Stochastic Exponentials and Logarithms on Stochastic Intervals -- A Survey
Probability
2020-09-16 v3
Abstract
Stochastic exponentials are defined for semimartingales on stochastic intervals, and stochastic logarithms are defined for semimartingales, up to the first time the semimartingale hits zero continuously. In the case of (nonnegative) local supermartingales, these two stochastic transformations are inverse to each other. The reciprocal of a stochastic exponential on a stochastic interval is again a stochastic exponential on a stochastic interval.
Keywords
Cite
@article{arxiv.1702.03573,
title = {Stochastic Exponentials and Logarithms on Stochastic Intervals -- A Survey},
author = {Martin Larsson and Johannes Ruf},
journal= {arXiv preprint arXiv:1702.03573},
year = {2020}
}
Comments
Addendum included. arXiv admin note: text overlap with arXiv:1411.6229