Continuous Exponential Martingales and BMO

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Author: Norihiko Kazamaki (auth.)
Publisher: Springer-Verlag Berlin Heidelberg
Pages: 100
Language: english
Year: 1994
ISBN 10: 3540580425
ISBN 13: 9780387580425
Series: Lecture Notes in Mathematics 1579
Edition: 1
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Synopsis

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...