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Teoriya Veroyatnostei i ee Primeneniya, 2013, Volume 58, Issue 1, Pages 53–80
DOI: https://doi.org/10.4213/tvp4494 (Mi tvp4494) 		 
This article is cited in 45 scientific papers (total in 46 papers)

When a stochastic exponential is a true martingale. Extension of the Beneš method

F. Klebanera, R. Liptserb

a Monash University
b Tel Aviv University, Department of Electrical Engineering-Systems
Full-text PDF (296 kB) Citations (46)
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DOI: https://doi.org/10.4213/tvp4494
Keywords: exponential martingale; diffusion process with jumps; Girsanov theorem; Beneš method.
Received: 16.03.2012
English version:
Theory of Probability and its Applications, 2014, Volume 58, Issue 1, Pages 38–62
DOI: https://doi.org/10.1137/S0040585X97986382
Bibliographic databases:
Document Type: Article
MSC: 60G44
Language: Russian
Citation: F. Klebaner, R. Liptser, “When a stochastic exponential is a true martingale. Extension of the Beneš method”, Teor. Veroyatnost. i Primenen., 58:1 (2013), 53–80; Theory Probab. Appl., 58:1 (2014), 38–62
Citation in format AMSBIB
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  • https://doi.org/10.4213/tvp4494
  • https://www.mathnet.ru/eng/tvp/v58/i1/p53
    • This publication is cited in the following 46 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Теория вероятностей и ее применения Theory of Probability and its Applications
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    References:85
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