Continuous Exponential Martingales and BMO

  • Authors
  • Norihiko┬áKazamaki

Part of the Lecture Notes in Mathematics book series (LNM, volume 1579)

Table of contents

  1. Front Matter
    Pages i-vii
  2. Norihiko Kazamaki
    Pages 1-24
  3. Norihiko Kazamaki
    Pages 25-52
  4. Norihiko Kazamaki
    Pages 53-84
  5. Back Matter
    Pages 85-95

About this book

Introduction

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.

Keywords

Exponential Martingale Martingale Martingale Inequalities Stochastic processes bounded mean oscillation stochastic process

Bibliographic information

  • DOI https://doi.org/10.1007/BFb0073585
  • Copyright Information Springer-Verlag Berlin Heidelberg 1994
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Springer Book Archive
  • Print ISBN 978-3-540-58042-3
  • Online ISBN 978-3-540-48421-9
  • Series Print ISSN 0075-8434
  • Series Online ISSN 1617-9692
  • About this book