Measure changes with extinction. (English) Zbl 1163.60309

Harris, S. C.; Roberts, M. I.

Stat. Probab. Lett. 79, No. 8, 1129-1133 (2009).

The authors prove that the inverse of the density of a change of probability measure is only a supermartingale (and not a martingale, as some earlier papers claim...)

Reviewer: George Stoica (Saint John)

MSC:

60G30

Continuity and singularity of induced measures

References:

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