On the martingale property of stochastic exponentials

Journal of Applied Probability

Volumn 41, Issue 3, 2004, Pages 654-664

  Wong, Bernard ^a   Heyde, C C ^b  

^a UNIVERSITY OF NEW SOUTH WALES   (Australia)

^b AUSTRALIAN NATIONAL UNIVERSITY   (Australia)

Author keywords

Equivalent local martingale measure; Explosion; Martingale property

Indexed keywords

EID: 10244236663     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1239/jap/1091543416     Document Type: Article

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