Continuous Exponential Martingales and BMO [electronic resource] / by Norihiko Kazamaki.

By:

Kazamaki, Norihiko [author.]

Contributor(s):

SpringerLink (Online service)

Material type: Text

TextSeries: Lecture Notes in Mathematics ; 1579Publisher: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 1994Description: VIII, 100 p. online resourceContent type:

text

Media type:

computer

Carrier type:

online resource

ISBN:

9783540484219

Subject(s):

Additional physical formats: Printed edition:: No title; Printed edition:: No titleDDC classification:

519.2 23

LOC classification:

QA273.A1-274.9
QA274-274.9

Online resources:

Click here to access online

Contents:

Exponential martingales -- BMO-martingales -- Exponential of BMO.

In: Springer eBooksSummary: 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.

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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.

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