Brownian Super-exponents
Probability
2007-05-23 v1
Abstract
We introduce a transform on the class of stochastic exponentials for d-dimensional Brownian motions. Each stochastic exponential generates another stochastic exponential under the transform. The new exponential process is often merely a supermartingale even in cases where the original process is a martingale. We determine a necessary and sufficient condition for the transform to be a martingale process. The condition links expected values of the transformed stochastic exponential to the distribution function of certain time-integrals.
Cite
@article{arxiv.math/0612160,
title = {Brownian Super-exponents},
author = {Victor Goodman},
journal= {arXiv preprint arXiv:math/0612160},
year = {2007}
}
Comments
10 pages