On Martingale Measures for Stochastic Processes with Independent Increments

DOI10.1137/S0040585X97977355zbMath0959.60033MaRDI QIDQ4510002

Peter Grandits

Publication date: 19 October 2000

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

zbMATH Keywords

processes with independent increments; minimal martingale measure; Hellinger process; equivalent local martingale measure

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60G40: Stopping times; optimal stopping problems; gambling theory