Exponential martingales and changes of measure for counting processes

Sokol, A., & Hansen, N. R. (2015). Exponential martingales and changes of measure for counting processes. Stochastic Analysis and Applications, 33(5).

Type

Journal article

Intellectual base

Primary research

Year

2015

DOI

10.1080/07362994.2015.1040890

Link

https://doi.org/10.1080/07362994.2015.1040890

Cited by

1 citation across 1 artifact.

Each citation links to the sentence it supports in the citing article.

Domain-specific

• Doléans–Dade Exponential
  • In this jump setting the product factors are visible rather than decorative, and true-martingale criteria are needed to construct nonexplosive models with the desired intensity.

    This sourceGives verifiable true-martingale criteria for Doléans–Dade exponentials of compensated counting-process integrals and change-of-measure applications.

Verification

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Links previously used in the corpus

Before the registry existed this work was also linked 1 other way.

• https://arxiv.org/abs/1205.2244 ×1

Registry ID ref:31c2f5424e61 · see in the full table