Continuous Exponential Martingales and BMO. 1st ed. 1994

種類:

電子ブック

責任表示:

by Norihiko Kazamaki

出版情報:

Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 1994

著者名:

• Kazamaki, Norihiko.
• SpringerLink (Online service)

シリーズ名:

Lecture Notes in Mathematics ; 1579

ISBN:

9783540484219 [3540484213]    

注記:

Exponential martingales -- BMO-martingales -- Exponential of BMO.
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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