On the variation distance for probability measures defined on a filtered space
DOI10.1007/BF00366270zbMATH Open0554.60006OpenAlexW2075750571MaRDI QIDQ760083FDOQ760083
Albert N. Shiryaev, R. Liptser, Yuri Kabanov
Publication date: 1986
Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf00366270
Recommendations
Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Probability measures on topological spaces (60B05) Diffusion processes (60J60) Martingales with continuous parameter (60G44)
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Cited In (21)
- Estimates of distances between transition probabilities of diffusions
- Title not available (Why is that?)
- On the Convergence of thep-Optimal Martingale Measures to the Minimal Entropy Martingale Measure
- On the Hellinger type distances for filtered experiments
- Information processes for semimartingale experiments
- On the Stability of Prices of Contingent Claims in Incomplete Models Under Statistical Estimations
- A general problem of an optimal equivalent change of measure and contingent claim pricing in an incomplete market.
- Unique Bernoulli \(g\)-measures
- Distance de Hellinger-Kakutani des lois correspondant à deux processus à accroissements indépendants
- A.D. Alexandrov spaces with curvature bounded below
- Thermalisation for small random perturbations of dynamical systems
- Sticky couplings of multidimensional diffusions with different drifts
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- Simplified calculus for semimartingales: multiplicative compensators and changes of measure
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- Distances between transition probabilities of diffusions and applications to nonlinear Fokker-Planck-Kolmogorov equations
- On the weak convergence of likelihood ratio processes of general statistical parametric models
- On reconstruction of coefficients of Fokker-Planck-Kolmogorov equations
- Nonparametric Bayesian volatility estimation for gamma-driven stochastic differential equations
- Limit behavior of the invariant measure for Langevin dynamics
- Explicit Description of HARA Forward Utilities and Their Optimal Portfolios
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