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Continuous exponential martingales and BMO /

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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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Bibliographic Details
Main Author: Kazamaki, Norihiko, 1940-
Corporate Author: SpringerLink (Online service)
Format: eBook
Language:English
Published: Berlin ; New York : Springer-Verlag, [1994]
Series:Lecture notes in mathematics (Springer-Verlag) ; 1579.
Subjects:
Martingales (Mathematics)
Semimartingales (Mathématiques)
Stochastische processen.
Martingalen.
Martingaltheorie.
Martingal.
Funktion beschränkter mittlerer Oszillation.
Electronic books.
Online Access:Connect to the full text of this electronic book
Description
Summary: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.
Item Description:Electronic resource.
Physical Description:1 online resource (vi, 90 pages)
Format:Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.
Bibliography:Includes bibliographical references (pages [85]-90) and index.
ISBN:9783540484219 (electronic bk.)
3540484213 (electronic bk.)
ISSN:0075-8434 ;