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XII: 04, 35-46, LNM 649 (1978)
Décompositions multiplicatives de semimartingales exponentielles et applications (General theory of processes)
It is shown that, given two semimartingales $U,V$ such that $U$ has no jump equal to $-1$, there is a unique semimartingale $X$ such that ${\cal E}(X)\,{\cal E}(U)={\cal E}(V)$. This result is applied to recover all known results on multiplicative decompositions
Comment: The results of this paper are used in Mémin-Shiryaev 1312
Keywords: Stochastic exponentials, Semimartingales, Multiplicative decomposition
Nature: Original
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