family with quadratic variance function
• Natural exponential families of probability distributions and exponential-polynomial approximation
• scientific article; zbMATH DE number 1182839

Cited in

(4)

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

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4356499)