On the absolute continuity and singularity of measures on filtered spaces: separating times

zbMATH Open1103.60043MaRDI QIDQ5493541FDOQ5493541

Authors: A. S. Cherny, Mikhail Urusov 

Publication date: 23 October 2006

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zbMATH Keywords

stochastic differential equationsBessel processeslocal absolute continuityLévy processes

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Continuity and singularity of induced measures (60G30)

Cited In (9)

• Absolute continuity of semimartingales
• On absolute continuity and singularity of multidimensional diffusions
• On the martingale property of certain local martingales
• The use of separating times in proving singularity of Gaussian measures
• A note on the CIR process and the existence of equivalent martingale measures
• A canonical setting and separating times for continuous local martingales
• Absolute continuity and singularity of two probability measures on a filtered space
• Separating Times for Measures on Filtered Spaces
• Deterministic criteria for the absence of arbitrage in~one-dimensional diffusion models

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