Continuous Exponential Martingales and BMO
Kazamaki, Norihiko.
Continuous Exponential Martingales and BMO [electronic resource] / by Norihiko Kazamaki. - VIII, 100 p. online resource. - Lecture Notes in Mathematics, 1579 0075-8434 ; . - Lecture Notes in Mathematics, 1579 .
Exponential martingales -- BMO-martingales -- Exponential of BMO.
In three chapters on Exponential Martingales, BMO-martingales, and Exponential of BMO, this book explains in detail the beautiful properties of continuous exponential martingales that play an essential role in various questions concerning the absolute continuity of probability laws of stochastic processes. The second and principal aim is to provide a full report on the exciting results on BMO in the theory of exponential martingales. The reader is assumed to be familiar with the general theory of continuous martingales.
9783540484219
10.1007/BFb0073585 doi
Distribution (Probability theory.
Probability Theory and Stochastic Processes.
QA273.A1-274.9 QA274-274.9
519.2
Continuous Exponential Martingales and BMO [electronic resource] / by Norihiko Kazamaki. - VIII, 100 p. online resource. - Lecture Notes in Mathematics, 1579 0075-8434 ; . - Lecture Notes in Mathematics, 1579 .
Exponential martingales -- BMO-martingales -- Exponential of BMO.
In three chapters on Exponential Martingales, BMO-martingales, and Exponential of BMO, this book explains in detail the beautiful properties of continuous exponential martingales that play an essential role in various questions concerning the absolute continuity of probability laws of stochastic processes. The second and principal aim is to provide a full report on the exciting results on BMO in the theory of exponential martingales. The reader is assumed to be familiar with the general theory of continuous martingales.
9783540484219
10.1007/BFb0073585 doi
Distribution (Probability theory.
Probability Theory and Stochastic Processes.
QA273.A1-274.9 QA274-274.9
519.2