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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
Table of Contents:
  • 1. Exponential Martingales. 1.1. Preliminaries. 1.2. The L[rho]-integrability of [epsilon](M). 1.3. Girsanov's formula. 1.4. Uniform integrability of [epsilon](M)
  • 2. BMO-Martingales. 2.1. The class BMO. 2.2. The John-Nirenberg inequality. 2.3. Characterizations of a BMO-martingale. 2.4. Fefferman's inequality. 2.5. The Garnett-Jones theorem. 2.6. The class [Eta infinite]
  • 3. Exponential of BMO. 3.1. The reverse Holder inequality. 3.2. Gehring's inequality. 3.3. Transformation of BMO by a change of law. 3.4. A characterization of the BMO-closure of L[infinite]. 3.5. The class [Eta infinite] and the [Alpha subscript rho] condition. 3.6. Weighted norm inequalities. 3.7. Some ratio inequalities.