Add to ORKGIn this note we re-examine the analysis of the paper "On the martingale property of stochastic exponentials" by B. Wong and C.C. Heyde, Journal of Applied Probability, 41(3):654-664, 2004. Some counterexamples are presented and alternative formulations are discussed.
This study provides a detailed discussion of the Martingale theory and its properties. To elaborate ...
This book sheds new light on stochastic calculus, the branch of mathematics that is most widely appl...
Being a systematic treatment of the modern theory of stochastic integrals and stochastic differentia...
Twenty-five articles have been selected from the first 14 volumes of the "Séminaire de Probabilités"...
We present some comments on moment inequalities and identities for martingales in the context of the...
We present a necessary and sufficient condition for a stochastic exponential to be a true martingale...
This note proves the existence of a solution to a certain martingale problem and relates the martin-...
Exponential processes in the Ito theory of stochastic integration can be viewed in three aspects: mu...
It has been 15 years since the first edition of Stochastic Integration and Differential Equations, A...
Abstract. In these notes, we first give a brief overwiew of martingales methods, from Paul Lévy (193...
Copyright c©2005 by the authors. All rights reserved. No part of this publication may be reproduced,...
Abstract. For a real Borel measurable function b, which satisfies certain integrability conditions, ...
International audienceIn these notes, we first give a brief overwiew of martingales methods, from Pa...
In three chapters on Exponential Martingales, BMO-martingales, and Exponential of BMO, this book exp...
In these notes, we first give a brief overwiew of martingales methods, from Paul Lévy (193...
This study provides a detailed discussion of the Martingale theory and its properties. To elaborate ...
This book sheds new light on stochastic calculus, the branch of mathematics that is most widely appl...
Being a systematic treatment of the modern theory of stochastic integrals and stochastic differentia...
Twenty-five articles have been selected from the first 14 volumes of the "Séminaire de Probabilités"...
We present some comments on moment inequalities and identities for martingales in the context of the...
We present a necessary and sufficient condition for a stochastic exponential to be a true martingale...
This note proves the existence of a solution to a certain martingale problem and relates the martin-...
Exponential processes in the Ito theory of stochastic integration can be viewed in three aspects: mu...
It has been 15 years since the first edition of Stochastic Integration and Differential Equations, A...
Abstract. In these notes, we first give a brief overwiew of martingales methods, from Paul Lévy (193...
Copyright c©2005 by the authors. All rights reserved. No part of this publication may be reproduced,...
Abstract. For a real Borel measurable function b, which satisfies certain integrability conditions, ...
International audienceIn these notes, we first give a brief overwiew of martingales methods, from Pa...
In three chapters on Exponential Martingales, BMO-martingales, and Exponential of BMO, this book exp...
In these notes, we first give a brief overwiew of martingales methods, from Paul Lévy (193...
This study provides a detailed discussion of the Martingale theory and its properties. To elaborate ...
This book sheds new light on stochastic calculus, the branch of mathematics that is most widely appl...
Being a systematic treatment of the modern theory of stochastic integrals and stochastic differentia...