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XIII: 12, 142-161, LNM 721 (1979)
MÉMIN, Jean; SHIRYAEV, Albert N.
Un critère prévisible pour l'uniforme intégrabilité des semimartingales exponentielles (Martingale theory)
A condition is given so that the stochastic exponential of a special semimartingale $X$ is a uniformly integrable process. It involves only the local characteristics of $X$, i.e., its previsible compensator, Lévy measure, and quadratic variation of the continuous martingale part. The proof rests on multiplicative decompositions, and known results in the case of martingales
Keywords: Stochastic exponentials, Semimartingales, Multiplicative decomposition, Local characteristics
Nature: Original
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