Remark on Right Continuous Exponential Martingales
Using , jump measure μand its compensator νwe characterize the event where the stochastic exponential E(M) equals to zero.
math.PR↗
arXiv subjects
Besik Chikvinidze
Publications and source records attributed to Besik Chikvinidze.
An extension of the Jacod's condition
We generalize Jacod's condition and introduce a new type sufficient condition for the uniform integrability of the general stochastic exponential.
math.PR↗
Necessary and sufficient conditions for the uniform integrability of the stochastic exponential
We establish necessary and sufficient conditions for the uniform integrability of the stochastic exponential E(M).
math.PR↗
New proofs of some results on BMO martingales using BSDEs
Using properties of backward stochastic differential equations we give new proofs of some well known results on BMO martingales and improve some estimates of BMO norms.
math.PR↗