XVIII: 32, 500-500, LNM 1059 (1984)
ÉMERY, Michel
Sur l'exponentielle d'une martingale de $BMO$ (Martingale theory)
This very short note remarks that for complex-valued processes, it is no longer true that the stochastic exponential of a bounded martingale is a martingale---it is only a local martingale
Keywords: Stochastic exponentials, $BMO$
Nature: Original
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