On the martingale property of stochastic exponentials

DOI10.1239/jap/1091543416zbMath1066.60064OpenAlexW2081035098MaRDI QIDQ4667990

Bernard Wong, Christopher C. Heyde

Publication date: 18 April 2005

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/2de126576abcc8e384190762cbbf95ab91e59194

zbMATH Keywords

explosionequivalent local martingale measure

Mathematics Subject Classification ID

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