Continuous Exponential Martingales and 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 pro...

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Main Author: Kazamaki, Norihiko
Corporate Author: SpringerLink (Online service)
Format: eBook
Language:English
Published: Berlin, Heidelberg Springer Berlin Heidelberg 1994, 1994
Edition:1st ed. 1994
Series:Lecture Notes in Mathematics
Subjects:
Online Access:
Collection: Springer Book Archives -2004 - Collection details see MPG.ReNa
Table of Contents:
  • Exponential martingales
  • BMO-martingales
  • Exponential of BMO.