On exponential local martingales associated with strong Markov continuous local martingales

Stochastic Processes and their Applications

Volumn 119, Issue 9, 2009, Pages 2859-2880

  Blei, Stefan ^a   Engelbert, Hans Jürgen ^a  

^a FRIEDRICH SCHILLER UNIVERSITY JENA   (Germany)

Author keywords

0 1 laws; Brownian motion; Brownian motion with drift; Continuous exponential local martingales; Continuous local martingales; Continuous strong Markov processes; Integral functionals; Martingale property of stochastic exponentials; Stochastic differential equations; Stochastic exponentials

Indexed keywords

0-1-LAWS; BROWNIAN MOTION; BROWNIAN MOTION WITH DRIFT; CONTINUOUS EXPONENTIAL LOCAL MARTINGALES; CONTINUOUS LOCAL MARTINGALES; CONTINUOUS STRONG MARKOV PROCESSES; INTEGRAL FUNCTIONALS; MARTINGALE PROPERTY OF STOCHASTIC EXPONENTIALS; STOCHASTIC DIFFERENTIAL EQUATIONS; STOCHASTIC EXPONENTIALS;

EQUATIONS OF MOTION; MARKOV PROCESSES; MEASUREMENT THEORY;

BROWNIAN MOVEMENT;

EID: 68449104182     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2009.03.003     Document Type: Article

References (41)

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