Uniform integrability of continuous exponential martingales

DOI10.2748/TMJ/1178229055MaRDI QIDQ1054366zbMATH OpenOpenAlexFDO

Authors Norihiko Kazamaki, Takeshi Sekiguchi

Publication date 1983

Published in Tôhoku Mathematical Journal. Second Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2748/tmj/1178229055

zbMATH Keywords

exponential martingales

Mathematics Subject Classification ID

Brownian motion (60J65) Martingales with continuous parameter (60G44)

Cites work

• scientific article; zbMATH DE number 3662295 (Why is no real title available?)
• scientific article; zbMATH DE number 3744224 (Why is no real title available?)
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• scientific article; zbMATH DE number 3446157 (Why is no real title available?)
• scientific article; zbMATH DE number 3206627 (Why is no real title available?)
• A criterion for uniform integrability of exponential martingales
• Explicit Solutions to Some Problems of Optimal Stopping
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• On a problem of Girsanov
• On an Identity for Stochastic Integrals
• On the transformation of some classes of martingales by a change of law

Cited in

(5)

• Ergodicity of an SPDE associated with a many-server queue
• Weak tail conditions for local martingales
• Exponential martingales and changes of measure for counting processes
• A weak convergence criterion for constructing changes of measure
• On the reverse Hölder inequalities for certain exponential processes

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