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

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

Cites work

• A criterion for uniform integrability of exponential martingales
• Explicit Solutions to Some Problems of Optimal Stopping
• scientific article; zbMATH DE number 3662295 (Why is no real title available?)
• scientific article; zbMATH DE number 3744224 (Why is no real title available?)
• scientific article; zbMATH DE number 3583004 (Why is no real title available?)
• scientific article; zbMATH DE number 3446157 (Why is no real title available?)
• scientific article; zbMATH DE number 3206627 (Why is no real title available?)
• On a problem of Girsanov
• On an Identity for Stochastic Integrals
• On the transformation of some classes of martingales by a change of law
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures

Cited in

(5)

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

This page was built for publication: Uniform integrability of continuous exponential martingales

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1054366)