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Kazamaki, Norihiko; Sekiguchi, Takeshi

On the transformation of some classes of martingales by a change of law. (English) Zbl 0438.60040

Tohoku Math. J., II. Ser. 31, 261-279 (1979).
Page: −5 −4 −3 −2 −1 ±0 +1 +2 +3 +4 +5 Show Scanned Page
scan of Zbl 0438.60040

Cited in 1 Review
Cited in 13 Documents

MSC:

60G44 Martingales with continuous parameter
60J60 Diffusion processes
60J65 Brownian motion
60G40 Stopping times; optimal stopping problems; gambling theory

Keywords:

local martingale; stopping time; BMO martingale
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References:

[1] C. DOLEANS-DADE AND P. A. MEYER, Une caracterisation de BMO, Seminaire de Probabilites XI, Universite de Strasbourg, Lecture Notes in Math., 581 (1977), Springer-Verlag, 383-389.
[2] C. DOLEANS-DADE AND P. A. MEYER, Inegalites de normes avec poids, Seminaire d Probabilites XIII, Universite de Strasbourg, Lecture Notes in Math., Berlin-Heidelberg-New York, Springer-Verlag, (to appear). · Zbl 0406.60029
[3] A. M. GARSIA, Martingale inequalities, Seminar Notes on Recent Progress, Benjamin, (1973). · Zbl 0284.60046
[4] R. K. GETOOR AND M. J. SHARPE, Conformal martingales, Inventiones Math., 16 (1972), 271-308. · Zbl 0268.60048 · doi:10.1007/BF01425714
[5] M. IZUMISAWA AND N. KAZAMAKI, Weighted norm inequalities for martingales, Thok Math. J., 29 (1977), 115-124. · Zbl 0359.60050 · doi:10.2748/tmj/1178240700
[6] N. KAZAMAKI, A characterization of BMO-martingales, Seminaire de Probabilites X, Universite de Strasbourg, Lecture Notes in Math., 511 (1976), Springer-Verlag, 536-538. · Zbl 0338.60028
[7] N. KAZAMAKI, On a problem of Girsanov, Thoku Math. J., 29 (1977), 597-600 · Zbl 0381.60040 · doi:10.2748/tmj/1178240496
[8] N. KAZAMAKI, On transforming the class of BMO-martingales by a change of law, Thoku Math. J., 31 (1979), 117-125. · Zbl 0425.60040 · doi:10.2748/tmj/1178229832
[9] E. LENGLART, Transformation des martingales locales par changement absolument con tinu de probabilites, Z. Wahrscheinlichkeitstheorie verw. Gebiete, 37 (1977), 65-70. · Zbl 0339.60045 · doi:10.1007/BF01844873
[10] P. A. MEYER, Probabilites et Potentiel, (1966), Hermann, Paris · Zbl 0138.10402
[11] P. A. MEYER, Complement sur la dualite entre H1 et BMO, Seminaire de Probabilites IX, Universite de Strasbourg, Lecture Notes in Math., 465 (1975), Springer-Verlag, 237-238. · Zbl 0369.60048
[12] B. MUCKENHOUPT, Weighted norm inequalities for the Hardy maximal functions, Trans Amer. Math. Soc, 165 (1972), 207-226. · Zbl 0236.26016 · doi:10.2307/1995882
[13] A. A. NOVIKOV, On an identity for stochastic integrals, Theory Prob. Appli., 17 (1972), 717-720. · Zbl 0284.60054 · doi:10.1137/1117088
[14] J. H. VAN SCHUPPEN AND E. WONG, Transformation of local martingales under a chang of law, Ann. of Prob., 2 (1974), 879-888. · Zbl 0321.60040 · doi:10.1214/aop/1176996554
[15] S. WAT ANABE, A remark on the integrabilty of supjXj for martingales, Proc. of th second Japan-USSR symposium on Probability Theory, no. 2 (1972), 147-155.
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