Intégrabilité uniforme et dans L^r des martingales exponentielles¶
Lépingle, D., & Mémin, J. (1978). Intégrabilité uniforme et dans L^r des martingales exponentielles. Séminaire de probabilités.
Cited by¶
1 citation across 1 artifact.
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Domain-specific¶
- Doléans–Dade Exponential
- Not automatically an exponential martingale. If the driver is a local martingale with jumps above `-1`, the stochastic exponential is a positive local martingale and hence a supermartingale; extra integrability conditions are needed before it is a true or uniformly integrable martingale.
This sourceSource for integrability and uniform-integrability criteria beyond local-martingale status.
- Not automatically an exponential martingale. If the driver is a local martingale with jumps above `-1`, the stochastic exponential is a positive local martingale and hence a supermartingale; extra integrability conditions are needed before it is a true or uniformly integrable martingale.
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