Revuz, Daniel; Yor, Marc Continuous martingales and Brownian motion. 3rd ed., 3rd. corrected printing. (English) Zbl 1087.60040 Grundlehren der Mathematischen Wissenschaften 293. Berlin: Springer (ISBN 3-540-64325-7/hbk; 978-3-642-08400-3/pbk). xi, 606 p. (2005). Reviewer: David Nualart (Barcelona) MSC: 60G44 60J65 60-02 PDF BibTeX XML Cite \textit{D. Revuz} and \textit{M. Yor}, Continuous martingales and Brownian motion. 3rd ed., 3rd. corrected printing. Berlin: Springer (2005; Zbl 1087.60040)
Urusov, M. A. The use of separating times to prove the singularity of Gaussian measures. (English. Russian original) Zbl 1076.60032 Russ. Math. Surv. 58, No. 4, 807-809 (2003); translation from Usp. Mat. Nauk 58, No. 4, 163-164 (2003). Reviewer: Krzysztof Szajowski (Wrocław) MSC: 60G40 60J65 PDF BibTeX XML Cite \textit{M. A. Urusov}, Russ. Math. Surv. 58, No. 4, 807--809 (2003; Zbl 1076.60032); translation from Usp. Mat. Nauk 58, No. 4, 163--164 (2003) Full Text: DOI
Kallsen, Jan; Shiryaev, Albert N. The cumulant process and Esscher’s change of measure. (English) Zbl 1035.60042 Finance Stoch. 6, No. 4, 397-428 (2002). Reviewer: M. P. Moklyachuk (Kyïv) MSC: 60G48 91B24 PDF BibTeX XML Cite \textit{J. Kallsen} and \textit{A. N. Shiryaev}, Finance Stoch. 6, No. 4, 397--428 (2002; Zbl 1035.60042) Full Text: DOI
Revuz, Daniel; Yor, Marc Continuous martingales and Brownian motion. 3rd ed. (English) Zbl 0917.60006 Grundlehren der Mathematischen Wissenschaften. 293. Berlin: Springer. xiii, 602 p. (1999). MSC: 60-02 60G44 60J65 PDF BibTeX XML Cite \textit{D. Revuz} and \textit{M. Yor}, Continuous martingales and Brownian motion. 3rd ed. Berlin: Springer (1999; Zbl 0917.60006)