ENGLISH

Continuous Exponential Martingales and BMO

By Norihiko Kazamaki (auth.)

Book information

Publisher
Springer-Verlag Berlin Heidelberg
Year
1994
ISBN
978-3-540-58042-3, 978-3-540-48421-9
DOI
10.1007/BFb0073585
Language
english
Format
PDF
Filesize
1 MB (1493583 bytes)
Series
Lecture Notes in Mathematics 1579
Edition
1
Pages
100\101
Orientation
yes
Scanned
yes
Time added
2013-08-01 04:00:00
Probability Theory and Stochastic Processes

Description

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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