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

Fima C Klebaner, Robert Liptser

Research output: Contribution to journalArticleResearchpeer-review

11 Citations (Scopus)
Original languageEnglish
Pages (from-to)38 - 62
Number of pages25
JournalTheory of Probability and its Applications
Volume58
Issue number1
DOIs
Publication statusPublished - 2014

Cite this

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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",
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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 journalArticleResearchpeer-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 -