| Original language | English |
|---|---|
| Pages (from-to) | 38 - 62 |
| Number of pages | 25 |
| Journal | Theory of Probability and its Applications |
| Volume | 58 |
| Issue number | 1 |
| DOIs | |
| Publication status | Published - 2014 |
Cite this
@article{18a55100e63541d0bafe38aa052d94da,
title = "When a stochastic exponential is a true martingale. Extension of the Benes method",
author = "Klebaner, {Fima C} and Robert Liptser",
year = "2014",
doi = "10.1137/S0040585X97986382",
language = "English",
volume = "58",
pages = "38 -- 62",
journal = "Theory of Probability and its Applications",
issn = "0040-585X",
publisher = "Society for Industrial and Applied Mathematics",
number = "1",
}
Klebaner, FC & Liptser, R 2014, 'When a stochastic exponential is a true martingale. Extension of the Benes method', Theory of Probability and its Applications, vol. 58, no. 1, pp. 38 - 62. https://doi.org/10.1137/S0040585X97986382
When a stochastic exponential is a true martingale. Extension of the Benes method. / Klebaner, Fima C; Liptser, Robert.
In: Theory of Probability and its Applications, Vol. 58, No. 1, 2014, p. 38 - 62.Research output: Contribution to journal › Article › Research › peer-review
TY - JOUR
T1 - When a stochastic exponential is a true martingale. Extension of the Benes method
AU - Klebaner, Fima C
AU - Liptser, Robert
PY - 2014
Y1 - 2014
U2 - 10.1137/S0040585X97986382
DO - 10.1137/S0040585X97986382
M3 - Article
VL - 58
SP - 38
EP - 62
JO - Theory of Probability and its Applications
JF - Theory of Probability and its Applications
SN - 0040-585X
IS - 1
ER -