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Stochastic exponentials and logarithms on stochastic intervals: a survey

Larsson, Martin and Ruf, Johannes (2018) Stochastic exponentials and logarithms on stochastic intervals: a survey. Journal of Mathematical Analysis and Applications. pp. 1-14. ISSN 0022-247X

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Identification Number: 10.1016/j.jmaa.2018.11.040

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.

Item Type: Article
Official URL: https://www.journals.elsevier.com/journal-of-mathe...
Additional Information: © 2018 Elsevier B.V
Subjects: Q Science > QA Mathematics
Sets: Departments > Mathematics
Date Deposited: 20 Nov 2018 15:02
Last Modified: 27 Nov 2018 12:28
URI: http://eprints.lse.ac.uk/id/eprint/90634

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