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作者 Kazamaki, Norihiko, 1940-
書名 Continuous exponential martingales and BMO [electronic resource] / Norihiko Kazamaki
出版項 Berlin ; New York : Springer-Verlag, c1994
國際標準書號 9783540484219 (electronic bk.)
3540484213 (electronic bk.)
book jacket
說明 1 online resource (vi, 90 p.)
系列 Lecture notes in mathematics, 0075-8434 ; 1579
Lecture notes in mathematics (Springer-Verlag) ; 1579
附註 Includes bibliographical references (p. [85]-90) and index
Description based on print version record
In three chapters on Exponential Martingales, BMO-martingales, and Exponential of BMO, this book explains in detail the beautiful properties of continuous exponential martingales that play an essential role in various questions concerning the absolute continuity of probability laws of stochastic processes. The second and principal aim is to provide a full report on the exciting results on BMO in the theory of exponential martingales. The reader is assumed to be familiar with the general theory of continuous martingales
1. Exponential Martingales. 1.1. Preliminaries. 1.2. The L[rho]-integrability of [epsilon](M). 1.3. Girsanov's formula. 1.4. Uniform integrability of [epsilon](M) -- 2. BMO-Martingales. 2.1. The class BMO. 2.2. The John-Nirenberg inequality. 2.3. Characterizations of a BMO-martingale. 2.4. Fefferman's inequality. 2.5. The Garnett-Jones theorem. 2.6. The class [Eta infinite] -- 3. Exponential of BMO. 3.1. The reverse Holder inequality. 3.2. Gehring's inequality. 3.3. Transformation of BMO by a change of law. 3.4. A characterization of the BMO-closure of L[infinite]. 3.5. The class [Eta infinite] and the [Alpha subscript rho] condition. 3.6. Weighted norm inequalities. 3.7. Some ratio inequalities
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鏈接 Print version: Kazamaki, Norihiko, 1940- Continuous exponential martingales and BMO. Berlin ; New York : Springer-Verlag, c1994 3540580425 (DLC) 94016026 (OCoLC)30359570
主題 Martingales (Mathematics)
Stochastische processen. gtt
Martingalen. gtt
Semimartingales (Mathématiques)
Martingaltheorie. swd
Martingal. swd
Funktion beschränkter mittlerer Oszillation. swd
Martingales (Mathematics) fast (OCoLC)fst01010880
Electronic books
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