Add to ORKGFor any finite family X of square-integrable random variables adapted to a given filtration, we construct a random variable Z such that X is a martingale if and only if E\lbrackZ ] = 1Available from TIB Hannover: RO 3009(246) / FIZ - Fachinformationszzentrum Karlsruhe / TIB - Technische InformationsbibliothekSIGLEDEGerman
Let Q and P be equivalent probability measures and let ψ be a J-dimensional vector of random variabl...
Let E be a real, separable Banach space and denote by $L^0(Ω,E)$ the space of all E-valued random ve...
Let $X$ be a Banach function space over a nonatomic probability space. For a uniformly integrable ma...
SIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-2410...
This note studies the martingale property of a nonnegative, continuous local martingale Z, given as ...
The martingale property in the context of stochastic differential equations Johannes Ruf* This note ...
Abstract. Let T ⊂ R be a countable set, not necessarily discrete. Let ft, t ∈ T, be a family of real...
AbstractIn this paper we transfer martingale representation theorems from some given filtration F to...
Let I⊆R⁺∪{0} be an arbitrary set with 0∈I; Ξ≡(Ω,F,(F_{t})_{t∈I},P) be a complete filtered probabilit...
We present a necessary and sufficient condition for a stochastic exponential to be a true martingale...
AbstractLet {Xt} be a continuous square integrable martingale. Denote its increasing (natural) proce...
The stochastic exponential Zt=expMt−M0−(12)MMt of a continuous local martingale M is itself a conti...
The stochastic exponential $Z_t=\exp\{M_t-M_0-(1/2) _t\}$ of a continuous local martingale $M$ is it...
Let X be a progressively measurable, almost surely right-continuous stochastic process such that Xτ ...
AbstractWe consider a Poisson process η on a measurable space equipped with a strict partial orderin...
Let Q and P be equivalent probability measures and let ψ be a J-dimensional vector of random variabl...
Let E be a real, separable Banach space and denote by $L^0(Ω,E)$ the space of all E-valued random ve...
Let $X$ be a Banach function space over a nonatomic probability space. For a uniformly integrable ma...
SIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-2410...
This note studies the martingale property of a nonnegative, continuous local martingale Z, given as ...
The martingale property in the context of stochastic differential equations Johannes Ruf* This note ...
Abstract. Let T ⊂ R be a countable set, not necessarily discrete. Let ft, t ∈ T, be a family of real...
AbstractIn this paper we transfer martingale representation theorems from some given filtration F to...
Let I⊆R⁺∪{0} be an arbitrary set with 0∈I; Ξ≡(Ω,F,(F_{t})_{t∈I},P) be a complete filtered probabilit...
We present a necessary and sufficient condition for a stochastic exponential to be a true martingale...
AbstractLet {Xt} be a continuous square integrable martingale. Denote its increasing (natural) proce...
The stochastic exponential Zt=expMt−M0−(12)MMt of a continuous local martingale M is itself a conti...
The stochastic exponential $Z_t=\exp\{M_t-M_0-(1/2) _t\}$ of a continuous local martingale $M$ is it...
Let X be a progressively measurable, almost surely right-continuous stochastic process such that Xτ ...
AbstractWe consider a Poisson process η on a measurable space equipped with a strict partial orderin...
Let Q and P be equivalent probability measures and let ψ be a J-dimensional vector of random variabl...
Let E be a real, separable Banach space and denote by $L^0(Ω,E)$ the space of all E-valued random ve...
Let $X$ be a Banach function space over a nonatomic probability space. For a uniformly integrable ma...