Remark on Right Continuous Exponential Martingales
Probability
2022-03-09 v1
Authors:
Besik Chikvinidze
Abstract
Using <M^c>, jump measure \mu and its compensator \nu we characterize the event where the stochastic exponential E(M) equals to zero.
Cite
@article{arxiv.2203.03628,
title = {Remark on Right Continuous Exponential Martingales},
author = {Besik Chikvinidze},
journal= {arXiv preprint arXiv:2203.03628},
year = {2022}
}
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