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Continuous Exponential Martingales and BMO

  • Book
  • © 1994

Overview

Authors:
  1. Norihiko Kazamaki
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Part of the book series: Lecture Notes in Mathematics (LNM, volume 1579)

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Table of contents (3 chapters)

  1. Front Matter

    Pages i-vii
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  2. Exponential martingales

    • Norihiko Kazamaki
    Pages 1-24

  3. BMO-martingales

    • Norihiko Kazamaki
    Pages 25-52

  4. Exponential of BMO

    • Norihiko Kazamaki
    Pages 53-84

  5. Back Matter

    Pages 85-95
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Keywords

About this book

In three chapters on Exponential Martingales, BMO-martingales, and Exponential of BMO, this book explains in detail the beautiful properties of continuous exponential martingales that play an essential role in various questions concerning the absolute continuity of probability laws of stochastic processes. The second and principal aim is to provide a full report on the exciting results on BMO in the theory of exponential martingales. The reader is assumed to be familiar with the general theory of continuous martingales.

Bibliographic Information

  • Book Title: Continuous Exponential Martingales and BMO

  • Authors: Norihiko Kazamaki

  • Series Title: Lecture Notes in Mathematics

  • DOI: https://doi.org/10.1007/BFb0073585

  • Publisher: Springer Berlin, Heidelberg

  • eBook Packages: Springer Book Archive

  • Copyright Information: Springer-Verlag Berlin Heidelberg 1994

  • Softcover ISBN: 978-3-540-58042-3Published: 28 July 1994

  • eBook ISBN: 978-3-540-48421-9Published: 15 November 2006

  • Series ISSN: 0075-8434

  • Series E-ISSN: 1617-9692

  • Edition Number: 1

  • Number of Pages: VIII, 100

  • Topics: Probability Theory and Stochastic Processes

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