ENGLISH

Continuous Exponential Martingales and BMO

By Norihiko Kazamaki (auth.)

Book information

Publisher
Springer-Verlag Berlin Heidelberg
Year
1994
ISBN
9780387580425, 0387580425, 3540580425
DOI
10.1007/BFb0073585
LCC
QA3 .L28 no. 1579,QA274.5 .L28 no. 1579
Open Library ID
OL1091731M
Language
english
Format
DJVU
Filesize
648 kB (663347 bytes)
Series
Lecture Notes in Mathematics 1579
Edition
1
Pages
100\101
Library
Kolxo3
DPI
300
Time added
2009-07-20 03:45:11
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.

Similar books